Further Comparisons of Direct Methods for Computing Stationary Distributions of Markov Chains

DOI10.1137/0608020zbMath0625.65150OpenAlexW2082472686MaRDI QIDQ3028309

Daniel P. Heyman

Publication date: 1987

Published in: SIAM Journal on Algebraic Discrete Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0608020

zbMATH Keywords

Gaussian eliminationdirect methodsergodic statesblock- tridiagonal matricessparsity schemesstationary distribution of an irreducible Markov chain

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99) Software, source code, etc. for problems pertaining to probability theory (60-04)

Related Items (8)

Entrywise perturbation theory and error analysis for Markov chains ⋮ Computing absorption probabilities for a Markov chain ⋮ Using state reduction for computing steady state vectors in Markov chains of \(M/G/1\) type ⋮ The computation of the mean first passage times for Markov chains ⋮ Computing the fundamental matrix for a nonirreducible Markov chain ⋮ Optimizing steady state Markov chains by state reduction ⋮ The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem ⋮ Accurate calculations of stationary distributions and mean first passage times in Markov renewal processes and Markov chains

Cites Work

• Unnamed Item
• Matrix Methods for Queuing Problems
• Comparison of Some Direct Methods for Computing Stationary Distributions of Markov Chains
• Regenerative Analysis and Steady State Distributions for Markov Chains
• Iterative Methods for Computing Stationary Distributions of Nearly Completely Decomposable Markov Chains
• Computation of the stationary distribution of a markov chain

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