Local convergence of the (exact and inexact) iterative aggregation method for linear systems and Markov operators

DOI10.1007/S002110050080MaRDI QIDQ1347065zbMATH OpenOpenAlexWikidataFDO

Authors Ivo Marek, Daniel B. Szyld

Publication date 15 October 1995

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002110050080

zbMATH Keywords

Banach spacesiterative aggregation methodlocal convergenceMarkov operatorsmethod with inexact correctionoperator equationsstochastic matrices

Mathematics Subject Classification ID

Equations and inequalities involving linear operators, with vector unknowns (47A50) Iterative numerical methods for linear systems (65F10) Numerical solutions to equations with linear operators (65J10)

Review text

The iterative aggregation method for the solution of linear systems is extended in several directions: to operator equations on Banach spaces; to the method with inexact correction, i.e., to methods where the (inner) linear system is in turn solved iteratively; and to the problem of finding stationary distributions of Markov operators. Local convergence is shown in all cases. The authors provide the proof of convergence for the iterative aggregation method for general stochastic matrices, not necessarily nearly decomposable matrices. The proofs are more general than that, they apply to Markov processes in general Banach spaces. The proofs are based on the idea of associating to the Markov operator a core operator which is zero-convergent, and on studying the convergence of the iterative aggregation method for the new associated system.

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