Research Article

Computation of Invariant Measures and Stationary Expectations for Markov Chains with Block-Band Transition Matrix

Algorithm 2

Computation of stationary expectations.
Choose large
Initialize for and
for do
   Update
   Update
   Free memory space for
   Update for
   Initialize if
end for
Set and determine all other entries of by solving up to the first scalar equation
Update and renormalize such that
return Z