Abstract
We consider the problem of computing the stationary distribution of a Markov chain when the block form of the transition matrix is cyclic. We show how to adapt Gaussain elimination to exploit this structure. When there are p blocks of approximately equal size, the savings in computational effort from exploiting this structure is a factor of about 3/p 2.
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© 1993 Springer-Verlag New York, Inc.
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Heyman, D.P. (1993). A Direct Algorithm for Computing the Stationary Distribution of a P-Cyclic Markov Chain. In: Meyer, C.D., Plemmons, R.J. (eds) Linear Algebra, Markov Chains, and Queueing Models. The IMA Volumes in Mathematics and its Applications, vol 48. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-8351-2_13
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DOI: https://doi.org/10.1007/978-1-4613-8351-2_13
Publisher Name: Springer, New York, NY
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