On the numerical solution of a nonlinear matrix equation in Markov chains

DOI10.1016/S0024-3795(98)10190-8zbMath0945.65048OpenAlexW2044951566MaRDI QIDQ1300874

Chun-Hua Guo

Publication date: 11 November 1999

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0024-3795(98)10190-8

zbMATH Keywords

convergenceMarkov chainsnonnegative solutionnumerical examplesnonlinear matrix equationstochastic matrixqueueing problemsfixed point iteration methodsinversion-free algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Queueing theory (aspects of probability theory) (60K25) Matrix equations and identities (15A24) Numerical analysis or methods applied to Markov chains (65C40) Stochastic matrices (15B51)

Related Items (6)

Nonlinear matrix equations and structured linear algebra ⋮ ON LATOUCHE–RAMASWAMI'S LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-AND-DEATH PROCESSES ⋮ Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes ⋮ The simplified topological \(\varepsilon\)-algorithms: software and applications ⋮ Highly accurate doubling algorithm for quadratic matrix equation from quasi-birth-and-death process ⋮ Highly Accurate Latouche-Ramaswami Logarithmic Reduction Algorithm for Quasi-Birth-and-Death Process

Cites Work

• Inertia characteristics of self-adjoint matrix polynomials
• A class of iteration methods based on the Moser formula for nonlinear equations in Markov chains
• New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains
• Nonlinear Matrix Equations in Applied Probability—Solution Techniques and Open Problems
• Queues Solvable without Rouché's Theorem
• Moment formulas for the Markov renewal branching process
• Newton's iteration for non-linear equations in Markov chains
• On the Solution of a Nonlinear Matrix Equation Arising in Queueing Problems
• A Simple Approach to the Perron-Frobenius Theory for Positive Operators on General Partially-Ordered Finite-Dimensional Linear Spaces
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