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Numerical Methods for Structured Markov Chains$
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Dario A. Bini, Guy Latouche, and Beatrice Meini

Print publication date: 2005

Print ISBN-13: 9780198527688

Published to Oxford Scholarship Online: September 2007

DOI: 10.1093/acprof:oso/9780198527688.001.0001

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Numerical Methods for Structured Markov Chains

D. A. Bini

G. Latouche

B. Meini

Oxford University Press

This chapter describes structural and computational properties which are the basis of the design and analysis of fast algorithms for the numerical solution of structured Markov chains. Toeplitz matrices, circulant and z-circulant matrices with their block analogs are introduced together with the fast algorithms for their manipulation. The concept of discrete Fourier transform is recalled with the FFT algorithm for its computation. Attention is given to the concept of displacement operator and of displacement rank needed to design efficient algorithms for a wide class of matrices related to Toeplitz matrices.

Keywords:   Toeplitz matrices, circulant matrices, displacement rank, fast Fourier transform, discrete Fourier transform

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