A robust spectral method for finding lumpings and meta stable states of non-reversible Markov chains

zbMATH Open1206.15009arXiv0810.1127MaRDI QIDQ625577FDOQ625577

Authors: Martin Nilsson 

Publication date: 17 February 2011

Published in: ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Abstract: A spectral method for identifying lumping in large Markov chains is presented. Identification of meta stable states is treated as a special case. The method is based on spectral analysis of a self-adjoint matrix that is a function of the original transition matrix. It is demonstrated that the technique is more robust than existing methods when applied to noisy non-reversible Markov chains.

Full work available at URL: https://arxiv.org/abs/0810.1127

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zbMATH Keywords

Markov chainaggregationmodularitystochastic matrixlumpingmetastable statesblock diagonal dominanceblock stochastic

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic matrices (15B51)

Cited In (3)

• A probabilistic algorithm for aggregating vastly undersampled large Markov chains
• Characterization of exact lumpability for vector fields on smooth manifolds
• Spectral clustering for non-reversible Markov chains

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