Series Expansions for Continuous-Time Markov Processes
Bernd Heidergott, Arie Hordijk, Nicole Leder
Operations Research · 2010 · Volume 58 · Issue 3
Abstract
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.
Keywords
probability, Markov processes, queues, algorithms, numerical methods, retrial queue, deviation matrix, sensitivity analysis
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