An exact aggregation/disaggregation algorithm for large scale markov chains

David S. Kim and Robert L. Smith

Naval Research Logistics (NRL), 1995, vol. 42, issue 7, 1115-1128

Abstract: Many Markov chain models have very large state spaces, making the computation of stationary probabilities very difficult. Often the structure and numerical properties of the Markov chain allows for more efficient computation through state aggregation and disaggregation. In this article we develop an efficient exact single pass aggregation/disaggregation algorithm which exploits structural properties of large finite irreducible mandatory set decomposable Markov chains. The required property of being of mandatory set decomposable structure is a generalization of several other Markov chain structures for which exact aggregation/disaggregation algorithms exist. © 1995 John Wiley & Sons, Inc.

Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/1520-6750(199510)42:73.0.CO;2-W

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:wly:navres:v:42:y:1995:i:7:p:1115-1128

Access Statistics for this article

More articles in Naval Research Logistics (NRL) from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().