A Perron Iteration for the Solution of a Quadratic Vector Equation Arising in Markovian Binary Trees
Beatrice Meini, Federico Poloni · SIAM Journal on Matrix Analysis and Applications · 2011
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.