MIT 6.262 Discrete Stochastic Processes - Lecture 8: Markov Eigenvalues and Eigenvectors
Lecture 8: Markov Eigenvalues and Eigenvectors
Instructor: Prof. Robert Gallager
This lecture covers eigenvalues and eigenvectors of the stochastic matrix and the steady-state vector of Markov chains. It also includes an analysis of a 2-state Markov chain and a discussion of the Jordan form.
View the complete course: http://ocw.mit.edu/6-262S11
Robert Gallager and MIT OpenCourseWare