Algorithm to compute transient distributions of DTMC

Hi everybody,

I'm modelling some problems using discrete-time Markov chains and I was wondering what is the fastest algorithm to compute transient distributions.

At the moment I'm using the A, jA, iA compact storage method for the transition matrix. But it seems to me that even using this method I either end up multiplying many terms that are zero (the matrix is sparse) or else spend a lot of time looking for the right non-zero terms to multiply.

I have seen a reference to 'Direct methods for sparse matrices' by Ian S. Duff, 1986, but can't get hold of a copy. Does anybody know if this book would help me? I'm just interested in computing the transient distributions.

Hope somebody can help with this.

Best regards,
Noelia
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