Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain
| Title | Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain |
| Publication Type | Journal Articles |
| Year of Publication | 1998 |
| Authors | Heyman DP, O'Leary DP |
| Journal | SIAM Journal on Matrix Analysis and Applications |
| Volume | 19 |
| Issue | 2 |
| Pagination | 534 - 540 |
| Date Published | 1998/// |
| Keywords | decision process, fundamental matrix, Markov chains |
| Abstract | We present an algorithm for solving linear systems involving the probability or rate matrix for a Markov chain. It is based on a UL factorization but works only with a submatrix of the factor U. We demonstrate its utility on Erlang-B models as well as more complicated models of a telephone multiplexing system. |
| URL | http://link.aip.org/link/?SML/19/534/1 |
| DOI | 10.1137/S0895479896301753 |