Numerical Solution of Large Finite Markov Chains by Algebraic Multigrid Techniques

Udo R. Krieger ()
Additional contact information
Udo R. Krieger: Deutsche Bundespost Telekom Research and Technology Centre

Chapter 23 in Computations with Markov Chains, 1995, pp 403-424 from Springer

Abstract: Abstract Iterative aggregation/disaggregation procedures are a convenient numerical solution method for computing the stationary distribution vector of an ergodic homogeneous Markov chain with a finite state space. We show the equivalence of this method and a two-level multigrid method. Based on error results of the A/D-method, we provide an error analysis of an efficient multigrid variant of the multiplicative Schwars-iteration method. Furthermore, we apply these results to a multigrid version of the replacement process approach developed by Sumita and Rieders.

Keywords: Markov Chain; Coarse Grid; Probability Vector; Multigrid Method; Finite Markov Chain (search for similar items in EconPapers)
Date: 1995
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:sprchp:978-1-4615-2241-6_23

Ordering information: This item can be ordered from
http://www.springer.com/9781461522416

DOI: 10.1007/978-1-4615-2241-6_23

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().