A bootstrap algebraic multilevel method for markov chains

Matthias Bolten, Achi Brandt, James Brannick, Andreas Frommer, Karsten Kahl, Ira Livshits

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Abstract

This work concerns the development of an algebraic multilevel method for computing state vectors of Markov chains. We present an efficient bootstrap algebraic multigrid (AMG) method for this task. In our proposed approach, we employ a multilevel eigensolver, with interpolation built using ideas based on compatible relaxation, algebraic distances, and least squares fitting of test vectors. Our adaptive variational strategy for computation of the state vector of a given Markov chain is then a combination of this multilevel eigensolver and an associated additive multilevel preconditioned correction process. We show that the bootstrap AMG eigensolver by itself can efficiently compute accurate approximations to the steady state vector. An additional benefit of the bootstrap approach is that it yields an accurate interpolation operator for many other eigenmodes. This in turn allows for the use of the resulting multigrid hierarchy as a preconditioner to accelerate the generalized minimal residual (GMRES) iteration for computing an additive correction equation for the approximation to the steady state vector. Unlike other existing multilevel methods for Markov chains, our method does not employ any special processing of the coarse-level systems to ensure that stochastic properties of the fine-level system are maintained there. The proposed approach is applied to a range of test problems involving nonsymmetric M-matrices arising from stochastic matrices and showing promising results.

Original languageEnglish (US)
Pages (from-to)3425-3446
Number of pages22
JournalSIAM Journal on Scientific Computing
Volume33
Issue number6
DOIs
Publication statusPublished - Dec 1 2011

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All Science Journal Classification (ASJC) codes

  • Computational Mathematics
  • Applied Mathematics

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