A Multigrid Method for Computing Quasi{stationary Distributions of Continuous{time Markov Chains
نویسنده
چکیده
A multigrid-type method has been developed for nding quasi-stationary distributions of structured continuous-time Markov chains. Finding quasi-stationary distributions is equivalent to nding the eigenvector of the smallest eigenvalue of the deening matrix of the continuous-time Markov chain. The multigrid-type method used here is not equivalent to inverse iteration, and does not use the multigrid approach to solve systems of equations, but rather uses restriction operators that depend on the current \solution". The smoothers are short Arnoldi iterations or Gauss-Seidel iterations. Numerical results are presented which indicate the competitive nature of the algorithm.
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