On stochasticity preserving methods for the computation of the matrix pth root

Tiziano Politi and Marina Popolizio

Mathematics and Computers in Simulation (MATCOM), 2015, vol. 110, issue C, 53-68

Abstract: In this paper we consider the numerical computation of the matrix pth root of stochastic matrices. In particular a collection of theoretical results concerning the pth root of stochastic matrices is reported and some numerical methods are described. The aim of the paper is to highlight the properties of such methods when they are applied to numerically compute the pth root of a stochastic matrix when it is expected to be stochastic too.

Keywords: Stochastic matrices; Matrix functions; Matrix pth root function (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:110:y:2015:i:c:p:53-68

DOI: 10.1016/j.matcom.2014.01.002

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