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Introduction to the Numerical Solution of Markov Chains - William J. Stewart

Introduction to the Numerical Solution of Markov Chains

Hardcover

Published: 1st November 1994
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A cornerstone of applied probability, Markov chains can be used to help model how plants grow, chemicals react, and atoms diffuse--and applications are increasingly being found in such areas as engineering, computer science, economics, and education. To apply the techniques to real problems, however, it is necessary to understand how Markov chains can be solved numerically. In this book, the first to offer a systematic and detailed treatment of the numerical solution of Markov chains, William Stewart provides scientists on many levels with the power to put this theory to use in the actual world, where it has applications in areas as diverse as engineering, economics, and education. His efforts make for essential reading in a rapidly growing field.

Here Stewart explores all aspects of numerically computing solutions of Markov chains, especially when the state is huge. He provides extensive background to both discrete-time and continuous-time Markov chains and examines many different numerical computing methods--direct, single-and multi-vector iterative, and projection methods. More specifically, he considers recursive methods often used when the structure of the Markov chain is upper Hessenberg, iterative aggregation/disaggregation methods that are particularly appropriate when it is NCD (nearly completely decomposable), and reduced schemes for cases in which the chain is periodic. There are chapters on methods for computing transient solutions, on stochastic automata networks, and, finally, on currently available software. Throughout Stewart draws on numerous examples and comparisons among the methods he so thoroughly explains.

"The book contains very rich material which is the result of long-term research in this field. No other book is known to the reviewer that treats this subject in such detail... The book excellently reflects the great experience that the author has in the theory of Markov chains, matrix algebra, numerics and informatics. He ... richly illustrates the book with numerous examples, flow-charts, pictures and even computer screen copies."--Mathematical Reviews

Markov Chains Direct Methods
Iterative Methods
Projection
Block Hessenberg Matrices Decompositional Methods
LI-Cyclic Markov Chains
Transient Solutions Stochastic
Automata Networks Software
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780691036991
ISBN-10: 0691036993
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 568
Published: 1st November 1994
Country of Publication: US
Dimensions (cm): 26.21 x 20.24  x 3.51
Weight (kg): 1.28