Computing the fundamental matrix of an M/G/1–type Markov chain

Emma Hunt (emma.hunt@adelaide.edu.au)
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Emma Hunt: The University of Adelaide

Chapter Chapter 9 in Optimization, 2009, pp 167-188 from Springer

Abstract: Abstract A treatment is given of a probabilistic approach, Algorithm H, to the determination of the fundamental matrix of a block-structured $$M/G/1$$ –type Markov chain. Comparison is made with the cyclic reduction algorithm.

Keywords: Block Markov chain; fundamental matrix; Algorithm H convergence rates; LR Algorithm; CR Algorithm (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-0-387-98096-6_9

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