A numerical study of large sparse matrix exponentials arising in Markov chains.

DOI10.1016/S0167-9473(98)00062-0zbMath1042.65508OpenAlexW2009743150MaRDI QIDQ1277695

Roger B. Sidje, William J. Stewart

Publication date: 2 March 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00062-0

zbMATH Keywords

Markov chainsKrylov methodsOrdinary differential equationsMatrix exponential

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• Expokit
• MARCA
• VODE
• RODAS

Cites Work

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• The uniformized power method for transient solutions of Markov processes
• The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes
• VODE: A Variable-Coefficient ODE Solver
• Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
• Efficient Solution of Parabolic Equations by Krylov Approximation Methods
• Numerical Methods in Markov Chain Modeling
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Expokit
• On Krylov Subspace Approximations to the Matrix Exponential Operator
• Transient analysis of cumulative measures of markov model behavior