Georg, Peter ; Grasedyck, Lars ; Klever, Maren ; Schill, Rudolf ; Spang, Rainer ; Wettig, Tilo
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Low-rank tensor methods for Markov chains with applications to tumor progression models. (Eingebracht am 01 Dez 2020 07:59)
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Zusammenfassung
Continuous-time Markov chains describing interacting processes exhibit a state space that grows exponentially in the number of processes. This state-space explosion renders the computation or storage of the time-marginal distribution, which is defined as the solution of a certain linear system,
infeasible using classical methods. We consider Markov chains whose transition rates are separable ...
Zusammenfassung
Continuous-time Markov chains describing interacting processes exhibit a state space that grows exponentially in the number of processes. This state-space explosion renders the computation or storage of the time-marginal distribution, which is defined as the solution of a certain linear system,
infeasible using classical methods. We consider Markov chains whose transition rates are separable functions, which allows for an efficient low-rank tensor representation of the operator of this linear system. Typically, the right-hand side also has low-rank structure, and thus we can reduce the cost for computation and storage from exponential to linear. Previously known iterative methods also allow for low-rank approximations of the solution but are unable to guarantee that its entries sum up to one as required for a probability distribution. We derive a convergent iterative method using low-rank formats satisfying this condition. We also perform numerical experiments illustrating that the marginal distribution is well approximated with low rank.
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