Numerical solution of level dependent quasi-birth-and-death processes

We consider the numerical computation of stationary distributions for level dependent quasi-birth-and-death processes. An algorithm based on matrix continued fractions is presented and compared to standard solution techniques. Its computational efficiency and numerical stability is demonstrated by numerical examples.

• Type: Journal
• Year: 2010
• Where: PROCEDIA
• Authors: Hendrik Baumann, Werner Sandmann
• Keywords: Numerical, Numerical Computation, PROCEDIA 2010, Standard Solution Techniques