1 research outputs found
Tensor methods for the computation of MTTA in large systems of loosely interconnected components
We are concerned with the computation of the mean-time-to-absorption (MTTA)
for a large system of loosely interconnected components, modeled as continuous
time Markov chains. In particular, we show that splitting the local and
synchronization transitions of the smaller subsystems allows to formulate an
algorithm for the computation of the MTTA which is proven to be linearly
convergent. Then, we show how to modify the method to make it quadratically
convergent, thus overcoming the difficulties for problems with convergent rate
close to .
In addition, it is shown that this decoupling of local and synchronization
transitions allows to easily represent all the matrices and vectors involved in
the method in the tensor-train (TT) format - and we provide numerical evidence
showing that this allows to treat large problems with up to billions of states
- which would otherwise be unfeasible