Space Reduction for a Class of Multidimensional Markov Chains: A Summary and Some Applications

  title={Space Reduction for a Class of Multidimensional Markov Chains: A Summary and Some Applications},
  author={Qiming He and Attahiru Sule Alfa},
  journal={INFORMS J. Comput.},
In this paper, we present examples of a class of Markov chains that occur frequently, but whose associated matrices are a challenge to construct efficiently. These are Markov chains that arise as a result of several identical Markov chains running in parallel. Specifically for the cases considered, both the infinitesimal generator matrix for the continuous case, and more so the transition probability matrix for the discrete equivalent, are complex to construct effectively and efficiently. We… 

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