Iterative aggregation/disaggregation techniques for nearly uncoupled markov chains

DOI10.1145/3828.214137zbMath0628.65145OpenAlexW2033031224MaRDI QIDQ3765213

Wei-Lu Cao, William J. Stewart

Publication date: 1985

Published in: Journal of the ACM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/3828.214137

zbMATH Keywords

eigenvalueMarkov chainsdecomposabilitystationary probability vectorasymptotic rate of convergenceIterative aggregation/disaggregation methodsmodified block Gauss-Seidelmodified block Jacobi

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Iterative numerical methods for linear systems (65F10) Probabilistic methods, stochastic differential equations (65C99)

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