Accurate numerical solution for shifted \(M\)-matrix algebraic Riccati equations

DOI10.1007/s10915-020-01263-4zbMath1445.65012OpenAlexW3039280856MaRDI QIDQ777038

Changli Liu, Jungong Xue, Ren-Cang Li

Publication date: 13 July 2020

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-020-01263-4

zbMATH Keywords

algebraic Riccati equationminimal nonnegative solutiondoubling algorithmMarkov modulated Brownian motion

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45)

Related Items (2)

Accurate numerical solution for structured \(M\)-matrix algebraic Riccati equations ⋮ Highly Accurate Latouche-Ramaswami Logarithmic Reduction Algorithm for Quasi-Birth-and-Death Process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Highly accurate doubling algorithms for \(M\)-matrix algebraic Riccati equations
• Transforming algebraic Riccati equations into unilateral quadratic matrix equations
• A new class of nonsymmetric algebraic Riccati equations
• Entrywise perturbation theory and error analysis for Markov chains
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Entrywise perturbation theory for diagonally dominant M-matrices with applications
• Existence of algebraic matrix Riccati equations arising in transport theory
• Componentwise accurate fluid queue computations using doubling algorithms
• Accurate solutions of \(M\)-matrix Sylvester equations
• Accurate solutions of \(M\)-matrix algebraic Riccati equations
• A structure-preserving doubling algorithm for nonsymmetric algebraic Riccati equation
• On the Iterative Solution of a Class of Nonsymmetric Algebraic Riccati Equations
• Accurate computation of the smallest eigenvalue of a diagonally dominant $M$-matrix
• Nonsymmetric Algebraic Riccati Equations and Wiener--Hopf Factorization for M-Matrices
• Alternating-directional Doubling Algorithm for M-Matrix Algebraic Riccati Equations
• A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
• Markov-Modulated Brownian Motion with Two Reflecting Barriers
• Numerical Solution of Algebraic Riccati Equations
• Regenerative Analysis and Steady State Distributions for Markov Chains
• Stochastic Complementation, Uncoupling Markov Chains, and the Theory of Nearly Reducible Systems
• Nonsymmetric Algebraic Riccati Equations and Hamiltonian-like Matrices
• Stationary distributions for fluid flow models with or without brownian noise
• Structure-Preserving Doubling Algorithms for Nonlinear Matrix Equations
• On a quadratic matrix equation associated with an M-matrix
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Iterative Solution of a Nonsymmetric Algebraic Riccati Equation

This page was built for publication: Accurate numerical solution for shifted \(M\)-matrix algebraic Riccati equations