Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain

Authors:
Daniel P. Heyman;Dianne P. O'Leary
Affiliations:
-;-
Venue:
SIAM Journal on Matrix Analysis and Applications
Year:
1998

Citing 0
Cited 2

Stochastic Analysis of Cellular Automata and the Voter Model

ACRI '01 Proceedings of the 5th International Conference on Cellular Automata for Research and Industry
THE DEVIATION MATRIX OF A CONTINUOUS-TIME MARKOV CHAIN

Probability in the Engineering and Informational Sciences

Quantified Score

Hi-index	0.00

Visualization

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.