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

DOI10.1016/S0024-3795(97)86522-6MaRDI QIDQ1372973zbMATHFDO

Authors Zhong-Zhi Bai

Publication date 2 June 1998

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

zbMATH Keywords

Markov chainnumerical examplestransition matrixNewton iterationnonlinear matrix equationsmonotone convergencenonnegative solutionssuccessive substitution iteration

Mathematics Subject Classification ID

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

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

• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 3381785 (Why is no real title available?)
• scientific article; zbMATH DE number 956796 (Why is no real title available?)
• A duality theorem for the matrix paradigms in queueing theory
• A stable recursion for the steady state vector in markov chains of m/g/1 type
• An experimental evaluation of the matrix-geometric method for theGI/PH/1 queue
• Further results on the M/M/1 queue with randomly varying rates
• Markov chains with applications in queueing theory, which have a matrix-geometric invariant probability vector
• Matrix-analytic methods in queueing theory
• Moment formulas for the Markov renewal branching process
• Newton's iteration for non-linear equations in Markov chains
• Nonlinear Matrix Equations in Applied Probability—Solution Techniques and Open Problems
• On a Newton-Moser type method
• On the Solution of a Nonlinear Matrix Equation Arising in Queueing Problems
• Queues Solvable without Rouché's Theorem
• The N/G/1 queue and its detailed analysis
• The M/M/1 queue with randomly varying arrival and service rates
• The busy period of queues which have a matrix-geometric steady state probability vector

Cited in

(11)

• Numerical methods for QBD matrix equations
• Perturbation results for nearly uncoupled Markov chains with applications to iterative methods
• Nonlinear matrix equations and structured linear algebra
• The unified frame of alternating direction method of multipliers for three classes of matrix equations arising in control theory
• A Perron Iteration for the Solution of a Quadratic Vector Equation Arising in Markovian Binary Trees
• Newton's method for the quadratic matrix equation
• ON LATOUCHE–RAMASWAMI'S LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-AND-DEATH PROCESSES
• Two kinds of condition numbers for the quadratic matrix equation
• The simplified topological \(\varepsilon\)-algorithms: software and applications
• A family of fast fixed point iterations for M/G/1-type Markov chains
• On the numerical solution of a nonlinear matrix equation in Markov chains

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