Accurate Computation of the Fundamental Matrix of a Markov Chain

DOI10.1137/S0895479893258814zbMATH Open0823.60056MaRDI QIDQ4842574FDOQ4842574

Authors: Daniel P. Heyman 

Publication date: 8 October 1995

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

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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)

Cited In (12)

• Stationary distributions and mean first passage times of perturbed Markov chains
• 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
• Computation of current cumulants for small nonequilibrium systems
• A probabilistic algorithm for determining the fundamental matrix of a block M/G/1 Markov chain
• Parallel computing for Markov chains with islands and ports
• An iterative algorithm for computing mean first passage times of Markov chains
• 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
• Stable computation with the fundamental matrix of a Markov chain

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