TY - GEN
A1 - Nielsen, Adam
A1 - Weber, Marcus
T1 - Computing the nearest reversible Markov chain
N2 - Reversible Markov chains are the basis of many applications. However, computing transition probabilities by a finite sampling of a Markov chain can lead to truncation errors. Even if the original Markov chain is reversible, the approximated Markov chain might be non-reversible and will lose important properties, like the real valued spectrum. In this paper, we show how to find the closest reversible Markov chain to a given transition matrix. It turns out that this matrix can be computed by solving a convex minimization problem.
T3 - ZIB-Report - 14-48
KW - Reversible Markov Chain
KW - Convex Optimization
KW - MSM
Y1 - 2014
UR - https://opus4.kobv.de/opus4-zib/frontdoor/index/index/docId/5329
UR - https://nbn-resolving.org/urn:nbn:de:0297-zib-53292
SN - 1438-0064
ER -