Spectral analysis of M/G/1 and G/M/1 type Markov chains

1996 ◽  
Vol 28 (01) ◽  
pp. 114-165 ◽  
Author(s):  
H. R. Gail ◽  
S. L. Hantler ◽  
B. A. Taylor
Keyword(s):  
Markov Chains ◽  
Generating Functions ◽  
Complex Analysis ◽  
Linear Equations ◽  
Sufficient Conditions ◽  
Equilibrium Analysis ◽  
Transform Method ◽  
Technical Problems ◽  
The Matrix ◽  
Transient Case

When analyzing the equilibrium behavior of M/G/1 type Markov chains by transform methods, restrictive hypotheses are often made to avoid technical problems that arise in applying results from complex analysis and linear algebra. It is shown that such restrictive assumptions are unnecessary, and an analysis of these chains using generating functions is given under only the natural hypotheses that first moments (or second moments in the null recurrent case) exist. The key to the analysis is the identification of an important subspace of the space of bounded solutions of the system of homogeneous vector-valued Wiener–Hopf equations associated with the chain. In particular, the linear equations in the boundary probabilities obtained from the transform method are shown to correspond to a spectral basis of the shift operator on this subspace. Necessary and sufficient conditions under which the chain is ergodic, null recurrent or transient are derived in terms of properties of the matrix-valued generating functions determined by transitions of the Markov chain. In the transient case, the Martin exit boundary is identified and shown to be associated with certain eigenvalues and vectors of one of these generating functions. An equilibrium analysis of the class of G/M/1 type Markov chains by similar methods is also presented.

Spectral analysis of M/G/1 and G/M/1 type Markov chains

1996 ◽  
Vol 28 (1) ◽  
pp. 114-165 ◽  
Author(s):  
H. R. Gail ◽  
S. L. Hantler ◽  
B. A. Taylor
Keyword(s):  
Markov Chains ◽  
Generating Functions ◽  
Complex Analysis ◽  
Linear Equations ◽  
Sufficient Conditions ◽  
Equilibrium Analysis ◽  
Transform Method ◽  
Technical Problems ◽  
The Matrix ◽  
Transient Case

When analyzing the equilibrium behavior of M/G/1 type Markov chains by transform methods, restrictive hypotheses are often made to avoid technical problems that arise in applying results from complex analysis and linear algebra. It is shown that such restrictive assumptions are unnecessary, and an analysis of these chains using generating functions is given under only the natural hypotheses that first moments (or second moments in the null recurrent case) exist. The key to the analysis is the identification of an important subspace of the space of bounded solutions of the system of homogeneous vector-valued Wiener–Hopf equations associated with the chain. In particular, the linear equations in the boundary probabilities obtained from the transform method are shown to correspond to a spectral basis of the shift operator on this subspace. Necessary and sufficient conditions under which the chain is ergodic, null recurrent or transient are derived in terms of properties of the matrix-valued generating functions determined by transitions of the Markov chain. In the transient case, the Martin exit boundary is identified and shown to be associated with certain eigenvalues and vectors of one of these generating functions. An equilibrium analysis of the class of G/M/1 type Markov chains by similar methods is also presented.

scholarly journals Analysis of the Production Task Model With Fuzzy Information About Direct Cost Factors and the Final Product Demand

2019 ◽  
Vol 09 (4) ◽  
pp. 32-45 ◽  
Author(s):  
A.V. Panteleev ◽  
V.S. Saveleva
Keyword(s):  
Strong Solution ◽  
Direct Cost ◽  
Linear Equations ◽  
Sufficient Conditions ◽  
Production Task ◽  
Fuzzy Information ◽  
System Of Linear Equations ◽  
Fuzzy Matrix ◽  
Linear System Of Equations ◽  
The Matrix

The article discusses the study of a mathematical model of execution of the production task in the presence of fuzzy information about the matrixes of direct costs and final demand. By solving a problem with fuzzy information we mean the solution of a linear system of equations with a fuzzy matrix and a fuzzy right-hand side described by fuzzy triangular numbers in a form of deviations from the mean. In this task of search of inter-sectoral balance the LU-decomposition method for the matrix of direct cost which is further used for solving the system of linear equations is applied. A software implementation of a numerical method for finding a strong solution of a fuzzy system of linear equations consisting of two successive stages is described. At the first stage, the necessary and sufficient conditions for the existence of a strong solution are verified. At the second stage, the solution of the system is found, which is written in the form of a fuzzy matrix. The influence of the fuzzy numbers parameters on the final result was studied.

