COMPLEX NONSYMMETRIC ALGEBRAIC RICCATI EQUATIONS ARISING IN MARKOV MODULATED FLUID FLOWS

被引：10

作者：

Liu, Changli ^{[1
]}

Xue, Jungong ^{[1
]}

机构：

[1] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

来源：

SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS | 2012年 / 33卷 / 02期

基金：

美国国家科学基金会;

关键词：

matrix Riccati equation; Markov modulated fluid flow; M-matrix; extremal solution; TRANSIENT ANALYSIS; DOUBLING-ALGORITHM; ITERATIVE SOLUTION; MODELS; TIMES; QUEUE;

D O I：

10.1137/110847731

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Motivated by the transient analysis of stochastic fluid flow models, we introduce a class of complex nonsymmetric algebraic Riccati equations. The existence and uniqueness of the extremal solutions to these equations are proved. The extremal solutions can be computed by Newton's method and some fixed-point iterative schemes. Criteria for choosing parameters are suggested such that three existing doubling algorithms-SDA of Guo, Lin, and Xu [Numer. Math., 103 (2006), pp. 393-412], SDA-ss of Bini, Meini, and Poloni [Numer. Math., 116 (2010), pp. 553-578], and ADDA of W.-G. Wang, W.-C. Wang, and R.-C. Li [SIAM J. Matrix Anal. Appl., 33 (2012), pp. 170-194] can also deliver the extremal solutions.

引用

页码：569 / 596

页数：28

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