Numerical Solution of Linear Equations Arising in Markov Chain Models.
Daniel P. HeymanAlyson ReevesPublished in: INFORMS J. Comput. (1989)
Keyphrases
- markov chain
- linear equations
- numerical solution
- transition probabilities
- monte carlo simulation
- transition matrix
- linear systems
- markov model
- monte carlo
- random walk
- partial differential equations
- state space
- stationary distribution
- numerical methods
- markov models
- prior knowledge
- model selection
- sufficient conditions
- probabilistic model
- dynamic programming
- monte carlo method
- multiscale