On a direct method for the solution of nearly uncoupled Markov chains

DOI10.1007/BF01385767zbMath0697.65016MaRDI QIDQ911215

N. E. Zubov

Publication date: 1991

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/133536

zbMATH Keywords

Gaussian eliminationdirect methodnearly uncoupled Markov chainscondition numbersrounding errorsLU decompositiondiagonal pivoting

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Roundoff error (65G50) Direct numerical methods for linear systems and matrix inversion (65F05) Stochastic matrices (15B51)

Related Items (6)

Perturbation results for nearly uncoupled Markov chains with applications to iterative methods ⋮ Entrywise perturbation theory and error analysis for Markov chains ⋮ Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes ⋮ An iterative aggregation/disaggregation procedure for modelling the long-term behaviour of continuous-time evanescent random processes ⋮ A direct projection method for Markov chains ⋮ Optimizing steady state Markov chains by state reduction

Cites Work

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• LU decomposition of M-matrices by elimination without pivoting
• Computable Error Bounds for Aggregated Markov Chains
• Comparison of Some Direct Methods for Computing Stationary Distributions of Markov Chains
• Regenerative Analysis and Steady State Distributions for Markov Chains
• On the Smallest Positive Singular Value of a Singular M-Matrix with Applications to Ergodic Markov Chains
• Solution of Homogeneous Systems of Linear Equations Arising from Compartmental Models

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