An adaptive aggregation/disaggregation algorithm for hierarchical Markovian models (Q1610177)
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scientific article; zbMATH DE number 1783251
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| English | An adaptive aggregation/disaggregation algorithm for hierarchical Markovian models |
scientific article; zbMATH DE number 1783251 |
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An adaptive aggregation/disaggregation algorithm for hierarchical Markovian models (English)
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18 August 2002
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The analysis of continuous time Markov chains with huge state spaces requires considerable numerical effort. The author develops an algorithm for the evaluation of the stationary probabilities vector applicable to a quite general class of models. Hierarchically structured chains can be described by a generator matrix with a compact tensor representation. The algorithm combines SOR iterations exploiting the tensor structure with adaptive aggregation/disaggregation steps. Several examples are given to compare the performance of different variants of the algorithm.
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Markov processes
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hierarchical models
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steady state analysis
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iterative techniques
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aggregation/disaggregation
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0.833043098449707
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