New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains

DOI10.1007/S002110050303MaRDI QIDQ1374752zbMATH OpenOpenAlexFDO

Authors B. Meini

Publication date 10 December 1997

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002110050303

zbMATH Keywords

convergencematrix equationminimal nonnegative solutionfunctional iteration methodsM/G/1 type Markov chains

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Numerical computation of solutions to systems of equations (65H10) Stochastic matrices (15B51) Matrix equations and identities (15A24)

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Cited in

(17)

• Nonlinear matrix equations and structured linear algebra
• ON LATOUCHE–RAMASWAMI'S LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-AND-DEATH PROCESSES
• A fast Newton's iteration for M/G/1-type and GI/M/1-type Markov chains
• A fast Newton-Shamanskii iteration for a matrix equation arising from M/G/1-type Markov chains
• On the numerical solution of a nonlinear matrix equation in Markov chains
• Note on functional iteration technique for \(M/G/1\) type Markov chains
• Solving nonlinear matrix equations arising in tree-like stochastic processes.
• Relaxed functional iteration techniques for the numerical solution of \(M/G/1\) type Markov chains
• Risk processes analyzed as fluid queues
• Solving matrix polynomial equations arising in queueing problems
• A note on the fixed-point iteration for the matrix equations \(X \pm A^* X^{-1}A=I\)
• Exploiting the Toeplitz structure in certain queueing problems
• Solving quadratic matrix equations arising in random walks in the quarter plane
• Numerical methods for QBD matrix equations
• Efficient computation of the extreme solutions of $X+A^*X^{-1}A=Q$ and $X-A^*X^{-1}A=Q$
• A family of fast fixed point iterations for M/G/1-type Markov chains
• Solving certain queueing problems by means of regular splittings

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