TY - JOUR A1 - Nielsen, Adam A1 - Weber, Marcus T1 - Computing the nearest reversible Markov chain T2 - Numerical Linear Algebra with Applications 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. KW - Reversible Markov Chain KW - Convex Optimization KW - MSM Y1 - 2015 UR - https://opus4.kobv.de/opus4-zib/frontdoor/index/index/docId/5330 VL - 22 IS - 3 SP - 483 EP - 499 ER -