TY - JOUR
T1 - The Jump Start Power Method
T2 - A New Approach for Computing the Ergodic Projector of a Finite Markov Chain
AU - Berkhout, Joost
AU - Heidergott, Bernd F.
PY - 2019/3
Y1 - 2019/3
N2 - This article presents a new numerical method for approximately computing the ergodic projector of a finite Markov chain. Our approach requires neither structural information on the chain, such as, the identification of ergodic classes, transient states, or qualitative information, such as whether the chain is nearly decomposable or not. The theoretical deduction of the new method is corroborated by an extensive numerical study.
AB - This article presents a new numerical method for approximately computing the ergodic projector of a finite Markov chain. Our approach requires neither structural information on the chain, such as, the identification of ergodic classes, transient states, or qualitative information, such as whether the chain is nearly decomposable or not. The theoretical deduction of the new method is corroborated by an extensive numerical study.
KW - Markov multi-chains
KW - Nearly decomposable
KW - Numerical evaluation
KW - Power method
KW - Transient states
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U2 - 10.1007/s10915-018-0828-1
DO - 10.1007/s10915-018-0828-1
M3 - Article
AN - SCOPUS:85053681736
SN - 0885-7474
VL - 78
SP - 1691
EP - 1723
JO - Journal of Scientific Computing
JF - Journal of Scientific Computing
IS - 3
ER -