scholarly journals Bounded truncation error for long-run averages in infinite Markov chains

2015 ◽  
Vol 52 (03) ◽  
pp. 609-621 ◽  
Author(s):  
Hendrik Baumann ◽  
Werner Sandmann

We consider long-run averages of additive functionals on infinite discrete-state Markov chains, either continuous or discrete in time. Special cases include long-run average costs or rewards, stationary moments of the components of ergodic multi-dimensional Markov chains, queueing network performance measures, and many others. By exploiting Foster-Lyapunov-type criteria involving drift conditions for the finiteness of long-run averages we determine suitable finite subsets of the state space such that the truncation error is bounded. Illustrative examples demonstrate the application of this method.

2015 ◽  
Vol 52 (3) ◽  
pp. 609-621 ◽  
Author(s):  
Hendrik Baumann ◽  
Werner Sandmann

We consider long-run averages of additive functionals on infinite discrete-state Markov chains, either continuous or discrete in time. Special cases include long-run average costs or rewards, stationary moments of the components of ergodic multi-dimensional Markov chains, queueing network performance measures, and many others. By exploiting Foster-Lyapunov-type criteria involving drift conditions for the finiteness of long-run averages we determine suitable finite subsets of the state space such that the truncation error is bounded. Illustrative examples demonstrate the application of this method.


2013 ◽  
Vol 50 (1) ◽  
pp. 151-165 ◽  
Author(s):  
Hendrik Baumann ◽  
Werner Sandmann

Stationary expectations corresponding to long-run averages of additive functionals on level-dependent quasi-birth-and-death processes are considered. Special cases include long-run average costs or rewards, moments and cumulants of steady-state queueing network performance measures, and many others. We provide a matrix-analytic scheme for numerically computing such stationary expectations without explicitly computing the stationary distribution of the process, which yields an algorithm that is as quick as its counterparts for stationary distributions but requires far less computer storage. Specific problems arising in the case of infinite state spaces are discussed and the application of the algorithm is demonstrated by a queueing network example.


2013 ◽  
Vol 50 (01) ◽  
pp. 151-165 ◽  
Author(s):  
Hendrik Baumann ◽  
Werner Sandmann

Stationary expectations corresponding to long-run averages of additive functionals on level-dependent quasi-birth-and-death processes are considered. Special cases include long-run average costs or rewards, moments and cumulants of steady-state queueing network performance measures, and many others. We provide a matrix-analytic scheme for numerically computing such stationary expectations without explicitly computing the stationary distribution of the process, which yields an algorithm that is as quick as its counterparts for stationary distributions but requires far less computer storage. Specific problems arising in the case of infinite state spaces are discussed and the application of the algorithm is demonstrated by a queueing network example.


2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.


2001 ◽  
Vol 33 (1) ◽  
pp. 206-222 ◽  
Author(s):  
Xiaoyue Jiang ◽  
Viliam Makis ◽  
Andrew K. S. Jardine

In this paper, we study a maintenance model with general repair and two types of replacement: failure and preventive replacement. When the system fails a decision is made whether to replace or repair it. The repair degree that affects the virtual age of the system is assumed to be a random function of the repair-cost and the virtual age at failure time. The system can be preventively replaced at any time before failure. The objective is to find the repair/replacement policy minimizing the long-run expected average cost per unit time. It is shown that a generalized repair-cost-limit policy is optimal and the preventive replacement time depends on the virtual age of the system and on the length of the operating time since the last repair. Computational procedures for finding the optimal repair-cost limit and the optimal average cost are developed. This model includes many well-known models as special cases and the approach provides a unified treatment of a wide class of maintenance models.


2007 ◽  
Vol 44 (02) ◽  
pp. 321-331
Author(s):  
Heng-Qing Ye

In this paper we present counter-intuitive examples for the multiclass queueing network, where each station may serve more than one job class with differentiated service priority and each job may require service sequentially by more than one service station. In our examples, the network performance is improved even when more jobs are admitted for service.


2007 ◽  
Vol 44 (2) ◽  
pp. 321-331
Author(s):  
Heng-Qing Ye

In this paper we present counter-intuitive examples for the multiclass queueing network, where each station may serve more than one job class with differentiated service priority and each job may require service sequentially by more than one service station. In our examples, the network performance is improved even when more jobs are admitted for service.


1998 ◽  
Vol 35 (03) ◽  
pp. 517-536 ◽  
Author(s):  
R. L. Tweedie

Let P be the transition matrix of a positive recurrent Markov chain on the integers, with invariant distribution π. If (n) P denotes the n x n ‘northwest truncation’ of P, it is known that approximations to π(j)/π(0) can be constructed from (n) P, but these are known to converge to the probability distribution itself in special cases only. We show that such convergence always occurs for three further general classes of chains, geometrically ergodic chains, stochastically monotone chains, and those dominated by stochastically monotone chains. We show that all ‘finite’ perturbations of stochastically monotone chains can be considered to be dominated by such chains, and thus the results hold for a much wider class than is first apparent. In the cases of uniformly ergodic chains, and chains dominated by irreducible stochastically monotone chains, we find practical bounds on the accuracy of the approximations.


Author(s):  
Thomas Yew Sing Lee

The author presents performance analysis of a single buffer multiple-queue system. Four different types of service disciplines (i.e., non-preemptive, pre-emptive repeat different, state dependent random polling and globally gated) are analyzed. His model includes correlated input process and three different types of non-productive time (i.e., switchover, vacation and idle time). Special cases of the model includes server with mixed multiple and single vacations, stopping server with delayed vacation and stopping server with alternating vacation and idle time. For each of the four service disciplines the key performance measures such as average customer waiting time, loss probability, and throughput are computed. The results permit a detailed discussion of how these performance measures depends on the customer arrival rate, the customer service time, the switchover time, the vacation time, and the idle time. Moreover, extensive numerical results are presented and the four service disciplines are compared with respect to the performance measure. Previous studies of the single buffer multiple-queue systems tend to provide separate analysis for the two cases of zero and nonzero switchover time. The author is able to provide a unified analysis for the two cases. His results generalize and improve a number of known results on single buffer multiple-queue systems. Furthermore, this method does not require differentiation while it is needed if one uses the probability generating function approach. Lastly, the author's approach works for all single buffer multiple-queue systems in which the next queue to be served is determines solely on the basis of the occupancy states at the end of the cycle time.


1995 ◽  
Vol 32 (01) ◽  
pp. 39-51
Author(s):  
Xi-Ren Cao

One result that is of both theoretical and practical importance regarding point processes is the method of thinning. The basic idea of this method is that under some conditions, there exists an embedded Poisson process in any point process such that all its arrival points form a sub-sequence of the Poisson process. We extend this result by showing that on the embedded Poisson process of a uni- or multi-variable marked point process in which interarrival time distributions may depend on the marks, one can define a Markov chain with a discrete state that characterizes the stage of the interarrival times. This implies that one can construct embedded Markov chains with countable state spaces for the state processes of many practical systems that can be modeled by such point processes.


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