Series expansions for continuous-time Markov chains

B.F. Heidergott; A. Hordijk; N. Leder

doi:10.1287/opre.1090.0738

Series expansions for continuous-time Markov chains

B.F. Heidergott, A. Hordijk, N. Leder

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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. © 2010 INFORMS.

Original language	English
Pages (from-to)	756-767
Number of pages	21
Journal	Operations Research
Volume	58
DOIs	https://doi.org/10.1287/opre.1090.0738
Publication status	Published - 2010

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AU - Hordijk, A.

AU - Leder, N.

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AB - 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. © 2010 INFORMS.

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DO - 10.1287/opre.1090.0738

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VL - 58

SP - 756

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JO - Operations Research

JF - Operations Research

ER -

Series expansions for continuous-time Markov chains

Abstract

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