Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models (Q2491655): Difference between revisions

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Property / DOI: 10.1016/j.cam.2005.05.012 / rank
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Property / reviewed by: Q674933 / rank
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Property / reviewed by: Michael M.Konstantinov / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.cam.2005.05.012 / rank
 
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Property / OpenAlex ID: W2017636104 / rank
 
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Latest revision as of 00:10, 19 December 2024

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Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models
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    Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models (English)
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    29 May 2006
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    Two computational algorithms are considered for the nonsymmetric algebraic Riccati equation \(XM_{12}X+XM_{11}+M_{22}X+M_{21}=0\), where the block matrix \(M=[M_{ij}]\) is an irreducible singular \(M\)-matrix with zero row sums. The equation arises in the modelling of stochastic fluid processes. The proposed algorithms are modifications of the Schur method and the LR algorithm with a shift. Results from numerical tests are presented.
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    \(M\)-matrix
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    minimal nonnegative solution
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    Schur method
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    Latouche-Ramaswami algorithm
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    numerical examples
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