Abstract
The previous two chapters have shown that for positive Harris chains, convergence of Ex[ƒ(Φk)] is guaranteed from almost all initial states x provided only π(ƒ) < ∞. Strong though this is, for many models used in practice even more can be said: there is often a rate of convergence ρ such that
where the rate ρ < 1 can be chosen essentially independent of the initial point x.
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© 1993 Springer-Verlag London Limited
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Meyn, S.P., Tweedie, R.L. (1993). Geometric Ergodicity. In: Markov Chains and Stochastic Stability. Communications and Control Engineering Series. Springer, London. https://doi.org/10.1007/978-1-4471-3267-7_15
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DOI: https://doi.org/10.1007/978-1-4471-3267-7_15
Publisher Name: Springer, London
Print ISBN: 978-1-4471-3269-1
Online ISBN: 978-1-4471-3267-7
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