SERIE RESEHRCH mEmORBnDH APPROXIMATE UNIFORMIZATION FOR CONTINUOUS-TIME MARKOV CHAINS WITH AN APPLICATION TO PERFORMABILITY ANALYSIS
نویسنده
چکیده
An approximate version of the Standard uniformization technique is introduced for application to continuous-time Markov chains with unbounded jump rates. This technique is shown to be asymptotically exact and an error bound for the order of its accuracy is provided. An illustrative queueing application is included.
منابع مشابه
SERIE RESEARCH mEmORIMDH A NOTE ON EXTENDED UNIFORMIZATION FOR NON-EXPONENTIAL STOCHASTIC NETWORKS
The Standard uniformization technique for continuous-time Markov chains is generalized to non-exponential stochastic networks.
متن کاملSERIE RESEHRCH mEmORBnDH
This paper demonstrates the usefulness of nonparametric regression analysis for functional specification of household expenditure functions and equivalence scales without restricting' the class of admissible functional forms, using a Dutch budget survey.
متن کاملNumerical Solution of Non-Homogeneous Markov Processes through Uniformization
Numerical algorithms based on uniformization have been proven to be numerically stable and computationally at tractive to compute transient state distributions in ho mogeneous continuous time Markov chains Recently Van Dijk van Dijk formulated uniformization for non homogeneous Markov processes and it is of interest to investigate numerical algorithms based on uniformiza tion for non homogeneou...
متن کاملMonotonicity and Convexity of Some Functions Associated with Denumerable Markov Chains and Their Applications to Queueing Systems
Motivated by various applications in queueing theory, this paper is devoted to the monotonicity and convexity of some functions associated with discrete-time or continuous-time denumerable Markov chains. For the discrete-time case, conditions for the monotonicity and convexity of the functions are obtained by using the properties of stochastic dominance and monotone matrix. For the continuous-t...
متن کاملModel Checking Markov Chains Using Krylov Subspace Methods: An Experience Report
The predominant technique for computing the transient distribution of a Continuous Time Markov Chain (CTMC) exploits uniformization, which is known to be stable and efficient for non-stiff to mildly-stiff CTMCs. On stiff CTMCs however, uniformization suffers from severe performance degradation. In this paper, we report on our observations and analysis of an alternative technique using Krylov su...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007