Aggregation/Disaggregation Methods for Computing the Stationary Distribution of a Markov Chain

DOI10.1137/0724062zbMath0637.65147OpenAlexW2034727050MaRDI QIDQ3777418

Moshe Haviv

Publication date: 1987

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0724062

zbMATH Keywords

Numerical examplessuccessive approximation methodsaggregation/disaggregation proceduresnearly completely decomposable stochastic matricesstationary distribution of a finite Markov chain

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Iterative numerical methods for linear systems (65F10) Stochastic matrices (15B51) Probabilistic methods, stochastic differential equations (65C99)

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