Iterative algorithms for large stochastic matrices

DOI10.1016/0024-3795(91)90374-6MaRDI QIDQ808164zbMATH OpenOpenAlexFDO

Authors Pierre Semal

Publication date 1991

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0024-3795(91)90374-6

zbMATH Keywords

convergence ratesGauss- Seidel methoditerative methodsJacobi methodperformancepower methodstochastic matrix

Mathematics Subject Classification ID

Stochastic matrices (15B51) Iterative numerical methods for linear systems (65F10)

Review text

Among the best-known iterative methods are the power method, the Jacobi method, and the Gauss-Seidel method. None of these methods can be proved to present, a priori, better performance than the others. This paper aims at providing a practical criterion which allows one to compare the convergence rates of these methods. This measure is an approximation of the modules of the second largest eigenvalue of the iteration matrix and can be determined a priori.

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Cited in

(6)

• Random-walk interpretations of classical iteration methods
• scientific article; zbMATH DE number 3886983 (Why is no real title available?)
• Fast algorithms for Brownian matrices
• The extrapolated gauss-seidel methods and generally consistently ordered matrices
• scientific article; zbMATH DE number 1329129 (Why is no real title available?)
• Analysis of BMAP/PH/1/K queueing model with controllable group service, setup time and balking

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