International Conference on Computational Science, ICCS 2010
Numerical solution of level dependent quasi-birth-and-death processes

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Abstract

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.

Keywords

Continuous-time Markov chains
Block-tridiagonal generator matrices
Level dependent quasi-birth-and-death processes
Numerical solution
Matrix continued fractions

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