Note on functional iteration technique for M/G/1 type Markov chains

DOI10.1016/J.LAA.2009.10.017MaRDI QIDQ846335zbMATH OpenOpenAlexFDO

Authors N. H. Rhee

Publication date 9 February 2010

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

Full work available at URL https://doi.org/10.1016/j.laa.2009.10.017

zbMATH Keywords

iterative methodsMarkov chainsmatrix equationmean asymptotic convergence rateminimal nonnegative solutionstochastic matrices

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Numerical analysis or methods applied to Markov chains (65C40) Iterative numerical methods for linear systems (65F10)

Review text

The mean convergence rate of the iterative approximation of the nonnegative solution \(G\) of the following matrix equation \( X= \sum^{\infty}_{i=0}X^iA_i \), which comes from the M/G/1 queuing system and studied completely by \textit{B. Meini} [Numer. Math. 78, No.~1, 39--58 (1997; Zbl 0889.65145)], is shown related to the second eigenvalue of \(G\) .

Recommendations

• New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains
• A fast Newton-Shamanskii iteration for a matrix equation arising from M/G/1-type Markov chains
• Relaxed functional iteration techniques for the numerical solution of \(M/G/1\) type Markov chains
• A family of fast fixed point iterations for M/G/1-type Markov chains
• Shift Techniques and Canonical Factorizations in the Solution of M/G/1-Type Markov Chains

Cites work

• scientific article; zbMATH DE number 193132 (Why is no real title available?)
• scientific article; zbMATH DE number 3215568 (Why is no real title available?)
• New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains
• Numerical Methods for Structured Markov Chains

Cited in

(7)

• Relaxed functional iteration techniques for the numerical solution of \(M/G/1\) type Markov chains
• New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains
• An invariant subspace approach in m/g/l and g/m/l type markov chains
• A family of fast fixed point iterations for M/G/1-type Markov chains
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• A nontrivial solution to a stochastic matrix equation.
• Shift Techniques and Canonical Factorizations in the Solution of M/G/1-Type Markov Chains

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