Iterative aggregation/disaggregation techniques for nearly uncoupled markov chains

DOI10.1145/3828.214137MaRDI QIDQ3765213zbMATH OpenOpenAlexFDO

Authors Wei-Lu Cao, William J. Stewart

Publication date 1985

Published in Journal of the ACM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/3828.214137

zbMATH Keywords

asymptotic rate of convergencedecomposabilityeigenvalueIterative aggregation/disaggregation methodsMarkov chainsmodified block Gauss-Seidelmodified block Jacobistationary probability vector

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99) Iterative numerical methods for linear systems (65F10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

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