Numerical Experiments with Iteration and Aggregation for Markov Chains
William J. Stewart, Wei Biao Wu · INFORMS journal on computing · 1992
This paper describes an iterative aggregation/disaggregation method for computing the stationary probability vector of a nearly completely decomposable Markov chain. The emphasis is on the implementation of the algorithm and on the results that are obtained when it is applied to three modeling examples that have been used in the analysis of computer/communication systems. Where applicable, a comparison with standard iterative and direct methods for solving the same problems, is made. INFORMS Journal on Computing, ISSN 1091-9856, was published as ORSA Journal on Computing from 1989 to 1995 under ISSN 0899-1499.