Taylor series expansions for stationary Markov chains

DOI10.1239/AAP/1067436334zbMATH Open1043.60056OpenAlexW2168934542MaRDI QIDQ4454112FDOQ4454112

Bernd Heidergott, Arie Hordijk

Publication date: 7 March 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/64c16914-a235-4e78-bc76-9670721763d0

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zbMATH Keywords

Markov chaindeviation matrixTaylor seriesmeasure-valued differentiation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sensitivity, stability, parametric optimization (90C31)

Cites Work

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Cited In (33)

• Forward sensitivity analysis for contracting stochastic systems
• A functional approximation for the M/G/1/N queue
• Perturbation analysis of the \(\mathrm{GI}/\mathrm{M}/s\) queue
• New perturbation bounds for denumerable Markov chains
• A simultaneous perturbation weak derivative estimator for stochastic neural networks
• Statistical techniques for a numerical evaluation of the proximity of \(G/G/1\) and \(G/M/1\) queueing systems
• Strong stability of the embedded Markov chain in an \(GI/M/1\) queue with negative customers
• Perturbation and Inverse Problems of Stochastic Matrices
• Perturbation analysis of inhomogeneous finite Markov chains
• A Small Gain Analysis of Single Timescale Actor Critic
• Optimal balanced control for call centers
• ASYMPTOTIC VARIANCE OF PASSAGE TIME ESTIMATORS IN MARKOV CHAINS
• Structural Perturbation Analysis of a Single Server Queue with Breakdowns
• Robust sensitivity analysis for stochastic systems
• On Series Expansions and Stochastic Matrices
• Regular Perturbation of V-Geometrically Ergodic Markov Chains
• A parametric uncertainty analysis method for queues with vacations
• SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS
• Measure of performances of the strong stability method
• OPTIMAL MIXING OF MARKOV DECISION RULES FOR MDP CONTROL
• Error bounds on practical approximation for two tandem queue with blocking and non-preemptive priority
• Approximation in the \(M_{2}/G_{2}/1\) queue with preemptive priority
• Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times
• Development of computational algorithm for multiserver queue with renewal input and synchronous vacation
• Strong truncation approximation in tandem queues with blocking
• Characterization and sufficient conditions for normed ergodicity of Markov chains
• Strong Stability of the Batch Arrival Queueing Systems
• A perturbation analysis of Markov chains models with time-varying parameters
• Quantitative Estimates in an M₂/G₂/1 Priority Queue with Non-Preemptive Priority: The Method of Strong Stability
• A functional approximation for retrial queues with two way communication
• Title not available (Why is that?)
• Strong bounds on perturbations
• Strong stability in a two-dimensional classical risk model with independent claims

Uses Software

• UMDES

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