Entrywise perturbation theory and error analysis for Markov chains (Q1326397)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Entrywise perturbation theory and error analysis for Markov chains |
scientific article; zbMATH DE number 569120
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Entrywise perturbation theory and error analysis for Markov chains |
scientific article; zbMATH DE number 569120 |
Statements
Entrywise perturbation theory and error analysis for Markov chains (English)
0 references
18 May 1994
0 references
\textit{W. K. Grassmann}, \textit{M. I. Taksar} and \textit{D. P. Heyman} [Oper. Res. 33, 1107-1116 (1985; Zbl 0576.60083)] introduced a variant of Gaussian elimination for computing the steady-state vector of a Markov chain. The present author proves that their algorithm is stable, and that the problem itself is well-conditioned. The key to the analysis is to focus on entrywise relative error in both the data and the computed solution.
0 references
entrywise perturbation
0 references
error analysis
0 references
numerical stability
0 references
well- conditioned problem
0 references
Gaussian elimination
0 references
Markov chain
0 references
0 references
0 references
