Inexact uniformization and GMRES methods for large Markov chains.

DOI10.1002/NLA.794MaRDI QIDQ4897511zbMATH OpenOpenAlexFDO

Authors Roger B. Sidje

Publication date 19 December 2012

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

Full work available at URL https://doi.org/10.1002/nla.794

zbMATH Keywords

generalized minimal residual methodsinexact algorithmsinexact GMRESinexact uniformizationiterative methodMarkov chainrelaxed matrix-vector product

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Evaluation of the performance of inexact GMRES
• Expokit
• Functions of Matrices
• Inexact Krylov Subspace Methods for Linear Systems
• Inexact Matrix-Vector Products in Krylov Methods for Solving Linear Systems: A Relaxation Strategy
• Inexact Uniformization Method for Computing Transient Distributions of Markov Chains
• Iterative methods for overflow queuing models. II
• Numerical Methods in Markov Chain Modeling
• Theory of Inexact Krylov Subspace Methods and Applications to Scientific Computing

Cited in

(5)

• Analysis of inexact Krylov subspace methods for approximating the matrix exponential
• Finite state projection for approximating the stationary solution to the chemical master equation using reaction rate equations
• Inexact Uniformization Method for Computing Transient Distributions of Markov Chains
• A new \(\mathrm{GMRES}(m)\) method for Markov chains
• Inexact GMRES for singular linear systems

Describes a project that uses

Uses Software

• Expokit
• mftoolbox

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