Computing stationary expectations in level-dependent QBD processes

DOI10.1239/JAP/1363784430MaRDI QIDQ4918569zbMATH OpenOpenAlexFDO

Authors Hendrik Baumann, Werner Sandmann

Publication date 25 April 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1363784430

zbMATH Keywords

level-dependent quasi-birth-and-death processlong-run average additive functionalmatrix analytic computationmemory-efficient algorithmstationary expectation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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Cites work

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• Computational Performance Bounds for Markov Chains With Applications
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• Infinite level-dependent QBD processes and matrix-analytic solutions for stochastic chemical kinetics
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Performance bounds for queueing networks and scheduling policies
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Cited in

(26)

• An approximation analysis for an assembly-like queueing system with time-constraint items
• Multi-server tandem queue with Markovian arrival process, phase-type service times, and finite buffers
• Circulation network design for urban rail transit station using a PH(\(n\))/PH(\(n\))/\(C\)/\(C\) queuing network model
• The unobserved waiting customer approximation
• Finite-state-space truncations for infinite quasi-birth-death processes
• Computation of invariant measures and stationary expectations for Markov chains with block-band transition matrix
• The time-dependent expected reward and deviation matrix of a finite QBD process
• On finite long run costs and rewards in infinite Markov chains
• A PH/PH\((n)/C/C\) state-dependent queuing model for metro station corridor width design
• Generalized continued fractions: a unified definition and a Pringsheim-type convergence criterion
• Numerical comparison of computational methods for QBD processes
• Clearing analysis on phases: exact limiting probabilities for skip-free, unidirectional, quasi-birth-death processes
• Infinite level-dependent QBD processes and matrix-analytic solutions for stochastic chemical kinetics
• Bounded truncation error for long-run averages in infinite Markov chains
• Exact transient expectations for queueing networks
• Expected passage times in homogeneous quasi-birth-and-death Processes
• A novel computational method for solving finite qbd processes
• The variance constant for continuous-time level dependent quasi-birth-and-death processes
• Kronecker-Based Infinite Level-Dependent QBD Processes
• Numerical Methods for Integral Equations of the Second Kind with NonSmooth Solutions of Bounded Variation
• Algorithms for Queueing Systems with Reneging and Priorities Modeled as Quasi-Birth-Death Processes
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• A production queueing-inventory system with two-customer and a server subject to breakdown
• Analysis of a queueing system with mixed service discipline
• Performability analysis of a MMAP [2]/ PH [2]/ S model with PH retrial times
• A computational approach to extreme values and related hitting probabilities in level-dependent quasi-birth-death processes

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