Linear Least Square Method for the Computation of the Mean First Passage Times of Ergodic Markov Chains
Journal of Advances in Mathematics and Computer Science · pp. 1–9 · Published 8 Sep 2018
10.9734/JAMCS/2018/43705Abstract
An efficient and accurate iterative scheme for the computation of the mean first passage times ( MFPTs) of ergodic Markov chains has been presented. Firstly, the computation problem of MFPTs is transformed into a set of linear equations. It has been proven that each of these equations is compatible and their minimal norm solutions constitute MFPTs. A new presentation of the MFPTs is also derived. Using linear least square algorithms, some numerical examples compared with the finite algorithm of Hunter [6] and iterative algorithm of J. Xu [7] are given. These results show that the new algorithm is suitable for large sparse systems.
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