An iterative algorithm for computing mean first passage times of Markov chains

Jianhong Xu

Applied Mathematics and Computation, 2015, vol. 250, issue C, 372-389

Abstract: Mean first passage times are an essential ingredient in both the theory and the applications of Markov chains. In the literature, they have been expressed in elegant closed-form formulas. These formulas involve explicit full matrix inversions and, if computed directly, may incur numerical instability.

Keywords: Mean first passage times; Markov chains; Iterative algorithm; Convergence; Rank one updates; Eigenvalues (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:250:y:2015:i:c:p:372-389

DOI: 10.1016/j.amc.2014.11.001

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