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A Shifted Cyclic Reduction Algorithm for Quasi-Birth-Death Problems
- Source :
- SIAM Journal on Matrix Analysis and Applications. 23:673-691
- Publication Year :
- 2002
- Publisher :
- Society for Industrial & Applied Mathematics (SIAM), 2002.
-
Abstract
- The problem of the computation of the stochastic matrix G associated with discrete-time quasi-birth-death (QBD) Markov chains is analyzed. We present a shifted cyclic reduction algorithm and show that the speed of convergence of the latter modified algorithm is always faster than that of the original cyclic reduction.
Details
- ISSN :
- 10957162 and 08954798
- Volume :
- 23
- Database :
- OpenAIRE
- Journal :
- SIAM Journal on Matrix Analysis and Applications
- Accession number :
- edsair.doi.dedup.....20e80c5527ea4132af741e22786b0db7