IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-1-4615-2241-6_7.html
   My bibliography  Save this book chapter

Transient Solutions of Markov Processes by Krylov Subspaces

In: Computations with Markov Chains

Author

Listed:
  • Bernard Philippe

    (INRIA-IRISA, Campus de Beaulieu)

  • Roger B. Sidje

    (INRIA-IRISA, Campus de Beaulieu)

Abstract

In this note we exploit the knowledge embodied in infinitesimal generators of Markov processes to compute efficiently and economically the transient solution of continuous time Markov processes. We consider the Krylov subspace approximation method which has been analysed by Gallopoulos and Saad for solving partial differential equations and linear ordinary differential equations [7, 17]. We place special emphasis on error bounds and stepsize control. We illustrate the usefulness of the approach by providing some application examples.

Suggested Citation

  • Bernard Philippe & Roger B. Sidje, 1995. "Transient Solutions of Markov Processes by Krylov Subspaces," Springer Books, in: William J. Stewart (ed.), Computations with Markov Chains, chapter 7, pages 95-119, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4615-2241-6_7
    DOI: 10.1007/978-1-4615-2241-6_7
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-1-4615-2241-6_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.