Sensitivity analysis of discrete Markov chains via matrix calculus

Abstract

Markov chains are often used as mathematical models of natural phenomena, with transition probabilities defined in terms of parameters that are of interest in the scientific question at hand. Sensitivity analysis is an important way to quantify the effects of changes in these parameters on the behavior of the chain. Many properties of Markov chains can be written as simple matrix expressions, and hence matrix calculus is a powerful approach to sensitivity analysis. Using matrix calculus, we derive the sensitivity and elasticity of a variety of properties of absorbing and ergodic finite-state chains. For absorbing chains, we present the sensitivities of the moments of the number of visits to each transient state, the moments of the time to absorption, the mean number of states visited before absorption, the quasistationary distribution, and the probabilities of absorption in each of several absorbing states. For ergodic chains, we present the sensitivity of the stationary distribution, the mean first passage time matrix, the fundamental matrix, and the Kemeny constant. We include two examples of application of the results to demographic and ecological problems. © 2011 Elsevier Inc. All rights reserved.