Further Comparisons of Direct Methods for Computing Stationary Distributions of Markov Chains

DOI10.1137/0608020MaRDI QIDQ3028309zbMATH OpenOpenAlexFDO

Authors Daniel P. Heyman

Publication date 1987

Published in SIAM Journal on Algebraic Discrete Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0608020

zbMATH Keywords

block- tridiagonal matricesdirect methodsergodic statesGaussian eliminationsparsity schemesstationary distribution of an irreducible Markov chain

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to probability theory (60-04) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• Comparison of Some Direct Methods for Computing Stationary Distributions of Markov Chains
• Computation of the stationary distribution of a markov chain
• scientific article; zbMATH DE number 3793743 (Why is no real title available?)
• Iterative Methods for Computing Stationary Distributions of Nearly Completely Decomposable Markov Chains
• Matrix Methods for Queuing Problems
• Regenerative Analysis and Steady State Distributions for Markov Chains

Cited in

(16)

• Using state reduction for computing steady state vectors in Markov chains of \(M/G/1\) type
• Optimizing steady state Markov chains by state reduction
• The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem
• Entrywise perturbation theory and error analysis for Markov chains
• 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
• Comparison of Some Direct Methods for Computing Stationary Distributions of Markov Chains
• scientific article; zbMATH DE number 19251 (Why is no real title available?)
• Computing absorption probabilities for a Markov chain
• Comparacion numerica de algoritmos para calcular distribuciones estacionarias de cadenas de Markov finitas
• scientific article; zbMATH DE number 510835 (Why is no real title available?)
• A Parallel Implementation of the GTH Algorithm
• Computing the fundamental matrix for a nonirreducible Markov chain
• scientific article; zbMATH DE number 1424145 (Why is no real title available?)
• A stochastic analysis of the dynamic space utilization in warehouses
• Exact algorithms for singular tridiagonal systems with applications to Markov chains

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