Journal ArticleDOI
Iterative aggregation/disaggregation techniques for nearly uncoupled markov chains
Wei-Lu Cao,William J. Stewart +1 more
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TLDR
It is shown that the method of Takahashi corresponds to a modified block Gauss-Seidel step and aggregation, whereas that of Vantilborgh corresponds to an modified block Jacobistep and aggregation.Abstract:
Iterative aggregation/disaggregation methods provide an efficient approach for computing the stationary probability vector of nearly uncoupled (also known as nearly completely decomposable) Markov chains. Three such methods that have appeared in the literature recently are considered and their similarities and differences are outlined. Specifically, it is shown that the method of Takahashi corresponds to a modified block Gauss-Seidel step and aggregation, whereas that of Vantilborgh corresponds to a modified block Jacobi step and aggregation. The third method, that of Koury et al., is equivalent to a standard block Gauss-Seidel step and iteration. For each of these methods, a lemma is established, which shows that the unique fixed point of the iterative scheme is the left eigenvector corresponding to the dominant unit eigenvalue of the stochastic transition probability matrix. In addition, conditions are established for the convergence of the first two of these methods; convergence conditions for the third having already been established by Stewart et al. All three methods are shown to have the same asymptotic rate of convergence.read more
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References
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Book ChapterDOI
Aggregation of Variables in Dynamic Systems
TL;DR: In many problems of economic theory, the general Walrasian system and its more modern dynamic extensions are relatively barren of results for macroeconomics and economic policy.
Journal ArticleDOI
Iterative methods for computing stationary distributions of nearly completely decomposable markov chains
TL;DR: New methods which combine aggregation with point and block iterative techniques for computing the stationary probability vector of a finite ergodic Markov chain are proposed.
Book ChapterDOI
Decomposability of Queueing Networks
TL;DR: In this article, the authors investigated the conditions under which a simple model of a network is nearly completely decomposable, and postponed to Chapter VI the study of these conditions for a more general class of networks.
Journal ArticleDOI
On a Rayleigh-Ritz refinement technique for nearly uncoupled stochastic matrices
TL;DR: In this paper, the dominant left eigenvector of a nearly uncoupled (nearly completely decomposable) stochastic matrix is computed using the power method and Rayleigh-Ritz refinement.