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The Successive Over Relaxation Method (SOR) and Markov Chains

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  • Wilhelm Niethammer

Abstract

In the sixties SOR has been the working horse for the numerical solution of elliptic boundary problems; classical results for chosing the relaxation parameter have been derived by D. Young and R.S. Varga. In the last fifteen years SOR has been examined for the computation of the stationary distribution of Markov chains. In the paper there are pointed out similarities and differences compared with the application of SOR for elliptic boundary problems. Copyright Kluwer Academic Publishers 2001

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  • Wilhelm Niethammer, 2001. "The Successive Over Relaxation Method (SOR) and Markov Chains," Annals of Operations Research, Springer, vol. 103(1), pages 351-358, March.
    • Handle: RePEc:spr:annopr:v:103:y:2001:i:1:p:351-358:10.1023/a:1012936012660
    DOI: 10.1023/A:1012936012660
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    Cited by:

    1. Zhang, Honggang & Liu, Zhiyuan & Wang, Jian & Wu, Yunchi, 2023. "A novel flow update policy in solving traffic assignment problems: Successive over relaxation iteration method," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 174(C).

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