Numerical iterative methods for Markovian dependability and performability models: new results and a comparison
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In this paper we deal with iterative numerical methods to solve linear systems arising in continuous-time Markov chain (CTMC) models. We develop an algorithm to dynamically tune the relaxation parameter of the successive over-relaxation method. We give a sufficient condition for the Gauss-Seidel method to converge when computing the steady-state probability vector of a finite irreducible CTMC, an a suffient condition for the Generalized Minimal Residual projection method not to converge to the trivial solution 0 when computing that vector. Finally, we compare several splitting-based iterative methods an a variant of the Generalized Minimal Residual projection method.
CitationSuñe, V.; Domingo, J.; Carrasco, J. Numerical iterative methods for Markovian dependability and performability models: new results and a comparison. "Performance evaluation", Febrer 2000, vol. 39, núm. 1-4, p. 99-125.