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.
|Number of pages
|Published - 2002
Bibliographical noteFunding 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.
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics