An iterative algorithm for computing mean first passage times of Markov chains

DOI10.1016/j.amc.2014.11.001zbMath1328.65016OpenAlexW1978050747MaRDI QIDQ902846

Jianhong Xu

Publication date: 4 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.11.001

zbMATH Keywords

convergenceiterative algorithmMarkov chainseigenvaluesmean first passage timesrank one updates

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Uses Software

• mctoolbox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Eigenvalue perturbation theory of classes of structured matrices under generic structured rank one perturbations
• Markov chain small-world model with asymmetry: a unified and multivariate perspective
• Derivatives of the Perron root at an essentially nonnegative matrix and the group inverse of an M-matrix
• Transition matrices for well-conditioned Markov chains
• On the first and second order derivatives of the Perron vector
• LU decomposition of M-matrices by elimination without pivoting
• On the LU factorization of M-matrices
• A generalization of N-matrices
• A classification of matrices of class Z
• Some inequalities for the spectral radius of non-negative matrices and applications
• Generalized inverses. Theory and applications.
• Typical changes in spectral properties under perturbation by an operator of rank one.
• Average case analysis of the Markov chain small-world model
• Eigenvalues of rank-one updated matrices with some applications
• Matrix analysis of a Markov chain small-world model
• Sharp bounds on the spectral radius of nonnegative matrices and digraphs
• Recursive Algorithm for the Fundamental/Group Inverse Matrix of a Markov Chain from an Explicit Formula
• SIMPLE PROCEDURES FOR FINDING MEAN FIRST PASSAGE TIMES IN MARKOV CHAINS
• The Role of the Group Generalized Inverse in the Theory of Finite Markov Chains
• Derivatives of the spectral radius as a function of non-negative matrix elements
• Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain
• Accuracy and Stability of Numerical Algorithms
• A divide and conquer approach to computing the mean first passage matrix for Markov chains via Perron complement reductions
• Accurate Computation of the Fundamental Matrix of a Markov Chain
• Generalized Inverses of Linear Transformations
• Perron complement and Perron root