Publication
Title
A fast Newton's iteration for M/G/1-type and GI/M/1-type Markov chains
Author
Abstract
In this article we revisit Newton's iteration as a method to find the G or R matrix in M/G/1-type and GI/M/1-type Markov chains. We start by reconsidering the method proposed in Ref.([15]), which required O(m(6) + Nm(4)) time per iteration, and show that it can be reduced to O(Nm(4)), where m is the block size and N the number of blocks. Moreover, we show how this method is able to further reduce this time complexity to O(Nr(3) + Nm(2)r(2) + m(3)r) when A(0) has rank r < m. In addition, we consider the case where [A(1)A(2) ... A(N)] is of rank r < m and propose a new Newton's iteration method which is proven to converge quadratically and that has a time complexity of O(Nm(3) + Nm(2)r(2) + mr(3)) per iteration. The computational gains in all the cases are illustrated through numerical examples.
Language
English
Source (journal)
Stochastic models. - New York, N.Y.
Publication
New York, N.Y. : 2012
ISSN
1532-6349
Volume/pages
28:4(2012), p. 557-583
ISI
000310849700002
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 04.02.2013
Last edited 03.07.2017
To cite this reference