An exact aggregation/disaggregation algorithm for large scale Markov chains

An exact aggregation/disaggregation algorithm for large scale Markov chains

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Article ID: iaor1996601
Country: United States
Volume: 42
Issue: 7
Start Page Number: 1115
End Page Number: 1128
Publication Date: Oct 1995
Journal: Naval Research Logistics
Authors: ,
Abstract:

Many Markov chain models have very large state spaces, making the computation of stationary probabilities very difficult. Often the structure and numerical properties of the Markov chain allows for more efficient computation through state aggregation and disaggregation. In this article the authors develop an efficient exact single pass aggregation/disaggregation algorithm which exploits structural properties of large finite irreducible mandatory set decomposable Markov chains. The required property of being of mandatory set decomposable structure is a generalization of several other Markov chain structures for which exact aggregation/disaggregation algorithms exist.

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