Computing the exponential of an intensity matrix

DOI10.1016/0377-0427(93)90036-BMaRDI QIDQ1801855zbMATH OpenFDO

Authors Brian J. Melloy, G. K. Bennett

Publication date 17 August 1993

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(93)90036-B

zbMATH Keywords

intensity matrixMarkov processmatrix exponentialpreconditioningscaling and squaring method

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Computation of special functions and constants, construction of tables (65D20)

Review text

The probability state vector of a discrete-state continuous-time Markov process can be expressed as \(\pi(t) = e^{Qt}\pi(0)\), where \(Q\) is the intensity matrix satisfying \(q_{ij} \geq 0\) for all \(i \neq j\) and \(\sum^ n_{j=1}q_{ij} = 0\) for all \(i\). The scaling and squaring method for computing the matrix exponential is based on the identity \(e^{Qt} = e^{-qt}[e^{2^{-m}Q't}]^{2^ m}\), where \(Q' = Q+qI\) and the number \(m\) is chosen so that \(2^{m-1} \leq \| Q't\| < 2^ m\). The number \(q\) is chosen so that \(\| Q'\|\) is minimized and can be computed exactly for an intensity matrix. With this preconditioning, the exponential \(e^{2^{-m}Q't}\) can be computed using either Padé or Taylor approximants, and the desired matrix \(e^{Qt}\) by successive squaring of the result. This procedure circumvents many of the reliability problems associated with the standard procedure.

Recommendations

• Computing the action of the matrix exponential, with an application to exponential integrators
• A numerical study of large sparse matrix exponentials arising in Markov chains.
• New scaling-squaring Taylor algorithms for computing the matrix exponential
• A practical method for computing the exponential of a matrix and its integral
• The scaling and squaring method for the matrix exponential revisited

Cites work

• Balancing a matrix for calculation of eigenvalues and eigenvectors
• scientific article; zbMATH DE number 3793743 (Why is no real title available?)
• scientific article; zbMATH DE number 3595694 (Why is no real title available?)
• scientific article; zbMATH DE number 3596160 (Why is no real title available?)
• scientific article; zbMATH DE number 3892457 (Why is no real title available?)
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Numerical Computation of the Matrix Exponential with Accuracy Estimate
• On Some Common Interests Among Reliability, Inventory, and Queuing
• The Sensitivity of the Matrix Exponential
• Truncated Taylor series approximation to the state transition matrix of a continuous parameter finite Markov chain
• Truncation and round-off errors in computation of matrix exponentials

Cited in

(3)

• Direct statistical inference for finite Markov jump processes via the matrix exponential
• The linear birth-death process: an inferential retrospective
• Quasi-likelihood-based EM algorithm for regime-switching SDE

This page was built for publication: Computing the exponential of an intensity matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1801855)