Numerical solution of level dependent quasi-birth-and-death processes | Zendy

Hendrik Baumann | Zendy; Werner Sandmann | Zendy

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Numerical solution of level dependent quasi-birth-and-death processes

Author(s) -

Hendrik Baumann,

Werner Sandmann

Publication year - 2010

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2010.04.175

Subject(s) - computer science , computation , numerical stability , numerical analysis , birth–death process , mathematics , stability (learning theory) , computer simulation , algorithm , mathematical optimization , simulation , mathematical analysis , machine learning , population , demography , sociology

We consider the numerical computation of stationary distributions for level dependent quasi-birth-and-death processes. An algorithm based on matrix continued fractions is presented and compared to standard solution techniques. Its computational efficiency and numerical stability is demonstrated by numerical examples

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