Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models (Q2491655)
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scientific article; zbMATH DE number 5028709
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| English | Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models |
scientific article; zbMATH DE number 5028709 |
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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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0.8804624676704407
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0.8705377578735352
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0.8656972646713257
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0.8587326407432556
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0.8385745882987976
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