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Note on functional iteration technique for type Markov chains

โœ Scribed by Noah H. Rhee

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
133 KB
Volume
432
Category
Article
ISSN
0024-3795

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โœฆ Synopsis

A thorough theoretical explanation of the numerical behaviour of functional iteration methods for the computation of the minimal nonnegative solution G of the matrix equation X = โˆž i=0 X i A i , arising in the numerical solution of M/G/1 type Markov chains, is given in Meini (1997) [2]. In this note we add some more results. In particular, we show that an upper bound of the mean asymptotic convergence rate of the best functional iteration method is given in terms of the second largest modulus eigenvalue of G.

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