The exponential-dual matrix method: Applications to Markov chain analysis

Author:

Rubino Gerardo,Krinik Alan

Abstract

Classic performance evaluation using queueing theory is usually done assuming a stable model in equilibrium. However, there are situations where we are interested in the transient phase. In this case, the main metrics are built around the model’s state distribution at an arbitrary point in time. In dependability, a significant part of the analysis is done in the transient phase. In previous work, we developed an approach to derive distributions of some continuous time Markovian models, built around uniformization (also called Jensen’s method), transforming the problem into a discrete time one, and the concept of stochastic duality. This combination of tools provides significant simplifications in many cases. However, stochastic duality does not always exist. Recently, we discovered that an idea of algebraic duality, formally similar to stochastic duality, can be defined and applied to any linear differential system (or equivalently, to any matrix). In this case, there is no limitation, the transformation is always possible. We call it the exponential-dual matrix method. In the article, we describe the limitations of stochastic duality and how the exponential-dual matrix method operates for any system, stochastic or not. These concepts are illustrated throughout our article with specific examples, including the case of infinite matrices.

Publisher

American Mathematical Society

Reference18 articles.

1. Springer Series in Statistics: Probability and its Applications;Anderson, William J.,1991

2. Classics in Applied Mathematics;Bhattacharya, Rabi N.,2009

3. Transient probability functions: a sample path approach;Green, Michael L.,2003

4. Statistics: Textbooks and Monographs;Jain, Joti Lal,2007

5. On the notion(s) of duality for Markov processes;Jansen, Sabine;Probab. Surv.,2014

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3