A Block-GTH Algorithm for Finding the Stationary Vector of a Markov Chain

DOI10.1137/S0895479894262534MaRDI QIDQ4891692zbMATH OpenOpenAlexFDO

Authors Dianne P. O'Leary, Yuan-Jye Jason Wu

Publication date 17 September 1997

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

Full work available at URL https://doi.org/10.1137/s0895479894262534

zbMATH Keywords

Gaussian eliminationGTH algorithmMarkov chainrelative error boundsstationary vector

Mathematics Subject Classification ID

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

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