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Separable solutions for Markov processes in random environments

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  • Balsamo, Simonetta
  • Marin, Andrea

Abstract

In this paper we address the problem of efficiently deriving the steady-state distribution for a continuous time Markov chain (CTMC) S evolving in a random environment E. The process underlying E is also a CTMC. S is called Markov modulated process. Markov modulated processes have been widely studied in literature since they are applicable when an environment influences the behaviour of a system. For instance, this is the case of a wireless link, whose quality may depend on the state of some random factors such as the intensity of the noise in the environment. In this paper we study the class of Markov modulated processes which exhibits separable, product-form stationary distribution. We show that several models that have been proposed in literature can be studied applying the Extended Reversed Compound Agent Theorem (ERCAT), and also new product-forms are derived. We also address the problem of the necessity of ERCAT for product-forms and show a meaningful example of product-form not derivable via ERCAT.

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  • Balsamo, Simonetta & Marin, Andrea, 2013. "Separable solutions for Markov processes in random environments," European Journal of Operational Research, Elsevier, vol. 229(2), pages 391-403.
    • Handle: RePEc:eee:ejores:v:229:y:2013:i:2:p:391-403
    DOI: 10.1016/j.ejor.2013.03.011
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    Cited by:

    1. Simonetta Balsamo & Gian-Luca Dei Rossi & Andrea Marin, 2016. "Lumping and reversed processes in cooperating automata," Annals of Operations Research, Springer, vol. 239(2), pages 695-722, April.

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