TY - JOUR
T1 - Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain
JF - SIAM Journal on Matrix Analysis and Applications
Y1 - 1998
A1 - Heyman,Daniel P.
A1 - O'Leary, Dianne P.
KW - decision process
KW - fundamental matrix
KW - Markov chains
AB - We present an algorithm for solving linear systems involving the probability or rate matrix for a Markov chain. It is based on a UL factorization 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.
VL - 19
UR - http://link.aip.org/link/?SML/19/534/1
CP - 2
M3 - 10.1137/S0895479896301753
ER -