View in EDS

Parallel computing for Markov chains with islands and ports.

Saved in:
Bibliographic Details
Title: Parallel computing for Markov chains with islands and ports.
Authors: Basnet, Amod J.1 (AUTHOR) basnet.amod@gmail.com, Sonin, Isaac M.1 (AUTHOR)
Source: Annals of Operations Research. Oct2022, Vol. 317 Issue 2, p335-352. 18p.
Subject Terms: *MARKOV processes, *PARALLEL programming, ARCHIPELAGOES, ISLANDS
Abstract: We develop an algorithm to calculate invariant distributions of large Markov chains whose state spaces are partitioned into "islands" and "ports". An island is a group of states (cluster) with potentially many connections inside of the island but a relatively small number of connections between islands. The states connecting different islands are called ports. Our algorithm is developed in the framework of the "state reduction approach", but the special structure of the state space allows calculation of the invariant distribution to be done in parallel. Additional problems such as computation of fundamental matrices and optimal stopping problems are also analyzed for such Markov chains. [ABSTRACT FROM AUTHOR]
Copyright of Annals of Operations Research is the property of Springer Nature and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Business Source Index
Description
Abstract:We develop an algorithm to calculate invariant distributions of large Markov chains whose state spaces are partitioned into "islands" and "ports". An island is a group of states (cluster) with potentially many connections inside of the island but a relatively small number of connections between islands. The states connecting different islands are called ports. Our algorithm is developed in the framework of the "state reduction approach", but the special structure of the state space allows calculation of the invariant distribution to be done in parallel. Additional problems such as computation of fundamental matrices and optimal stopping problems are also analyzed for such Markov chains. [ABSTRACT FROM AUTHOR]
ISSN:02545330
DOI:10.1007/s10479-017-2727-5