SIAM Journal on Matrix Analysis and Applications · 2002 · 61 citations · 7 references
EngineeringComputer ScienceAlgorithmsStochastic ProcessesBirth-death ProcessesComputational MathematicsDiscrete-time Stochastic ProcessesMarkov ChainsMarkov ProcessesMatrix ComputationBirth-death ChainsDiscrete-time Markov ProcessesFinite Markov ChainsFinite-state Markov ChainsQuasi-birth-death ProcessesStochastic Birth-death Processes
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.
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