A Perron Iteration for the Solution of a Quadratic Vector Equation Arising in Markovian
نویسندگان
چکیده
We propose a novel numerical method for solving a quadratic vector equation arising in Markovian binary trees. The numerical method consists of a fixed-point iteration, expressed by means of the Perron vectors of a sequence of nonnegative matrices. A theoretical convergence analysis is performed. The proposed method outperforms the existing methods for close-to-critical problems.
منابع مشابه
A Perron Iteration for the Solution of a Quadratic Vector Equation Arising in Markovian Binary Trees
We propose a novel numerical method for solving a quadratic vector equation arising in Markovian Binary Trees. The numerical method consists in a fixed point iteration, expressed by means of the Perron vectors of a sequence of nonnegative matrices. A theoretical convergence analysis is performed. The proposed method outperforms the existing methods for close-to-critical problems.
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تاریخ انتشار 2011