On the utility of the multi-level algorithm for the solution of nearly completely decomposable Markov chains

摘要

Recently the Multi-Level algorithm was introduced as a general purpose solver for the solution of steady state Markov chains. In this paper, we consider the performance of the Multi-Level algorithm for solving Nearly Completely Decomposable (NCD) Markov chains, for which special-purpose iteractive aggregation/disaggregation algorithms such as the Koury-McAllister-Stewart (KMS) method have been developed that can exploit the decomposability of the the Markov chain. We present experimental results indicating that the general-purpose Multi-Level algorithm is competitive, and can be significantly faster than the special-purpose KMS algorithm when Gauss-Seidel and Gaussian Elimination are used for solving the individual blocks.