A Cost-Effective Smoothed Multigrid with Modified Neighborhood-Based Aggregation for Markov Chains

Zhao-Li Shen, Ting-Zhu Huang, Bruno Carpentieri and Chun Wen

Mathematical Problems in Engineering, 2015, vol. 2015, 1-15

Abstract:

Smoothed aggregation multigrid method is considered for computing stationary distributions of Markov chains. A judgement which determines whether to implement the whole aggregation procedure is proposed. Through this strategy, a large amount of time in the aggregation procedure is saved without affecting the convergence behavior. Besides this, we explain the shortage and irrationality of the Neighborhood-Based aggregation which is commonly used in multigrid methods. Then a modified version is presented to remedy and improve it. Numerical experiments on some typical Markov chain problems are reported to illustrate the performance of these methods.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:816935

DOI: 10.1155/2015/816935

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