A Shifted Cyclic Reduction Algorithm for Quasi-Birth-Death Problems

A Shifted Cyclic Reduction Algorithm for Quasi-Birth-Death Problems
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DOI：
10.1137/s0895479800371955
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发表时间：
2001-03
期刊：
SIAM J. Matrix Anal. Appl.
影响因子：
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通讯作者：
C. He;B. Meini;N. Rhee
C. He;B. Meini;N. Rhee
中科院分区：
其他
文献类型：
--
作者：
C. He;B. Meini;N. Rhee

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研究了离散时间拟生灭（QBD）马氏链随机矩阵G的计算问题。我们提出了一个移位循环约简算法，并证明了后者的改进算法的收敛速度总是比原来的循环约简快。
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.