Accelerating Power Methods for Higher-order Markov Chains
Optimization and Control
2020-08-26 v4
Abstract
Higher-order Markov chains play a very important role in many fields, ranging from multilinear PageRank to financial modeling. In this paper, we propose three accelerated higher-order power methods for computing the limiting probability distribution of higher-order Markov chains, namely higher-order power method with momentum and higher-order quadratic extrapolation method. The convergence results are established, and numerical experiments are reported to show the efficiency of the proposed algorithms. In particular, the non-parametric quadratic extrapolation method is very competitive, and outperforms state-of-the-art competitions.
Cite
@article{arxiv.2003.00686,
title = {Accelerating Power Methods for Higher-order Markov Chains},
author = {Gaohang Yu and Yi Zhou and Laishui Lv},
journal= {arXiv preprint arXiv:2003.00686},
year = {2020}
}