A Parallel Solver for Large-Scale Markov Chains

@inproceedings{Benzi2002APS,
  title={A Parallel Solver for Large-Scale Markov Chains},
  author={Michele Benzi and Miroslav T umay},
  year={2002}
}
We consider the parallel computation of the stationary probability distribution vector of ergodic Markov chains with large state spaces by preconditioned Krylov subspace methods. The parallel preconditioner is obtained as an explicit approximation, in factorized form, of a particular generalized inverse of the innnitesimal generator of the Markov process. Conditions that guarantee the existence of the preconditioner are given, and the results of a parallel implementation are presented. 

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