Abstract
We consider numerical solution of a quadratic matrix equation associated with a nonsingular M-matrix (M-QME), which arises in study of noisy Wiener–Hopf problems for Markov chain. We first transform the M-QME to a nonsymmetric algebraic Riccati equation (NARE) of special form, and then solve this special NARE by fixed-point iteration. Theoretical analysis and numerical experiments show that our method is effective and efficient.
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