Series Expansions for Continuous-Time Markov Processes

被引：25
|
作者：
Heidergott, Bernd [1 ,2 ]
Hordijk, Arie [3 ]
Leder, Nicole [4 ]
机构：
[1] Vrije Univ Amsterdam, Dept Econometr, NL-1081 HV Amsterdam, Netherlands
[2] Tinbergen Inst, NL-1081 HV Amsterdam, Netherlands
[3] Leiden Univ, Math Inst, NL-2300 RA Leiden, Netherlands
[4] Univ Hamburg, Dept Math, D-20146 Hamburg, Germany
来源：
OPERATIONS RESEARCH | 2010年 / 58卷 / 03期
关键词：
PERTURBATION BOUNDS; QUEUING MODELS; CHAINS; SENSITIVITY; ERGODICITY; NETWORK; MATRIX;
D O I：
10.1287/opre.1090.0738
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We present update formulas that allow us to express the stationary distribution of a continuous-time Markov process with denumerable state space having generator matrix Q* through a continuous-time Markov process with generator matrix Q. Under suitable stability conditions, numerical approximations can be derived from the update formulas, and we show that the algorithms converge at a geometric rate. Applications to sensitivity analysis and bounds on perturbations are discussed as well. Numerical examples are presented to illustrate the efficiency of the proposed algorithm.
引用
收藏
页码：756 / 767
页数：12
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