Article,
An iterative algorithm for computing mean first passage times of Markov chains
Applied Mathematics and Computation, (2015)
DOI: https://doi.org/10.1016/j.amc.2014.11.001
Abstract
Mean first passage times are an essential ingredient in both the theory and the applications of Markov chains. In the literature, they have been expressed in elegant closed-form formulas. These formulas involve explicit full matrix inversions and, if computed directly, may incur numerical instability. In this paper, we present a new iterative algorithm for computing mean first passage times in a manner that does not rely on explicit full matrix inversions. Results regarding the convergence behavior of this algorithm are also developed.
