Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain

DOI10.1137/S0895479896301753zbMath0911.65147OpenAlexW1970064696MaRDI QIDQ4389090

Daniel P. Heyman, Dianne P. O'Leary

Publication date: 11 May 1998

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0895479896301753

zbMATH Keywords

algorithmfundamental matrixMarkov chainnumerical simulationdecision processErlang-B modelstelephone multiplexing system

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Direct numerical methods for linear systems and matrix inversion (65F05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

An iterative algorithm for computing mean first passage times of Markov chains ⋮ A Performance Comparison of Density-of-States Methods ⋮ STOCHASTIC ANALYSIS OF CELLULAR AUTOMATA WITH APPLICATION TO THE VOTER MODEL

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