Overcomimg Instability in Computing the Fundamental Matrix
for a Markov Chain
Overcomimg Instability in Computing the Fundamental Matrix
for a Markov Chain
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Abstract
We present an algorithm for solving linear systems involving the probability or rate matrix for a Markov chain. It is based on a UL factorization but works only with a submatrix of the factor U. We demonstrate its utility on Erlang-B models as well as more complicated models of a telephone multiplexing system.
(Also cross-referenced as UMIACS-TR-96-24)