On a direct method for the solution of nearly uncoupled Markov chains (Q911215): Difference between revisions

This note is concerned with the accuracy of the solution of nearly uncoupled Markov chains by a direct method based on the LU decomposition. It is shown that plain Gaussian elimination may fail in the presence of rounding errors. A modification of Gaussian elimination with diagonal pivoting and correction of small pivots is proposed and analyzed. It is shown that the accuracy of the solution is affected by two condition numbers associate with aggregation and the coupling respectively.