Author:
Latouche Guy,Ramaswami V.
Abstract
Quasi-birth-death processes are commonly used Markov chain models in queueing theory, computer performance, teletraffic modeling and other areas. We provide a new, simple algorithm for the matrix-geometric rate matrix. We demonstrate that it has quadratic convergence. We show theoretically and through numerical examples that it converges very fast and provides extremely accurate results even for almost unstable models.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference34 articles.
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4. Latouche G. (1992) Algorithms for infinite Markov chains with repeating columns. IMA Workshop on Linear Algebra, Markov Chains and Queuing Models , January 1992.
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