Accurate Computation of the Fundamental Matrix of a Markov Chain

DOI10.1137/S0895479893258814zbMath0823.60056MaRDI QIDQ4842574

Daniel P. Heyman

Publication date: 8 October 1995

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Gaussian eliminationdirect methodsfirst-passage-timessteady-state probabilities

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Roundoff error (65G50)

Related Items (8)

Computation of current cumulants for small nonequilibrium systems ⋮ Robust power series algorithm for epistemic uncertainty propagation in Markov chain models ⋮ An iterative algorithm for computing mean first passage times of Markov chains ⋮ The computation of the mean first passage times for Markov chains ⋮ Development of computational algorithm for multiserver queue with renewal input and synchronous vacation ⋮ Parallel computing for Markov chains with islands and ports ⋮ Stationary distributions and mean first passage times of perturbed Markov chains ⋮ The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem

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