Optimal Kullback-Leibler approximation of Markov chains via nuclear norm regularisation

DOI10.1080/00207721.2013.844284MaRDI QIDQ2792941zbMATH OpenOpenAlexFDO

Authors Kun Deng, Dayu Huang

Publication date 14 March 2016

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207721.2013.844284

zbMATH Keywords

Kullback-Leibler divergence ratelow-rank approximationMarkov chainnuclear norm regularisationproximal splitting algorithm

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(4)

• Optimal Hankel-norm approximation approach to model reduction of large-scale Markov chains
• Learning Markov models via low-rank optimization
• Adaptive low-nonnegative-rank approximation for state aggregation of Markov chains
• Optimal Kullback-Leibler Aggregation via Spectral Theory of Markov Chains

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