On the numerical solution of a nonlinear matrix equation in Markov chains

被引：11

作者：

Guo, CH ^{[1
]}

机构：

[1] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 1999年 / 288卷 / 1-3期

关键词：

matrix equation; iterative methods; convergence rate; Markov chains;

D O I：

10.1016/S0024-3795(98)10190-8

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider iterative methods for the minimal nonnegative solution of the matrix equation G = Sigma(i=0)(infinity)A(i)G(i), where the matrices A(i) are nonnegative and Sigma(i=0)(infinity)A(i) is stochastic. Convergence theory for an inversion free algorithm is established. The convergence rate of this algorithm is shown to be comparable with that of the fastest iteration among three fixed point iterations. (C) 1999 Elsevier Science Inc. All rights reserved.

引用

页码：175 / 186

页数：12

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