Introduction to Matrix Analytic Methods in Stochastic Modeling
The book deals with the basic mathematical ideas and algorithms of the matrix analytical theory. The approach uses probabilistic arguments to the fullest extent. The many new proofs given emphasize the unity of the matrix analytical approach. Necessary prerequisites for the book are undergraduate advanced calculus and linear algebra, and a basic course in stochastic processes. Thus, the book serves as a textbook for students and workers in applied probability, operations research, computer and industrial engineering. In the first part (Chapter 1) the authors begin by describing several examples of quasi birth and death processes (QBDs), illustrating the variety of the models, which may be hidden by the general block notations. The second part deals with phase type distribution (Chapter 2) and related-point processes (Chapter 3), providing a versatile set of tractable models for applied probability, like the PH-renewal process in discrete and continuous time and a general Markovian point process. The third part is devoted to the matrix geometric distribution of QBDs in discrete and continuous time. First, in Chapter 4, birth and death processes are reviewed by using renewal theory. In Chapter 5, processes under taboo for Markov chains are considered in discrete and continuous time. They are needed later in the book. In Chapter 6 the arguments of Chapter 4 are carried over to the matrix geometric solution for homogeneous QBDs. Stability conditions (drift conditions) for QBDs are given in Chapter 7. Part IV is devoted to numerical algorithms; the material presented in Chapter 8 combines algorithmic and probabilistic reasoning most intimately. Linear and quadratically convergent algorithms for computing the rate matrix of QBDs are given. Chapter 9 shortly outlines some aspects of spectral analysis and why this works in principle. Chapter 10 deals with QBDs with a finite number of levels and Chapter 11 with the problem of the first passage times for those processes. This allows to bring together material from different authors about different problems. It is shown how these results may be interpreted in the light of the general properties of Chapter 5. The last part (Part V) of the book contains five short chapters that go beyond simple QBDs and discuss various extensions of the analyzed processes: nonhomogeneous QBDs (level-dependent transitions) in Chapter 12, processes that are skip-free in one direction in Chapter 13, processes on a tree-like state space in Chapter 14, product form networks in Chapter 15, and in Chapter 16, processes with a general state space for the phase transition.
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- An introduction to applied matrix analysis
- The matrices R and G of matrix analytic methods and the time-inhomogeneous periodic quasi-birth-and-death process
- Queues where customers of one queue act as servers of the other queue
- An advanced queueing model to analyze appointment-driven service systems
- An \(M/M/2\) queueing system with heterogeneous servers and multiple vacations
- The cyclic reduction algorithm: From Poisson equation to stochastic processes and beyond. In memoriam of Gene H. Golub
- On the impact of customer balking, impatience and retrials in telecommunication systems
- Analysis of the \(MAP/G^{(a,b)}/1/N\) queue with multiple vacations
- Coxian representations of generalized Erlang distributions
- On the stationary distribution of queue lengths in a multi-class priority queueing system with customer transfers
- Optimization of order policies in supply networks
- Marked Markovian arrivals in a tandem G-network with blocking
- A queueing model of delayed product differentiation
- Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows
- Stability criterion of a multiserver model with simultaneous service
- Analysis of nonpreemptive priority queues with multiple servers and two priority classes
- Real eigenvalues of certain tridiagonal matrix polynomials, with queueing applications
- Computations with infinite Toeplitz matrices and polynomials
- Transient Markov arrival processes
- A new approach to the queue length and waiting time of \(BMAP/G/1\) queues.
- Waiting time distribution of the MAP/D/k system in discrete time -- a more efficient algorithm.
- An analysis of queueing systems with multi-task servers.
