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Iterative Aggregation/Disaggregation Methods for Computing Some Characteristics of Markov Chains
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Iterative Aggregation/Disaggregation Methods for Computing Some Characteristics of Markov Chains
Ivo Marek7  and Petr Mayer8
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Faculty of Civil Engineering, Czech Insititute of Technology, Prague, Thäkurova 7, 166 29, Praha, Czech Republic |
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Faculty of Mathematics and Physics, Charles University, Prague, Sokolovskä 83, 185 00, Praha 8, Czech Republic |
Abstract
A class of iterative aggregation/disaggregation methods (IAD) for computation some important characteristics of Markov chains
such as stationary probability vectors and mean first passage times matrices is presented and convergence properties of the
corresponding algorithms are analyzed.
Research has been supported by grants No. MSM 210000010 and No. MSM 113200007.
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