On the use of periodicity properties for the efficient numerical solution of certain Markov chains

DOI10.1002/nla.1680010305zbMath0839.65154OpenAlexW1970913940MaRDI QIDQ4868082

William J. Stewart, François Bonhoure, Yves Dallery

Publication date: 17 April 1996

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nla.1680010305

zbMATH Keywords

reduced systemnumerical experimentseigenvalue problemsstationary probability vectorsdirect and iterative methodsperiodic Markov chains\(P\)-cyclic graph structurecontinuous and discrete-time Markov chains

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic methods, stochastic differential equations (65C99)

Related Items

The Rayleigh-Ritz method, refinement and Arnoldi process for periodic matrix pairs, A periodic Krylov-Schur algorithm for large matrix products, The periodic QR algorithm is a disguised QR algorithm, A note on the extended convergence of SOR for two-periodic Markov chains

Uses Software

• MARCA

Cites Work

• Numerical Experiments with Iteration and Aggregation for Markov Chains
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