Dayar T.Akar, N.2016-02-082016-02-0820051095-71620895-4798http://hdl.handle.net/11693/23797This paper presents a relatively efficient and accurate method to compute the moments of first passage times to a subset of states in finite ergodic Markov chains. With the proposed method, the moment computation problem is reduced to the solution of a linear system of equations with the right-hand side governed by a novel recurrence for computing the higher-order moments. We propose using a form of the Grassmann-Taksar-Heyman (GTH) algorithm to solve these linear equations. Due to the form of the linear systems involved, the proposed method does not suffer from the drawbacks associated with GTH in a row-wise sparse implementation. © 2005 Society for Industrial and Applied Mathematics.EnglishFirst passage timesGrassmann-Taksar-Heyman algorithmMarkov chainsMeanMomentsUnsafe statesVarianceAlgorithmsLinear equationsLinear systemsMethod of momentsProblem solvingFirst passage timesGrassmann-Taksar-Heyman algorithmMeanMomentsUnsafe statesVarianceMarkov processesArticle10.1137/S0895479804442462