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

Joost Berkhout; Bernd F. Heidergott

doi:10.1007/s10915-018-0828-1

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 Journal › Article › Academic › peer-review

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 language	English
Pages (from-to)	1691-1723
Number of pages	33
Journal	Journal of Scientific Computing
Volume	78
Issue number	3
DOIs	https://doi.org/10.1007/s10915-018-0828-1
Publication status	Published - Mar 2019

Keywords

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

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10.1007/s10915-018-0828-1

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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.",

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KW - Numerical evaluation

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KW - Transient states

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

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Keywords

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