Algebraic Schwarz methods for the numerical solution of Markov chains (Q1434412): Difference between revisions
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Revision as of 21:46, 19 March 2024
scientific article
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| English | Algebraic Schwarz methods for the numerical solution of Markov chains |
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Algebraic Schwarz methods for the numerical solution of Markov chains (English)
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4 August 2004
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The authors propose an iterative method to solve singular linear systems. They use the additive and multiplicative Schwarz method to solve large sparse singular linear systems of the form \(Ax=b\), where \(A\) is a singular M-matrix, which means that \(A=I-B\) and \(B\) is nonnegative stochastic matrix. In particular, they consider the case \(b=0\), which corresponds to the stationary probability of a Markov chain represented by \(B\). They show that the multiplicative Schwarz iterations is convergent.
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Schwarz methods
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singular M-matrices
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Markov chains
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stationary probability vectors
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iterative methods
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sparse matrices
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convergence
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stochastic matrix
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