Accurate Computation of the Fundamental Matrix of a Markov Chain

DOI10.1137/S0895479893258814MaRDI QIDQ4842574zbMATH OpenFDO

Authors Daniel P. Heyman

Publication date 8 October 1995

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

zbMATH Keywords

Gaussian eliminationdirect methodsfirst-passage-timessteady-state probabilities

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Roundoff error (65G50)

Recommendations

• Stable computation with the fundamental matrix of a Markov chain
• scientific article; zbMATH DE number 956804
• Computing the fundamental matrix for a nonirreducible Markov chain
• A probabilistic algorithm for determining the fundamental matrix of a block M/G/1 Markov chain
• Computing the fundamental matrix of an M/G/1–type Markov chain

Cited in

(12)

• Robust power series algorithm for epistemic uncertainty propagation in Markov chain models
• Computation of current cumulants for small nonequilibrium systems
• An iterative algorithm for computing mean first passage times of Markov chains
• 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
• Parallel computing for Markov chains with islands and ports
• Stationary distributions and mean first passage times of perturbed Markov chains
• Development of computational algorithm for multiserver queue with renewal input and synchronous vacation
• Stable computation with the fundamental matrix of a Markov chain
• A probabilistic algorithm for determining the fundamental matrix of a block M/G/1 Markov chain
• Recursive algorithm for the fundamental group inverse matrix of a Markov chain from an explicit formula
• Computing the Fundamental Matrix for a Reducible Markov Chain

This page was built for publication: Accurate Computation of the Fundamental Matrix of a Markov Chain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4842574)