A linear programming approach to error bounds for random walks in the quarter-plane.

DOI10.14736/KYB-2016-5-0757zbMATH Open1389.60063arXiv1409.3736OpenAlexW2963219038MaRDI QIDQ2956003FDOQ2956003

Authors: Jasper Goseling, Richard J. Boucherie, Jan-Kees van Ommeren 

Publication date: 13 January 2017

Published in: Kybernetika (Search for Journal in Brave)

Abstract: We consider the approximation of the performance of random walks in the quarter-plane. The approximation is in terms of a random walk with a product-form stationary distribution, which is obtained by perturbing the transition probabilities along the boundaries of the state space. A Markov reward approach is used to bound the approximation error. The main contribution of the work is the formulation of a linear program that provides the approximation error.

Full work available at URL: https://arxiv.org/abs/1409.3736

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zbMATH Keywords

random walklinear programmingerror boundstationary distributionquarter-planereflected random walkMarkov reward approach

Mathematics Subject Classification ID

Linear programming (90C05) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50)

Cited In (8)

• A finite compensation procedure for a class of two-dimensional random walks
• Simple error bounds for the QBD approximation of a special class of two dimensional reflecting random walks
• A computational framework for two-dimensional random walks with restarts
• Invariant measures and error bounds for random walks in the quarter-plane based on sums of geometric terms
• A linear programming approach to Markov reward error bounds for queueing networks
• PERFORMANCE MEASURES FOR THE TWO-NODE QUEUE WITH FINITE BUFFERS
• Necessary conditions for the compensation approach for a random walk in the quarter-plane
• The invariant measure of random walks in the quarter-plane: representation in geometric terms

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