Convergence analysis of an iterative aggregation/disaggregation method for computing stationary probability vectors of stochastic matrices

An aggregation/disaggregation iterative algorithm for computing stationary probability vectors of stochastic matrices is analysed. Two convergence results are presented. First, it is shown that fast, global convergence can be achieved provided that a sufficiently high number of relaxations is performed on the fine level. Second, local convergence is shown to take place with just one relaxation performed on the fine level. The convergence proofs are general and require no assumptions on the magnitude of off-diagonal elements (blocks). Furthermore, a relationship between the errors on the fine and on the coarse level is described. To illustrate the theory, the results of some numerical experiments are presented. (C) 1998 John Wiley & Sons, Ltd.