scholarly journals Influence of Preconditioning and Blocking on Accuracy in Solving Markovian Models

2009 ◽  
Vol 19 (2) ◽  
pp. 207-217 ◽  
Author(s):  
Beata Bylina ◽  
Jarosław Bylina
Keyword(s):  
Markov Chains ◽  
Iterative Methods ◽  
Linear Equations ◽  
Direct Methods ◽  
Factorization Method ◽  
Markovian Models ◽  
The Matrix ◽  
Gauss Elimination ◽  
Systems Of Linear Equations ◽  
The Impact

Influence of Preconditioning and Blocking on Accuracy in Solving Markovian ModelsThe article considers the effectiveness of various methods used to solve systems of linear equations (which emerge while modeling computer networks and systems with Markov chains) and the practical influence of the methods applied on accuracy. The paper considers some hybrids of both direct and iterative methods. Two varieties of the Gauss elimination will be considered as an example of direct methods: the LU factorization method and the WZ factorization method. The Gauss-Seidel iterative method will be discussed. The paper also shows preconditioning (with the use of incomplete Gauss elimination) and dividing the matrix into blocks where blocks are solved applying direct methods. The motivation for such hybrids is a very high condition number (which is bad) for coefficient matrices occuring in Markov chains and, thus, slow convergence of traditional iterative methods. Also, the blocking, preconditioning and merging of both are analysed. The paper presents the impact of linked methods on both the time and accuracy of finding vector probability. The results of an experiment are given for two groups of matrices: those derived from some very abstract Markovian models, and those from a general 2D Markov chain.

scholarly journals Markov chains with transition delta-matrix: ergodicity conditions, invariant probability measures and applications

1991 ◽  
Vol 4 (4) ◽  
pp. 333-355 ◽  
Author(s):  
Lev Abolnikov ◽  
Alexander Dukhovny
Keyword(s):  
Markov Chains ◽  
Generating Functions ◽  
Sufficient Conditions ◽  
Probability Measures ◽  
Transition Matrices ◽  
Special Cases ◽  
Associated Function ◽  
Necessary And Sufficient ◽  
General Method

A large class of Markov chains with so-called Δm,n-and Δ′m,n-transition matrices (“delta-matrices”) which frequently occur in applications (queues, inventories, dams) is analyzed.The authors find some structural properties of both types of Markov chains and develop a simple test for their irreducibility and aperiodicity. Necessary and sufficient conditions for the ergodicity of both chains are found in the article in two equivalent versions. According to one of them, these conditions are expressed in terms of certain restrictions imposed on the generating functions Ai(z) of the elements of the ith row of the transition matrix, i=0,1,2,…; in the other version they are connected with the characterization of the roots of a certain associated function in the unit disc of the complex plane. The invariant probability measures of Markov chains of both kinds are found in terms of generating functions. It is shown that the general method in some important special cases can be simplified and yields convenient and, sometimes, explicit results.As examples, several queueing and inventory (dam) models, each of independent interest, are analyzed with the help of the general methods developed in the article.

scholarly journals Uniqueness criteria for continuous-time Markov chains with general transition structures

2005 ◽  
Vol 37 (04) ◽  
pp. 1056-1074 ◽  
Author(s):  
Anyue Chen ◽  
Phil Pollett ◽  
Hanjun Zhang ◽  
Ben Cairns
Keyword(s):  
Markov Chains ◽  
Branching Processes ◽  
Linear Equations ◽  
Sufficient Conditions ◽  
Famous Result ◽  
Transition Structures ◽  
Systems Of Linear Equations ◽  
Necessary And Sufficient ◽  
Uniqueness Criteria ◽  
Birth Death

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

scholarly journals Uniqueness criteria for continuous-time Markov chains with general transition structures

2005 ◽  
Vol 37 (4) ◽  
pp. 1056-1074 ◽  
Author(s):  
Anyue Chen ◽  
Phil Pollett ◽  
Hanjun Zhang ◽  
Ben Cairns
Keyword(s):  
Markov Chains ◽  
Branching Processes ◽  
Linear Equations ◽  
Sufficient Conditions ◽  
Famous Result ◽  
Transition Structures ◽  
Systems Of Linear Equations ◽  
Necessary And Sufficient ◽  
Uniqueness Criteria ◽  
Birth Death

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

On Some Properties of Semi-rings

2018 ◽  
pp. 35-50
Author(s):  
A. I. Belousov
Keyword(s):  
Linear Equations ◽  
Oriented Graph ◽  
Theoretical Computer Science ◽  
Alternative Methods ◽  
Main Role ◽  
Cost Matrix ◽  
Sequential Elimination ◽  
The Matrix ◽  
Systems Of Linear Equations ◽  
The Cost

