On the Multilevel Solution Algorithm for Markov Chains

Abstract

We discuss the recently introduced multilevel algorithm for the steady-state solution of Markov chains. The method is based on an aggregation principle which is well established in the literature and features a multiplicative coarse-level correction. Recursive application of the aggregation principle, which uses an operator-dependent coarsening, yields a multi-level method which has been shown experimentally to give results significantly faster than the typical methods currently in use. When cast as a multigrid-like method, the algorithm is seen to be a Galerkin-Full Approximation Scheme with a solution-dependent prolongation operator. Special properties of this prolongation lead to the cancellation of the computationally intensive terms of the coarse-level equations.