Entrywise perturbation theory and error analysis for Markov chains (Q1326397): Difference between revisions
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Revision as of 02:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Entrywise perturbation theory and error analysis for Markov chains |
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Entrywise perturbation theory and error analysis for Markov chains (English)
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18 May 1994
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\textit{W. K. Grassmann}, \textit{M. I. Taksar} and \textit{D. P. Heyman} [Oper. Res. 33, 1107-1116 (1985; Zbl 0576.60083)] introduced a variant of Gaussian elimination for computing the steady-state vector of a Markov chain. The present author proves that their algorithm is stable, and that the problem itself is well-conditioned. The key to the analysis is to focus on entrywise relative error in both the data and the computed solution.
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entrywise perturbation
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error analysis
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numerical stability
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well- conditioned problem
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Gaussian elimination
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Markov chain
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