Article ID: | iaor19952255 |
Country: | United Kingdom |
Volume: | 46 |
Issue: | 3 |
Start Page Number: | 405 |
End Page Number: | 410 |
Publication Date: | Mar 1995 |
Journal: | Journal of the Operational Research Society |
Authors: | Sherlaw-Johnson Chris, Gallivan Steve, Burridge Jim |
Markov chains are frequently used in Operational Research to describe how a system changes over time, its behaviour being governed by its transition matrix. This paper describes a technique for finding a maximum likelihood estimate for such a transition matrix when a system is observed at infrequent time intervals. The technique is called the EM Algorithm which, for this kind of problem, has distinct advantages over other methods of optimization.