Numerical methods in Markov chain modeling

Numerical methods in Markov chain modeling

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Article ID: iaor19931484
Country: United States
Volume: 40
Issue: 6
Start Page Number: 1156
End Page Number: 1179
Publication Date: Nov 1992
Journal: Operations Research
Authors: , ,
Keywords: matrices, stochastic processes
Abstract:

This paper describes and compares several methods for computing stationary probability distributions of Markov chains. The main linear algebra problem consists of computing an eigenvector of a sparse, nonsymmetric matrix associated with a known eigenvalue. It can also be cast as a problem of solving a homogeneous, singular linear system. The authors present several methods based on combinations of Krylov subspace techniques, single vector power iteration/relaxation procedures and acceleration techniques. They compare the performance of these methods on some realistic problems.

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