Componentwise accurate fluid queue computations using doubling algorithms (Q2353379)

This article develops algorithms for two-dimensional Markov-modulated queues \(\{ X(t),\phi(t)\}\) that model many real-life applications. To find the stationary distribution of Markov-modulated fluid queues is equivalent to finding the minimal nonnegative solution to a Riccati equation of the form \( B - AX - XD + XCX = 0\). In this context, \(M = \left( \begin{smallmatrix} D & -C\\ -B & A \end{smallmatrix} \right)\) is a singular \(M\)-matrix of special type. To solve this problem the authors suggest a structured doubling algorithm (SDA), see [\textit{X.-X. Guo} et al., Numer. Math. 103, No. 3, 393--412 (2006; Zbl 1097.65055)], and its variants, see [\textit{D. A. Bini} et al., Numer. Math. 116, No. 4, 553--578 (2010; Zbl 1202.15016)] or [\textit{W.-G. Wang} et al., SIAM J. Matrix Anal. Appl. 33, No. 1, 170--194 (2012; Zbl 1258.65045)], and compute componentwise accurate solutions, see [\textit{J. Xue} et al., Numer. Math. 120, No. 4, 639--670 (2012; Zbl 1245.65053)], in its GTH-like linear equations solver for nonsingular \(M\)-matrices. This is intended to give accurate results for problems with badly scaled solutions and results in a componentwise accurate SDA method.