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An iterative algorithm for computing mean first passage times of Markov chains

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  • Xu, Jianhong

Abstract

Mean first passage times are an essential ingredient in both the theory and the applications of Markov chains. In the literature, they have been expressed in elegant closed-form formulas. These formulas involve explicit full matrix inversions and, if computed directly, may incur numerical instability.

Suggested Citation

  • Xu, Jianhong, 2015. "An iterative algorithm for computing mean first passage times of Markov chains," Applied Mathematics and Computation, Elsevier, vol. 250(C), pages 372-389.
    • Handle: RePEc:eee:apmaco:v:250:y:2015:i:c:p:372-389
    DOI: 10.1016/j.amc.2014.11.001
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    References listed on IDEAS

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    1. Jeffrey J. Hunter, 2007. "Simple Procedures For Finding Mean First Passage Times In Markov Chains," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 24(06), pages 813-829.
    2. Zhongzhi Zhang & Alafate Julaiti & Baoyu Hou & Hongjuan Zhang & Guanrong Chen, 2011. "Mean first-passage time for random walks on undirected networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 84(4), pages 691-697, December.
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