Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models
From MaRDI portal
Publication:2491655
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.
Recommendations
- Iterative Solution of a Nonsymmetric Algebraic Riccati Equation
- Complex nonsymmetric algebraic Riccati equations arising in Markov modulated fluid flows
- Solution Form and Simple Iteration of a Nonsymmetric Algebraic Riccati Equation Arising in Transport Theory
- Numerical study on nonsymmetric algebraic Riccati equations
- On the solution of algebraic Riccati equations arising in fluid queues
Cites work
- A logarithmic reduction algorithm for quasi-birth-death processes
- A new method for computing the stable invariant subspace of a real Hamiltonian matrix
- A note on the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation
- A Schur method for solving algebraic Riccati equations
- A shifted cyclic reduction algorithm for quasi-birth-death problems
- A stability-enhancing scaling procedure for Schur-Riccati solvers
- Analysis and modificaton of Newton’s method for algebraic Riccati equations
- Comments on a Shifted Cyclic Reduction Algorithm for Quasi-Birth-Death Problems
- Convergence analysis of the Latouche--Ramaswami algorithm for null recurrent quasi-birth-death processes
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- scientific article; zbMATH DE number 3736680 (Why is no real title available?)
- scientific article; zbMATH DE number 734901 (Why is no real title available?)
- scientific article; zbMATH DE number 3215568 (Why is no real title available?)
- Inertia characteristics of self-adjoint matrix polynomials
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- LAPACK Users' Guide
- Nonsymmetric algebraic Riccati equations and Wiener-Hopf factorization for M-matrices
- Numerical analysis of a quadratic matrix equation
- On a quadratic matrix equation associated with an M-matrix
- ON LATOUCHE–RAMASWAMI'S LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-AND-DEATH PROCESSES
- On swapping diagonal blocks in real Schur form
- On the iterative solution of a class of nonsymmetric algebraic Riccati equations
- On the Solution of a Nonlinear Matrix Equation Arising in Queueing Problems
- Spectral analysis of M/G/1 and G/M/1 type Markov chains
Cited in
(27)- The cyclic reduction algorithm: From Poisson equation to stochastic processes and beyond. In memoriam of Gene H. Golub
- Optimization of interval systems
- Analysis of the adaptive \(MMAP[K]/PH[K]/1\) queue: a multi-type queue with adaptive arrivals and general impatience
- Quadratic vector equations
- Solving Wiener-Hopf problems via an efficient iterative scheme
- SIR epidemics with stochastic infectious periods
- A class of iterative methods for solving nonsymmetric algebraic Riccati equations arising in transport theory
- On algebraic Riccati equations associated with \(M\)-matrices
- The eigenvalue shift technique and its eigenstructure analysis of a matrix
- A new linearized implicit iteration method for nonsymmetric algebraic Riccati equations
- Low-rank Newton-ADI methods for large nonsymmetric algebraic Riccati equations
- Complex nonsymmetric algebraic Riccati equations arising in Markov modulated fluid flows
- A subspace shift technique for nonsymmetric algebraic Riccati equations associated with an M-matrix.
- A parallel radix-4 block cyclic reduction algorithm.
- A perturbative probabilistic approach to quantum many-body systems
- Numerical study on nonsymmetric algebraic Riccati equations
- Convergence analysis of the Newton-Shamanskii method for a nonsymmetric algebraic Riccati equation
- Monotone convergence of Newton-like methods for M-matrix algebraic Riccati equations
- Ruin problems for epidemic insurance
- A new class of complex nonsymmetric algebraic Riccati equations with its -comparison matrix being an irreducible singular M-matrix
- Iterative Solution of a Nonsymmetric Algebraic Riccati Equation
- Ruin problems for risk processes with dependent phase-type claims
- Transforming algebraic Riccati equations into unilateral quadratic matrix equations
- On the solution of algebraic Riccati equations arising in fluid queues
- Normwise, mixed and componentwise condition numbers of nonsymmetric algebraic Riccati equations
- Convergence analysis of a variant of the Newton method for solving nonlinear equations
- A new class of nonsymmetric algebraic Riccati equations
This page was built for publication: Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2491655)
