Aggregation/Disaggregation Methods for Computing the Stationary Distribution of a Markov Chain

DOI10.1137/0724062MaRDI QIDQ3777418zbMATH OpenOpenAlexFDO

Authors Moshe Haviv

Publication date 1987

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0724062

zbMATH Keywords

aggregation/disaggregation proceduresnearly completely decomposable stochastic matricesNumerical examplesstationary distribution of a finite Markov chainsuccessive approximation methods

Mathematics Subject Classification ID

Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99) Iterative numerical methods for linear systems (65F10)

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Cited in

(38)

• On fast aggregation of Markov chain functionals using stochastic complementation.
• Estimating equilibrium probabilities for band diagonal Markov chains using aggregation and disaggregation techniques
• Parallel implementation of an aggregation/disaggregation method for evaluating quasi-stationary behavior in continuous-time Markov chains
• A multi-cluster time aggregation approach for Markov chains
• Models of perishable queueing-inventory systems with server vacations
• Convergence theory of some classes of iterative aggregation/disaggregation methods for computing stationary probability vectors of stochastic matrices
• Iterative aggregation/disaggregation methods for computing some characteristics of Markov chains. II: Fast convergence
• On a two-level multigrid solution method for finite Markov chains
• A successive censoring algorithm for a system of connected LDQBD-processes
• Triangular and skew-symmetric splitting method for numerical solutions of Markov chains
• Iterant recombination with one-norm minimization for multilevel Markov chain algorithms via the ellipsoid method
• scientific article; zbMATH DE number 1694907 (Why is no real title available?)
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• scientific article; zbMATH DE number 4192967 (Why is no real title available?)
• scientific article; zbMATH DE number 4209242 (Why is no real title available?)
• Influence of Preconditioning and Blocking on Accuracy in Solving Markovian Models
• A New Algorithm for Computing the Ergodic Probability Vector for Large Markov Chains
• Aggregation/Disaggregation for Eigenvalue Problems
• Iterative Methods for Computing Stationary Distributions of Nearly Completely Decomposable Markov Chains
• Iterative aggregation/disaggregation techniques for nearly uncoupled markov chains
• Aggregation with an error of O (ε ² )
• scientific article; zbMATH DE number 19229 (Why is no real title available?)
• scientific article; zbMATH DE number 19230 (Why is no real title available?)
• An aggregation/disaggregation algorithm for computing the stationary distribution of a large markov chain
• Numerical Experiments with Iteration and Aggregation for Markov Chains
• An iterative aggregation/disaggregation procedure for modelling the long-term behaviour of continuous-time evanescent random processes
• scientific article; zbMATH DE number 1064100 (Why is no real title available?)
• scientific article; zbMATH DE number 2000349 (Why is no real title available?)
• Estimating and interpolating a Markov chain from aggregate data
• scientific article; zbMATH DE number 1848276 (Why is no real title available?)
• Comparisons Between Aggregation/Disaggregation and a Direct Algorithm for Computing the Stationary Probabilities of a Markov Chain
• Fast multilevel methods for Markov chains.
• An Aggregation/Disaggregation Algorithm for Stochastic Automata Networks
• Blockwise perturbation theory for nearly uncoupled Markov chains and its application
• Aggregation Methods for Computing Steady States in Statistical Physics
• Graph-based product form
• Analytical perturbations in Markov chains
• A solver for the stochastic master equation applied to gene regulatory networks

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