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

DOI10.1002/NLA.1680010305MaRDI QIDQ4868082zbMATH OpenOpenAlexFDO

Authors François Bonhoure, William J. Stewart, 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

\(P\)-cyclic graph structurecontinuous and discrete-time Markov chainsdirect and iterative methodseigenvalue problemsnumerical experimentsperiodic Markov chainsreduced systemstationary probability vectors

Mathematics Subject Classification ID

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) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cites work

• scientific article; zbMATH DE number 3648910 (Why is no real title available?)
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 3215568 (Why is no real title available?)
• scientific article; zbMATH DE number 3319130 (Why is no real title available?)
• Numerical Experiments with Iteration and Aggregation for Markov Chains

Cited in

(7)

• A note on the extended convergence of SOR for two-periodic Markov chains
• A periodic Krylov-Schur algorithm for large matrix products
• The periodic QR algorithm is a disguised QR algorithm
• scientific article; zbMATH DE number 440644 (Why is no real title available?)
• scientific article; zbMATH DE number 4119358 (Why is no real title available?)
• Numerical Solutions for Patterns Statistics on Markov Chains
• The Rayleigh-Ritz method, refinement and Arnoldi process for periodic matrix pairs

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