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An exact aggregation/disaggregation algorithm for large scale markov chains

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  • David S. Kim
  • Robert L. Smith

Abstract

Many Markov chain models have very large state spaces, making the computation of stationary probabilities very difficult. Often the structure and numerical properties of the Markov chain allows for more efficient computation through state aggregation and disaggregation. In this article we develop an efficient exact single pass aggregation/disaggregation algorithm which exploits structural properties of large finite irreducible mandatory set decomposable Markov chains. The required property of being of mandatory set decomposable structure is a generalization of several other Markov chain structures for which exact aggregation/disaggregation algorithms exist. © 1995 John Wiley & Sons, Inc.

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  • David S. Kim & Robert L. Smith, 1995. "An exact aggregation/disaggregation algorithm for large scale markov chains," Naval Research Logistics (NRL), John Wiley & Sons, vol. 42(7), pages 1115-1128, October.
    • Handle: RePEc:wly:navres:v:42:y:1995:i:7:p:1115-1128
    DOI: 10.1002/1520-6750(199510)42:73.0.CO;2-W
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    1. G. Guardabassi & S. Rinaldi, 1970. "Two Problems in Markov Chains: A Topological Approach," Operations Research, INFORMS, vol. 18(2), pages 324-333, April.
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