Shift techniques and canonical factorizations in the solution of M/G/1-type markov chains

Dario A. Bini, Beatrice Meini, Ilya Spitkovsky

Research output: Contribution to journalArticle

Abstract

By using properties of canonical factorizations, we prove that under very mild assumptions, the shifted cyclic reduction method (SCR) can be applied for solving QBD problems with no breakdown and that it always converges. For general M/G/1 type Markov chains we prove that SCR always converges if no breakdown is encountered. Numerical experiments showing the acceleration provided by SCR versus cyclic reduction are presented.

Original languageEnglish (US)
Pages (from-to)279-302
Number of pages24
JournalStochastic Models
Volume21
Issue number2-3
DOIs
StatePublished - Nov 30 2005

Fingerprint

Cyclic Reduction
Factorization
Markov processes
Markov chain
Reduction Method
Breakdown
Converge
Numerical Experiment
Experiments

Keywords

  • Canonical factorization
  • Cyclic reduction
  • Markov chains
  • Matrix equations
  • Shift technique

ASJC Scopus subject areas

  • Modeling and Simulation

Cite this

Shift techniques and canonical factorizations in the solution of M/G/1-type markov chains. / Bini, Dario A.; Meini, Beatrice; Spitkovsky, Ilya.

In: Stochastic Models, Vol. 21, No. 2-3, 30.11.2005, p. 279-302.

Research output: Contribution to journalArticle

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