A Shifted Cyclic Reduction Algorithm for Quasi-Birth-Death Problems


A shifted cyclic reduction algorithm has been proposed by He, Meini, and Rhee [SIAM J. Matrix Anal. Appl., 23 (2001), pp. 673–691] for finding the stochastic matrix G associated with discrete-time quasi-birth-death (QBD) processes. We point out that the algorithm has quadratic convergence even for null recurrent QBDs. We also note that the approximations… (More)
DOI: 10.1137/S0895479800371955