A LOGARITHMIC REDUCTION ALGORITHM FOR QUASI-BIRTH-DEATH PROCESSES

Quasi-birth-death processes are commonly used Markov chain models in q ueueing theory, computer performance, teletraffic modeling and other a reas. We provide a new, simple algorithm for the matrix-geometric rate matrix. We demonstrate that it has quadratic convergence. We show the oretically and through numerical examples that it converges very fast and provides extremely accurate results even for almost unstable model s. AMS 1991 SUBJECT CLASSIFICATION: PRIMARY 60 J10 SECONDARY 60 J05; 6 0 K25; 65 U05