Electronic Resource
Springer
Numerische Mathematik
59 (1991), S. 1-11
ISSN:
0945-3245
Keywords:
AMS(MOS): Primary 65F05
;
65G05
;
Secondary: 15A51
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01385767
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