Iterative aggregation/disaggregation methods for computing some characteristics of Markov chains. II: Fast convergence

DOI10.1016/S0168-9274(02)00232-5zbMath1025.65012MaRDI QIDQ1873162

Ivo Marek

Publication date: 19 May 2003

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmsconvergencecovariance matrixfinite Markov chainsstationary probability vectorsiterative aggregation/disaggregation methodsmean first passage

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (6)

Bias in Markov models of disease ⋮ An iterative aggregation and disaggregation method for the steady state solution of large scale continuous systems ⋮ Robust power series algorithm for epistemic uncertainty propagation in Markov chain models ⋮ A numerical algorithm on the computation of the stationary distribution of a discrete time homogenous finite Markov chain ⋮ Development of computational algorithm for multiserver queue with renewal input and synchronous vacation ⋮ Stationary distributions and mean first passage times of perturbed Markov chains

Uses Software

• MARCA

Cites Work

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• Block iterative algorithms for stochastic matrices
• Convergence theory of some classes of iterative aggregation/disaggregation methods for computing stationary probability vectors of stochastic matrices
• Iterative Methods for Computing Stationary Distributions of Nearly Completely Decomposable Markov Chains
• Comparison of Partitioning Techniques for Two-Level Iterative Solvers on Large, Sparse Markov Chains
• Frobenius Theory of Positive Operators: Comparison Theorems and Applications

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