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

DOI10.1137/0905033MaRDI QIDQ3692813zbMATH OpenOpenAlexFDO

Authors 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

comparisondirect methodserror analysisLU factorizationM-matrixMarkov chainprobability distribution vectorsparsity schemesstationary distributionsstochastic process

Mathematics Subject Classification ID

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

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Cited in

(24)

• Sensitivity of the stationary distribution vector for an ergodic Markov chain
• Stationary distributions of perturbed Markov chains
• Characterizations of generalized inverses associated with Markovian kernels
• Entrywise perturbation theory and error analysis for Markov chains
• A direct projection method for Markov chains
• The Ostrowski-Reich theorem for SOR iterations: Extensions to the rank deficient case
• Conference celebrating the 60th birthday of Robert J. Plemmons. Papers from the conference, Winston-Salem, NC, USA, January 1999
• Dedication to Robert J. Plemmons
• The computation of the mean first passage times for Markov chains
• Accurate calculations of stationary distributions and mean first passage times in Markov renewal processes and Markov chains
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Further Comparisons of Direct Methods for Computing Stationary Distributions of Markov Chains
• A Combined Direct-Iterative Method for Certain M-Matrix Linear Systems
• Influence of Preconditioning and Blocking on Accuracy in Solving Markovian Models
• Structural transformations of probabilistic finite state machines
• Updating LU Factorizations for Computing Stationary Distributions
• On the Smallest Positive Singular Value of a Singular M-Matrix with Applications to Ergodic Markov Chains
• Iterative Methods for Computing Stationary Distributions of Nearly Completely Decomposable Markov Chains
• An Efficient Factorization for the Group Inverse
• Comparacion numerica de algoritmos para calcular distribuciones estacionarias de cadenas de Markov finitas
• Convergent Iterations for Computing Stationary Distributions of Markov Chains
• GRSIM: A FORTRAN subroutine for the solution of non-symmetric linear systems
• Analytical perturbations in Markov chains
• On a direct method for the solution of nearly uncoupled Markov chains

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