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

Authors:
C. He;B. Meini;N. H. Rhee
Affiliations:
-;-;-
Venue:
SIAM Journal on Matrix Analysis and Applications
Year:
2001

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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.