A note on the extended convergence of SOR for two-periodic Markov chains (Q1301310)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the extended convergence of SOR for two-periodic Markov chains |
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A note on the extended convergence of SOR for two-periodic Markov chains (English)
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28 June 2000
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The author gives a simple proof to show that for two-periodic Markov chains the successive overrelaxation (SOR) method is convergent in computing the stationary distribution even in cases when \(\omega\not\in (0,2)\). The proof is based on the well-known convergence properties of power iteration.
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two-periodic Markov chains
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successive overrelaxation
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stationary distribution
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convergence
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power iteration
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