Parallel computing for Markov chains with islands and ports

Amod J. Basnet () and Isaac M. Sonin ()
Additional contact information
Amod J. Basnet: University of North Carolina at Charlotte
Isaac M. Sonin: University of North Carolina at Charlotte

Annals of Operations Research, 2022, vol. 317, issue 2, No 2, 335-352

Abstract: Abstract We develop an algorithm to calculate invariant distributions of large Markov chains whose state spaces are partitioned into “islands” and “ports”. An island is a group of states (cluster) with potentially many connections inside of the island but a relatively small number of connections between islands. The states connecting different islands are called ports. Our algorithm is developed in the framework of the “state reduction approach”, but the special structure of the state space allows calculation of the invariant distribution to be done in parallel. Additional problems such as computation of fundamental matrices and optimal stopping problems are also analyzed for such Markov chains.

Keywords: Markov chains; Invariant distribution; Islands and ports; Parallel computing; State reduction approach (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-017-2727-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:317:y:2022:i:2:d:10.1007_s10479-017-2727-5

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-017-2727-5

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().