Numerical Methods for a Class of Markov Chains Arising in Queueing Theory.
DELAWARE UNIV NEWARK DEPT OF STATISTICS AND COMPUTER SCIENCE
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An algorithm is discussed for computing the stationary probability vector of an infinite-state Markov chain whose transition probability matrix has a block-partitioned structure. Such matrices arise in a wide variety of queueing models as well as generalized random walk problems. Traditionally, the analytic approach to this type of problem has been through complex variable methods. An alternate and unified treatment of this problem is presented and an algorithm is obtained which utilizes only real arithmetic computations. In addition, most of the intermediate steps of the algorithm have useful probabilistic interpretations.
- Statistics and Probability
- Operations Research