OVERCOMING INSTABILITY IN COMPUTING THE FUNDAMENTAL MATRIX FOR A MARKOV-CHAIN

Authors
HEYMAN DP OLEARY DP
Citation
Dp. Heyman et Dp. Oleary, OVERCOMING INSTABILITY IN COMPUTING THE FUNDAMENTAL MATRIX FOR A MARKOV-CHAIN, SIAM journal on matrix analysis and applications, 19(2), 1998, pp. 534-540
Citations number
7
Categorie Soggetti
Mathematics,Mathematics
Journal title
SIAM journal on matrix analysis and applications → ACNP
ISSN journal
08954798
Volume
19
Issue
2
Year of publication
1998
Pages
534 - 540
Database
ISI
SICI code
0895-4798(1998)19:2<534:OIICTF>2.0.ZU;2-Y
Abstract
We present an algorithm for solving linear systems involving the proba bility or rate matrix for a Markov chain. It is based on a UL factoriz ation but works only with a submatrix of the factor U. We demonstrate its utility on Erlang-B models as well as more complicated models of a telephone multiplexing system.