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On M –multisplittings of singular M –matrices with application to Markov chains
Author(s) -
Bru Rafael,
Cantó Rafael,
Climent JoanJosep
Publication year - 1998
Publication title -
numerical linear algebra with applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.02
H-Index - 53
eISSN - 1099-1506
pISSN - 1070-5325
DOI - 10.1002/(sici)1099-1506(199807/08)5:4<299::aid-nla103>3.0.co;2-v
Subject(s) - mathematics , markov chain , spectral radius , matrix (chemical analysis) , iterative method , linear system , weighting , mathematical optimization , eigenvalues and eigenvectors , mathematical analysis , medicine , physics , statistics , materials science , quantum mechanics , composite material , radiology
Given a singular M –matrix of a linear system, convergent conditions under which iterative schemes based on M –multisplittings are studied. Two of those conditions, the index of the iteration matrix and its spectral radius are investigated and related to those of the M ‐matrix. Furthermore, a parallel multisplitting iteration scheme for solving singular linear systems is suggested which can be applied to practical problems such as Poisson and elasticity problems under certain boundary conditions, the Neumann problem, and in Markov chains. A discussion of that multisplitting scheme, based on Gauss–Seidel type splittings is given for computing the stationary distribution vector of Markov chains. In this case a computational viable algorithm can be constructed, since only the nonsingularity of one weighting matrix of the multisplitting is needed. © 1998 John Wiley & Sons, Ltd.