- The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
- Rate-tilting for fast simulation of level/phase processes
- Models of production lines as quasi-birth-death processes
- Some bivariate stochastic models arising from group representation theory
- Delay analysis of a two-class batch-service queue with class-dependent variable server capacity
- A two-stage queueing network on form postponement supply chain with correlated demands
- A new look at a smart polling model
- Asymptotics for the late arrivals problem
- An approximation analysis for an assembly-like queueing system with time-constraint items
- On SIR-models with Markov-modulated events: length of an outbreak, total size of the epidemic and number of secondary infections
- On preemptive-repeat LIFO queues
- A sequential stochastic mixed integer programming model for tactical master surgery scheduling
- An algorithmic analysis of the BMAP/MSP/1 generalized processor-sharing queue
- Analysis of a batch service polling system in a multi-phase random environment
- Some decomposition results for a class of vacation queues
- Condition numbers and backward error of a matrix polynomial equation arising in stochastic models
- Dynamic allocation of stochastically-arriving flexible resources to random streams of objects with application to kidney cross-transplantation
- Tail asymptotics for a batch service polling system with retrials and nonpersistent customers
- Stationary analysis of the shortest queue problem
- Time-dependent analysis of an \(\mathrm{M}/\mathrm{M}/c\) preemptive priority system with two priority classes
- Approximation of ruin probabilities via Erlangized scale mixtures
- The distribution of discounted compound PH-renewal processes
- Monitoring the ratio of population means of a bivariate normal distribution using CUSUM type control charts
- Computing conditional sojourn time of a randomly chosen tagged customer in a BMAP/MSP/1 queue under random order service discipline
- Adjoining batch Markov arrival processes of a Markov chain
- Analysis of a batch service multi-server polling system with dynamic service control
- On the exponential of semi-infinite quasi-Toeplitz matrices
- Point of queue size change analysis of the $PH/PH/k$ system with heterogeneous servers
- Exact analysis for multiserver queueing systems with cross selling
- On a 2-class polling model with reneging and \(k_i\)-limited service
- The \(M_n/G_n/1\) queue with vacations and exhaustive service
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- Circulation network design for urban rail transit station using a PH(\(n\))/PH(\(n\))/\(C\)/\(C\) queuing network model
- A control-chart-based queueing approach for service facility maintenance with energy-delay tradeoff
- Performance improvement of a service system via stocking perishable preliminary services
- Analysis of a continuous time SM[K]/PH[K]/1/FCFS queue: age process, sojourn times, and queue lengths
- Steady state analysis of level dependent quasi-birth-and-death processes with catastrophes
- Truncation and augmentation of level-independent QBD processes.
- Spectral properties of the tandem Jackson network, seen as a quasi-birth-and-death process
- Queues with postponed work
- A stochastic SIS epidemic model with heterogeneous contacts
- On the MAP/PH/c retrial queueing system with two types of nonpersistent calls
- Analysis of \(\mathrm{MAP}/\mathrm{PH}_1,\mathrm{PH}_2/1\) queue with vacations and optional secondary services
- A matrix-geometric approximation for tandem queues with blocking and repeated attempts
- Discrete time queues and matrix-analytic methods. (With comments and rejoinder)
- Quasi-birth-and-death processes, level-geometric distributions. An aggregation/disaggregation approach
- Solving nonlinear matrix equations arising in tree-like stochastic processes.
- Markov chain representations of discrete distributions applied to queueing models
- On a dual queueing system with preemptive priority service discipline
- The optimal allocation of server time slots over different classes of patients
- Maintenance of a deteriorating single server system with Markovian arrivals and random shocks
- Analysis of queueing systems with customer interjections
- Analysis of discrete-time queues with batch renewal input and multiple vacations
- Tail asymptotics for \(M/M/c\) retrial queues with non-persistent customers
- Towards a linear algebra of programming
- Non-product form equilibrium probabilities in a class of two-station closed reentrant queueing networks
- Markov decision processes in service facilities holding perishable inventory
- Join the shortest queue among \(k\) parallel queues: tail asymptotics of its stationary distribution
- Asymptotics for the stationary distribution in a discrete-time two-dimensional quasi-birth-and-death process
- Many-server diffusion limits for \(G/Ph/n+GI\) queues
- Numerical methods to analyses of queuing systems with instantaneous feedback, positive server setup time and impatient calls
- A queueing system with probabilistic joining strategy for priority customers
- Quality and pricing decisions in production/inventory systems
- A fast Newton-Shamanskii iteration for a matrix equation arising from M/G/1-type Markov chains
- Fitting procedure for the two-state batch Markov modulated Poisson process
- On a batch matching system with impatient servers and boundedly rational customers
- On the subcritical birth-and-death processes in a random environment
- Integrated planning of spare parts and service engineers with partial backlogging
- The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
- On time-discretized versions of the stochastic SIS epidemic model: a comparative analysis
- Absorbing-reflecting factorizations for birth-death chains on the integers and their Darboux transformations
- To clean or not to clean: malware removal strategies for servers under load
- Strategic customer behavior in a queueing system with alternating information structure
- Strategic behaviour in a tandem queue with alternating server
- Asymptotic properties of the occupation measure in a multidimensional skip-free Markov-modulated random walk
- Strategic customer behavior in an \(M/M/1\) feedback queue
- An \(M/ PH /1\) queue with workload-dependent processing speed and vacations
- On scale functions for Lévy processes with negative phase-type jumps
- An exact algorithm for the redundancy allocation problem with heterogeneous components under the mixed redundancy strategy
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