Computing the Exponential of Large Block-Triangular Block-Toeplitz Matrices Encountered in Fluid Queues
Numerical Analysis
2015-02-27 v1
Abstract
The Erlangian approximation of Markovian fluid queues leads to the problem of computing the matrix exponential of a subgenerator having a block-triangular, block-Toeplitz structure. To this end, we propose some algorithms which exploit the Toeplitz structure and the properties of generators. Such algorithms allow to compute the exponential of very large matrices, which would otherwise be untreatable with standard methods. We also prove interesting decay properties of the exponential of a generator having a block-triangular, block-Toeplitz structure.
Keywords
Cite
@article{arxiv.1502.07533,
title = {Computing the Exponential of Large Block-Triangular Block-Toeplitz Matrices Encountered in Fluid Queues},
author = {D. A. Bini and S. Dendievel and G. Latouche and B. Meini},
journal= {arXiv preprint arXiv:1502.07533},
year = {2015}
}