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: | Philippe Bernard, Saad Youcef, Stewart William J. |
Keywords: | matrices, stochastic processes |
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.