کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4643397 | 1341379 | 2006 | 21 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models](/preview/png/4643397.png)
We consider the nonsymmetric algebraic Riccati equation XM12X+XM11+M22X+M21=0XM12X+XM11+M22X+M21=0, where M11,M12,M21,M22M11,M12,M21,M22 are real matrices of sizes n×n,n×m,m×n,m×mn×n,n×m,m×n,m×m, respectively, and M=[Mij]i,j=12 is an irreducible singular M -matrix with zero row sums. The equation plays an important role in the study of stochastic fluid models, where the matrix -M-M is the generator of a Markov chain. The solution of practical interest is the minimal nonnegative solution. This solution may be found by basic fixed-point iterations, Newton's method and the Schur method. However, these methods run into difficulties in certain situations. In this paper we provide two efficient methods that are able to find the solution with high accuracy even for these difficult situations.
Journal: Journal of Computational and Applied Mathematics - Volume 192, Issue 2, 1 August 2006, Pages 353–373