Numerical Solution of Linear Equations Arising in Markov Chain Models

DOI10.1287/IJOC.1.1.52zbMATH Open0757.65156OpenAlexW2152254641MaRDI QIDQ4018153FDOQ4018153

Authors: Daniel P. Heyman, Alyson Reeves 

Publication date: 16 January 1993

Published in: ORSA Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.1.1.52

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zbMATH Keywords

Markov chainssubstochastic matrixcomparison of methodsfirst-passage timesnon-iterative methodsstate-reduction

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Direct numerical methods for linear systems and matrix inversion (65F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (25)

• Title not available (Why is that?)
• Influence of Preconditioning and Blocking on Accuracy in Solving Markovian Models
• Accurate calculations of stationary distributions and mean first passage times in Markov renewal processes and Markov chains
• Stationary distributions and mean first passage times of perturbed Markov chains
• Variances of first passage times in a Markov chain with applications to mixing times
• Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming
• Solution methods for discrete-state Markovian initial value problems
• State reduction in a Markov decision process
• Title not available (Why is that?)
• Numerical Methods in Markov Chain Modeling
• Computing the Decay of a Simple Reversible Sub-Markov Semigroup
• The computation of key properties of Markov chains via perturbations
• Numerical solution of sparse singular systems of equations arising from ergodic markov chains
• Using state reduction for computing steady state vectors in Markov chains of \(M/G/1\) type
• Optimizing steady state Markov chains by state reduction
• Development of computational algorithm for multiserver queue with renewal input and synchronous vacation
• Robust power series algorithm for epistemic uncertainty propagation in Markov chain models
• The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem
• The computation of the mean first passage times for Markov chains
• Numerical computation of mean passage times and absorption probabilities in Markov and Semi-Markov models
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• An algorithmic approach for a special class of Markov chains
• A numerical algorithm on the computation of the stationary distribution of a discrete time homogenous finite Markov chain
• Title not available (Why is that?)
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