Abstract
In the analysis of the fluid queues, it is necessary to obtain the nonnegative solution of a nonsymmetric algebraic Riccati matrix equation. Under suitable conditions, this solution can be obtained transforming algebraic Riccati equations into unilateral quadratic matrix equations. In this paper, we use an efficient iterative scheme to approximate a solution of this quadratic matrix equation. We improve the efficiency and the accuracy of Newton's method, widely used in the literature. Moreover, a local convergence result is proved. Finally, we apply this efficient method to approximate the solution of a particular noisy Wiener-Hopf problem and we compare it with Newton's method. Moreover, a predictor- corrector iterative scheme is constructed that improve the accessibility of the aforesaid method.(c) 2020 Elsevier B.V. All rights reserved.
NSTL
Elsevier