2020/03/02 by Gaohang Yu, Yi Zhou, Yu, Gaohang +3
Mathematics · Computer Science · Engineering · #Tensor decomposition and applications #Matrix Theory and Algorithms #Power System Optimization and Stability
paper · pdf · doi:10.48550/arxiv.2003.00686
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.