The main objective of this paper is to prove a theorem according to which a method of successive elimination of unknowns in the solution of systems of linear equations in the semi-rings with iteration gives the really smallest solution of the system. The proof is based on the graph interpretation of the system and establishes a relationship between the method of sequential elimination of unknowns and the method for calculating a cost matrix of a labeled oriented graph using the method of sequential calculation of cost matrices following the paths of increasing ranks. Along with that, and in terms of preparing for the proof of the main theorem, we consider the following important properties of the closed semi-rings and semi-rings with iteration.We prove the properties of an infinite sum (a supremum of the sequence in natural ordering of an idempotent semi-ring). In particular, the proof of the continuity of the addition operation is much simpler than in the known issues, which is the basis for the well-known algorithm for solving a linear equation in a semi-ring with iteration.Next, we prove a theorem on the closeness of semi-rings with iteration with respect to solutions of the systems of linear equations. We also give a detailed proof of the theorem of the cost matrix of an oriented graph labeled above a semi-ring as an iteration of the matrix of arc labels.The concept of an automaton over a semi-ring is introduced, which, unlike the usual labeled oriented graph, has a distinguished "final" vertex with a zero out-degree.All of the foregoing provides a basis for the proof of the main theorem, in which the concept of an automaton over a semi-ring plays the main role.The article's results are scientifically and methodologically valuable. The proposed proof of the main theorem allows us to relate two alternative methods for calculating the cost matrix of a labeled oriented graph, and the proposed proofs of already known statements can be useful in presenting the elements of the theory of semi-rings that plays an important role in mathematical studies of students majoring in software technologies and theoretical computer science.

scholarly journals Instable Trivial Solution of Autonomous Differential Systems with Quadratic Right-Hand Sides in a Cone

2011 ◽  
Vol 2011 ◽  
pp. 1-23 ◽  
Author(s):  
D. Ya. Khusainov ◽  
J. Diblík ◽  
Z. Svoboda ◽  
Z. Šmarda
Keyword(s):  
Trivial Solution ◽  
Sufficient Conditions ◽  
Zero Solution ◽  
Dimensional System ◽  
Global Instability ◽  
Degree Polynomial ◽  
Differential Systems ◽  
Right Hand ◽  
The Matrix ◽  
Full Derivative

The present investigation deals with global instability of a generaln-dimensional system of ordinary differential equations with quadratic right-hand sides. The global instability of the zero solution in a given cone is proved by Chetaev's method, assuming that the matrix of linear terms has a simple positive eigenvalue and the remaining eigenvalues have negative real parts. The sufficient conditions for global instability obtained are formulated by inequalities involving norms and eigenvalues of auxiliary matrices. In the proof, a result is used on the positivity of a general third-degree polynomial in two variables to estimate the sign of the full derivative of an appropriate function in a cone.

scholarly journals On circulant codes with prescribed distances

1977 ◽  
Vol 16 (3) ◽  
pp. 361-369
Author(s):  
M. Deza ◽  
Peter Eades
Keyword(s):  
Sufficient Conditions ◽  
Difference Sets ◽  
Necessary And Sufficient Conditions ◽  
Necessary Condition ◽  
Weighing Matrices ◽  
Cyclic Difference Sets ◽  
The Matrix ◽  
Circulant Codes ◽  
Necessary And Sufficient ◽  
Square Matrix

Necessary and sufficient conditions are given for a square matrix to te the matrix of distances of a circulant code. These conditions are used to obtain some inequalities for cyclic difference sets, and a necessary condition for the existence of circulant weighing matrices.

scholarly journals Matrix and vector sequence transformations revisited

1995 ◽  
Vol 38 (3) ◽  
pp. 495-510 ◽  
Author(s):  
C. Brezinski ◽  
A. Salam
Keyword(s):  
Linear Equations ◽  
Convergence Acceleration ◽  
Difference Operators ◽  
Scalar Case ◽  
Extrapolation Methods ◽  
System Of Linear Equations ◽  
Vector Sequence ◽  
The Matrix ◽  
Sequence Transformations

Sequence transformations are extrapolation methods. They are used for the purpose of convergence acceleration. In the scalar case, such algorithms can be obtained by two different approaches which are equivalent. The first one is an elimination approach based on the solution of a system of linear equations and it makes use of determinants. The second approach is based on the notion of annihilation difference operators. In this paper, these two approaches are generalized to the matrix and the vector cases.

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