A class of iteration methods based on the Moser formula for nonlinear equations in Markov chains

DOI10.1016/S0024-3795(97)86522-6zbMath0889.65056MaRDI QIDQ1372973

Zhong Zhi Bai

Publication date: 2 June 1998

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

zbMATH Keywords

numerical examplesNewton iterationMarkov chainnonnegative solutionstransition matrixmonotone convergencenonlinear matrix equationssuccessive substitution iteration

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Matrix equations and identities (15A24) Probabilistic methods, stochastic differential equations (65C99)

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Nonlinear matrix equations and structured linear algebra, ON LATOUCHE–RAMASWAMI'S LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-AND-DEATH PROCESSES, Newton's method for the quadratic matrix equation, The Unified Frame of Alternating Direction Method of Multipliers for Three Classes of Matrix Equations Arising in Control Theory, Two kinds of condition numbers for the quadratic matrix equation, The simplified topological \(\varepsilon\)-algorithms: software and applications, On the numerical solution of a nonlinear matrix equation in Markov chains

Cites Work

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