Simulated annealing with a potential function with discontinuous gradient on \(\mathbb R^d\) (Q1609667)
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scientific article; zbMATH DE number 1782110
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| English | Simulated annealing with a potential function with discontinuous gradient on \(\mathbb R^d\) |
scientific article; zbMATH DE number 1782110 |
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Simulated annealing with a potential function with discontinuous gradient on \(\mathbb R^d\) (English)
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15 August 2002
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Consider the Lindley process \(L_t= S_t - \min_{0\leq s\leq t} S_s\) of a continuous-time Markov chain \(S_t\) on the integers, with jumps only to neighboring states (that is the birth-death process on the integers). Let \(\tau_N\) be the level hitting time of level \(N\in {\mathbb N}\). The joint distribution of \(S_{\tau_N}\) and \(\tau_N\) is derived, expressed by a recursion procedure. In the special case of the queue length process of an M/M/1 queue, this leads to results on the asymptotic behavior of \(\tau_N\) explicitly.
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continuous-time Lindley process
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Markov chain
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hitting time
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queue length
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asymptotic behavior
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0.7788503170013428
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0.7335222959518433
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0.7314931154251099
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0.7301943898200989
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