A new GMRES(m) method for Markov chains

MaRDI QIDQ459638zbMATH OpenFDO

Authors Bing-Yuan Pu, Ting-Zhu Huang, Chun Wen

Publication date 13 October 2014

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Iterative numerical methods for linear systems (65F10) Numerical computation of determinants (65F40)

Review text

Summary: This paper presents a class of new accelerated restarted GMRES method for calculating the stationary probability vector of an irreducible Markov chain. We focus on the mechanism of this new hybrid method by showing how to periodically combine the GMRES and vector extrapolation method into a much efficient one for improving the convergence rate in Markov chain problems. Numerical experiments are carried out to demonstrate the efficiency of our new algorithm on several typical Markov chain problems.

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• A new multivariate Markov chain model for adding a new categorical data sequence
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