MarkovChain: Sparse matrix support #174
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Used in MarkovChain to compute the periods of SCCs
This will close QuantEcon#145
Used in MarkovChain._compute_stationary for sparse matrix
jstac
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Sep 2, 2015
MarkovChain: Sparse matrix support
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Extend
MarkovChainto accept sparse matrix input.Everything was almost straightforward, except the computation of stationary distributions:
gth_solve, the sparse matrix input is converted to a dense matrix. If the input is a large matrix, this will require a large amount of memory accordingly. Extendinggth_solveto sparse matrices is highly nontrivial, due to fill-in.