Duality properties of a one-dimensional random walk and a new computational algorithm

DOI10.1016/0377-2217(90)90252-7MaRDI QIDQ917170zbMATH OpenOpenAlexFDO

Authors C. B. Winsten, Michael J. Fryer

Publication date 1990

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(90)90252-7

zbMATH Keywords

random walk with infinitely many statesrecursively successive approximations

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Review text

This paper expands on earlier work by the authors [Oper. Res. 34, 449-454 (1986; Zbl 0612.60061)], which proposes an ingenious procedure for making an exact finite theoretical representation of a system whose true physical character is a random walk with infinitely many states. The technique provides an alternative to a finite approximation to an infinite system in which one calculates recursively successive approximations to the exact infinite state probabilities by allowing the number of states to increase progressively. A new algorithm is proposed and briefly illustrated by a not altogether rivetting example. We look forward to the sequel which, it is promised, will contain more realistic examples of this powerful method.

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Cites work

• A new method to solve steady state queueing equations
• An Algorithm to Compute the Equilibrium Distribution of a One-Dimensional Bounded Random Walk
• scientific article; zbMATH DE number 3147952 (Why is no real title available?)
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 3255204 (Why is no real title available?)
• The autostrada queueing problem
• The Factorization of Queueing Equations and Their Interpretation

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