Inexact uniformization method for computing transient distributions of Markov chains. (English) Zbl 1154.65300

Sidje, Roger B.; Burrage, Kevin; Macnamara, Shev

SIAM J. Sci. Comput. 29, No. 6, 2562-2580 (2007).

MSC:

65C40	Numerical analysis or methods applied to Markov chains
60J27	Continuous-time Markov processes on discrete state spaces
65F50	Computational methods for sparse matrices
65F30	Other matrix algorithms (MSC2010)

Keywords:

Markov chains; uniformization; inexact methods; relaxed matrix-vector products; randomization; continuous time Markov chain; large-scale problems; numerical experiments