5329
2014
eng
reportzib
0
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2014-12-10
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Computing the nearest reversible Markov chain
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.
1438-0064
urn:nbn:de:0297-zib-53292
Adam Nielsen
Adam Nielsen
Marcus Weber
ZIB-Report
14-48
eng
uncontrolled
Reversible Markov Chain
eng
uncontrolled
Convex Optimization
eng
uncontrolled
MSM
LINEAR AND MULTILINEAR ALGEBRA; MATRIX THEORY
COMPUTER SCIENCE (For papers involving machine computations and programs in a specific mathematical area, see Section -04 in that area)
Numerical Mathematics
Computational Molecular Design
Weber, Marcus
BMS-Nielsen
https://opus4.kobv.de/opus4-zib/files/5329/ZR-14-48.pdf