Overcoming Instability in Computing the Fundamental Matrix for a Markov Chain∗
نویسندگان
چکیده
We present an algorithm for solving linear systems involving the probability or rate matrix for a Markov chain. It is based on a UL factorization but works only with a submatrix of the factor U. We demonstrate its utility on Erlang-B models as well as more complicated models of a telephone multiplexing system.
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