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
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-53292
SN - 1438-0064
ER -
TY - JOUR
A1 - Nielsen, Adam
A1 - Weber, Marcus
T1 - Computing the nearest reversible Markov chain
JF - 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
U6 - http://dx.doi.org/10.1002/nla.1967
VL - 22
IS - 3
SP - 483
EP - 499
ER -