Multigrid methods combined with low-rank approximation for tensor-structured Markov chains
From MaRDI portal
Publication:1990903
Abstract: Markov chains that describe interacting subsystems suffer, on the one hand, from state space explosion but lead, on the other hand, to highly structured matrices. In this work, we propose a novel tensor-based algorithm to address such tensor structured Markov chains. Our algorithm combines a tensorized multigrid method with AMEn, an optimization-based low-rank tensor solver, for addressing coarse grid problems. Numerical experiments demonstrate that this combination overcomes the limitations incurred when using each of the two methods individually. As a consequence, Markov chain models of unprecedented size from a variety of applications can be addressed.
Recommendations
- Multigrid methods for tensor structured Markov chains with low rank approximation
- Low-rank tensor methods for Markov chains with applications to tumor progression models
- Efficient low-rank approximation of the stochastic Galerkin matrix in tensor formats
- Tensor approximation methods for stochastic problems
- Compact adaptive aggregation multigrid method for Markov chains
- On a two-level multigrid solution method for finite Markov chains
- Markov chains and tensor multiplications
- A new \(\mathrm{GMRES}(m)\) method for Markov chains
- Low-rank tensor methods for partial differential equations
Cites work
- scientific article; zbMATH DE number 4078693 (Why is no real title available?)
- scientific article; zbMATH DE number 734901 (Why is no real title available?)
- scientific article; zbMATH DE number 1049350 (Why is no real title available?)
- scientific article; zbMATH DE number 1953444 (Why is no real title available?)
- scientific article; zbMATH DE number 1561761 (Why is no real title available?)
- scientific article; zbMATH DE number 1424146 (Why is no real title available?)
- A projection method to solve linear systems in tensor format
- Alternating minimal energy methods for linear systems in higher dimensions
- Analysis of loss networks with routing
- Approximation of \(2^d\times2^d\) matrices using tensor decomposition
- Compatible relaxation and coarsening in algebraic multigrid
- GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
- General highly accurate algebraic coarsening
- Iterative methods for overflow queueing models. I
- Iterative methods for overflow queuing models. II
- Low-rank tensor methods with subspace correction for symmetric eigenvalue problems
- Matrix Methods for Queuing Problems
- Multigrid methods for tensor structured Markov chains with low rank approximation
- Numerical Methods in Markov Chain Modeling
- On the Convergence of a Class of Multilevel Methods for Large Sparse Markov Chains
- Product-form stationary distributions for deficiency zero chemical reaction networks
- Simultaneous state-time approximation of the chemical master equation using tensor product formats.
- Solution of Linear Systems and Matrix Inversion in the TT-Format
- Stochastic fluctuations in metabolic pathways
- Tensor-train decomposition
- The Kronecker product and stochastic automata networks
- Towards adaptive smoothed aggregation (\(\alpha\)SA) for nonsymmetric problems
Cited in
(2)
This page was built for publication: Multigrid methods combined with low-rank approximation for tensor-structured Markov chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1990903)
