Transient Solutions of Markov Processes by Krylov Subspaces

Bernard Philippe and Roger B. Sidje
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Bernard Philippe: INRIA-IRISA, Campus de Beaulieu
Roger B. Sidje: INRIA-IRISA, Campus de Beaulieu

Chapter 7 in Computations with Markov Chains, 1995, pp 95-119 from Springer

Abstract: Abstract In this note we exploit the knowledge embodied in infinitesimal generators of Markov processes to compute efficiently and economically the transient solution of continuous time Markov processes. We consider the Krylov subspace approximation method which has been analysed by Gallopoulos and Saad for solving partial differential equations and linear ordinary differential equations [7, 17]. We place special emphasis on error bounds and stepsize control. We illustrate the usefulness of the approach by providing some application examples.

Keywords: Markov Process; Krylov Subspace; Sparsity Pattern; Local Truncation Error; Transient Solution (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-2241-6_7

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DOI: 10.1007/978-1-4615-2241-6_7

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