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On a direct method for the solution of nearly uncoupled Markov chains (1991)

Stewart, G. W. ; Zhang, G.

Springer

Numerische Mathematik 59 (1991), S. 1-11

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Details

ISSN: 0945-3245

Schlagwort(e): AMS(MOS): Primary 65F05 ; 65G05 ; Secondary: 15A51

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik

Notizen: Summary This note is concerned with the accuracy of the solution of nearly uncoupled Markov chains by a direct method based on the LU decomposition. It is shown that plain Gaussian elimination may fail in the presence of rounding errors. A modification of Gaussian elimination with diagonal pivoting and correction of small pivots is proposed and analyzed. It is shown that the accuracy of the solution is affected by two condition numbers associated with aggregation and the coupling respectively.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF01385767

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