The Jump Start Power Method: A New Approach for Computing the Ergodic Projector of a Finite Markov Chain

Joost Berkhout, Bernd F. Heidergott*

*Corresponding author for this work

Research output: Contribution to JournalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)1691-1723
Number of pages33
JournalJournal of Scientific Computing
Volume78
Issue number3
DOIs
Publication statusPublished - Mar 2019

    Fingerprint

Keywords

  • Markov multi-chains
  • Nearly decomposable
  • Numerical evaluation
  • Power method
  • Transient states

Cite this