Journal
SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS
Volume 27, Issue 2, Pages 396-412Publisher
SIAM PUBLICATIONS
DOI: 10.1137/S0895479804442462
Keywords
Markov chains; unsafe states; first passage times; mean; variance; moments; Grassmann-Taksar-Heyman algorithm
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This paper presents a relatively efficient and accurate method to compute the moments of first passage times to a subset of states in finite ergodic Markov chains. With the proposed method, the moment computation problem is reduced to the solution of a linear system of equations with the right-hand side governed by a novel recurrence for computing the higher-order moments. We propose using a form of the Grassmann-Taksar-Heyman (GTH) algorithm to solve these linear equations. Due to the form of the linear systems involved, the proposed method does not suffer from the drawbacks associated with GTH in a row-wise sparse implementation.
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