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Article

Pultarová, Ivana
Fourier analysis of iterative aggregation-disaggregation methods for nearly circulant stochastic matrices. (English). In: Chleboun, J., Segeth, K., Šístek, J. and Vejchodský, T. (eds.): Programs and Algorithms of Numerical Mathematics. Proceedings of Seminar. Dolní Maxov, June 3-8, 2012. Institute of Mathematics AS CR, Prague, 2013. pp. 168-173
MSC: 65C40, 65F08, 65F15
Keywords:
stochastic matrices; Markov chains; iterative aggregation/disaggregation; convergence analysis
Summary:
We introduce a new way of the analysis of iterative aggregation-disaggregation methods for computing stationary probability distribution vectors of stochastic matrices. This new approach is based on the Fourier transform of the error propagation matrix. Exact formula for its spectrum can be obtained if the stochastic matrix is circulant. Some examples are presented.
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