Huge Markov chains

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1 total messages Started by Nicola Muscettola Tue, 04 Aug 1992 15:16

#185

Author: Nicola Muscettola
Date: Tue, 04 Aug 1992 15:16

15 lines
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I am looking at a problem that requires to find the stationary distribution
of a discrete Markov chain with order 10e+04 states with a transition
matrix that is only about 4% full (and that, in fact, could be easily generated
at run time, given the very regular structure of the chain).

I would appreciate if anybody had information on fast numerical
methods to solve this sort of problem.

I would appreciate e-mail responses. I will post an edited summary of
the responses on the boards.

-- Nicola Muscettola
   The Robotics Institute
   Carnegie Mellon University
   Pittsburgh, PA 15217

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