Comparison of Some Direct Methods for Computing Stationary Distributions of Markov Chains

DOI10.1137/0905033zbMath0574.65147OpenAlexW2072377318MaRDI QIDQ3692813

William J. Harrod, Robert J. Plemmons

Publication date: 1984

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0905033

zbMATH Keywords

comparisonerror analysisstochastic processMarkov chainLU factorizationdirect methodsM-matrixstationary distributionsprobability distribution vectorsparsity schemes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Direct numerical methods for linear systems and matrix inversion (65F05) Probabilistic methods, stochastic differential equations (65C99)

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