On Latouche-Ramaswami's logarithmic reduction algorithm for quasi-birth-and-death processes

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16 Scopus citations

Abstract

We consider Latouche-Ramaswami's logarithmic reduction algorithm for solving quasi-birth-and-death models. We shall present some theoretical properties concerning convergence of the algorithm and discuss numerical issues arising in finite precision implementations. In particular, we shall present a numerically more stable implementation. A rounding error analysis together with numerical examples are given to demonstrate the higher accuracy achieved by the refined implementation.

Original languageEnglish
Pages (from-to)449-467
Number of pages19
JournalStochastic Models
Volume18
Issue number3
DOIs
StatePublished - 2002

Bibliographical note

Funding Information:
The author would like to thank Dr. Chun-Hua Guo and two anonymous referees for reading the manuscript very carefully and in particular for their pointing out an error in the earlier version of the article. His research is supported in part by the National Science Foundation under Grant CCR-0098133.

Funding

The author would like to thank Dr. Chun-Hua Guo and two anonymous referees for reading the manuscript very carefully and in particular for their pointing out an error in the earlier version of the article. His research is supported in part by the National Science Foundation under Grant CCR-0098133.

FundersFunder number
National Science Foundation (NSF)CCR-0098133

    ASJC Scopus subject areas

    • Statistics and Probability
    • Modeling and Simulation
    • Applied Mathematics

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