Affiliation:
1. Univ. Erlangen-Nu¨rnberg, Erlangen, Germany
2. NASA Langley Research Center, Hampton, VA
Abstract
A new iterative algorithm, the
multi-level
algorithm, for the numerical solution of steady state Markov chains is presented. The method utilizes a set of recursively coarsened representations of the original system to achieve accelerated convergence. It is motivated by multigrid methods, which are widely used for fast solution of partial differential equations. Initial results of numerical experiments are reported, showing significant reductions in computation time, often an order of magnitude or more, relative to the Gauss-Seidel and optimal SOR algorithms for a variety of test problems. It is shown how the well-known iterative aggregation-disaggregation algorithm of Takahashi can be interpreted as a special case of the new method.
Publisher
Association for Computing Machinery (ACM)
Subject
Computer Networks and Communications,Hardware and Architecture,Software
Cited by
25 articles.
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