Séminaire Mathématique de Béjaia
Volume 6, Numéro 1, Pages 33-37
2008-12-31

On The Numerical Methods In Markov Chain Modeling



Authors : Abbas Karim .

Abstract

In this talk we review the main numerical methods used for numerical solving of Markov chains. Specifically, we are interested in obtaining stationary distributions of homogeneous, irreducible Markov chain. These stationary solutions can be obtained, both for continuous-time and discrete-time Markov chains, from a linear system. We classify traditional methods for solving such systems, arising during modeling with Markov chains.

Keywords

Markov chain ; Stationary distributions ; Linear system ; Numerical methods.

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