An algorithmic approach to the Markov chain with transition probability matrix of upper block-Hessenberg form

We present an algorithm to find an approximation for the stationary distribution for the general ergodic spatially-inhomogeneous block-partitioned upper Hessenberg form. Our approximation makes use of an associated upper block-Hessenberg matrix which is spatially homogeneous except for a finite number of blocks. We treat theMAP/G/1 retrial queue and the retrial queue with two types of customer as specific instances and give some numerical examples. The numerical results suggest that our method is superior to the ordinary finite-truncation method.