Improved Iterative Computation of the Expected Discounted Return in Markov and Semi-Markov Chains

This paper seeks to reduce the computation needed by iterative methods to find the expected discounted return in a finite semi-Markov or Markov chain. Two new norm reducing extrapolations and a new iterative method are presented and shown to be convergent. Their application is illustrated on several 100 row problems. One of the extrapolations, the row sum extrapolation, appears to be promising.