IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v22y2020i1d10.1007_s11009-019-09703-x.html
   My bibliography  Save this article

Extreme Value Distributions for Two Kinds of Path Sums of Markov Chain

Author

Listed:
  • Lei Gao

    (Shanghai Jiao Tong University)

  • Dong Han

    (Shanghai Jiao Tong University)

Abstract

We consider the extreme value distributions for two kinds of path sums on condition that every path is a discrete time, homogeneous and irreducible ergodic Markov chain with a finite number of states. We not only derive the extreme value distribution for the first kind but also establish the equivalence of limit distributions of a sum and of a maximum sum for the second kind. Numerical experiments are conducted to confirm our results.

Suggested Citation

  • Lei Gao & Dong Han, 2020. "Extreme Value Distributions for Two Kinds of Path Sums of Markov Chain," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 279-294, March.
    • Handle: RePEc:spr:metcap:v:22:y:2020:i:1:d:10.1007_s11009-019-09703-x
    DOI: 10.1007/s11009-019-09703-x
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-019-09703-x
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11009-019-09703-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Serafini, Paolo, 2006. "Dynamic programming and minimum risk paths," European Journal of Operational Research, Elsevier, vol. 175(1), pages 224-237, November.
    2. Mittal, Yashaswini, 1979. "Extreme value distribution for normalized sums from stationary Gaussian sequences," Stochastic Processes and their Applications, Elsevier, vol. 9(1), pages 67-84, August.
    3. Lin, Geng & Guan, Jian & Feng, Huibin, 2018. "An ILP based memetic algorithm for finding minimum positive influence dominating sets in social networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 199-209.
    4. Fu, Liping & Rilett, L. R., 1998. "Expected shortest paths in dynamic and stochastic traffic networks," Transportation Research Part B: Methodological, Elsevier, vol. 32(7), pages 499-516, September.
    5. Shaghayegh Mokarami & S. Hashemi, 2015. "Constrained shortest path with uncertain transit times," Journal of Global Optimization, Springer, vol. 63(1), pages 149-163, September.
    6. Refael Hassin & Eitan Zemel, 1985. "On Shortest Paths in Graphs with Random Weights," Mathematics of Operations Research, INFORMS, vol. 10(4), pages 557-564, November.
    7. Sreehari, M., 2010. "On the equivalence of limit distributions of a sum and of a maximum sum of independent random variables," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 860-863, May.
    8. H. Frank, 1969. "Shortest Paths in Probabilistic Graphs," Operations Research, INFORMS, vol. 17(4), pages 583-599, August.
    9. Randolph W. Hall, 1986. "The Fastest Path through a Network with Random Time-Dependent Travel Times," Transportation Science, INFORMS, vol. 20(3), pages 182-188, August.
    10. F. Fernández & J. Puerto, 2012. "The minimum cost shortest-path tree game," Annals of Operations Research, Springer, vol. 199(1), pages 23-32, October.
    11. Harilaos N. Psaraftis & John N. Tsitsiklis, 1993. "Dynamic Shortest Paths in Acyclic Networks with Markovian Arc Costs," Operations Research, INFORMS, vol. 41(1), pages 91-101, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Levering, Nikki & Boon, Marko & Mandjes, Michel & Núñez-Queija, Rudesindo, 2022. "A framework for efficient dynamic routing under stochastically varying conditions," Transportation Research Part B: Methodological, Elsevier, vol. 160(C), pages 97-124.
    2. Barrett W. Thomas & Chelsea C. White, 2004. "Anticipatory Route Selection," Transportation Science, INFORMS, vol. 38(4), pages 473-487, November.
    3. Elise D. Miller-Hooks & Hani S. Mahmassani, 2000. "Least Expected Time Paths in Stochastic, Time-Varying Transportation Networks," Transportation Science, INFORMS, vol. 34(2), pages 198-215, May.
    4. Huang, He & Gao, Song, 2012. "Optimal paths in dynamic networks with dependent random link travel times," Transportation Research Part B: Methodological, Elsevier, vol. 46(5), pages 579-598.
    5. Azadian, Farshid & Murat, Alper E. & Chinnam, Ratna Babu, 2012. "Dynamic routing of time-sensitive air cargo using real-time information," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 48(1), pages 355-372.
    6. Taesung Hwang & Yanfeng Ouyang, 2015. "Urban Freight Truck Routing under Stochastic Congestion and Emission Considerations," Sustainability, MDPI, vol. 7(6), pages 1-16, May.
    7. Shahabi, Mehrdad & Unnikrishnan, Avinash & Boyles, Stephen D., 2013. "An outer approximation algorithm for the robust shortest path problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 58(C), pages 52-66.
    8. Yang, Lixing & Zhang, Yan & Li, Shukai & Gao, Yuan, 2016. "A two-stage stochastic optimization model for the transfer activity choice in metro networks," Transportation Research Part B: Methodological, Elsevier, vol. 83(C), pages 271-297.
    9. Thomas, Barrett W. & White III, Chelsea C., 2007. "The dynamic shortest path problem with anticipation," European Journal of Operational Research, Elsevier, vol. 176(2), pages 836-854, January.
    10. Azaron, Amir & Kianfar, Farhad, 2003. "Dynamic shortest path in stochastic dynamic networks: Ship routing problem," European Journal of Operational Research, Elsevier, vol. 144(1), pages 138-156, January.
    11. Axel Parmentier, 2019. "Algorithms for non-linear and stochastic resource constrained shortest path," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(2), pages 281-317, April.
    12. Wu, Xing & (Marco) Nie, Yu, 2011. "Modeling heterogeneous risk-taking behavior in route choice: A stochastic dominance approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 45(9), pages 896-915, November.
    13. Wu, Xing, 2015. "Study on mean-standard deviation shortest path problem in stochastic and time-dependent networks: A stochastic dominance based approach," Transportation Research Part B: Methodological, Elsevier, vol. 80(C), pages 275-290.
    14. Gao, Song & Chabini, Ismail, 2006. "Optimal routing policy problems in stochastic time-dependent networks," Transportation Research Part B: Methodological, Elsevier, vol. 40(2), pages 93-122, February.
    15. Nie, Yu (Marco) & Wu, Xing, 2009. "Shortest path problem considering on-time arrival probability," Transportation Research Part B: Methodological, Elsevier, vol. 43(6), pages 597-613, July.
    16. Liu, Zeyu & Li, Xueping & Khojandi, Anahita, 2022. "The flying sidekick traveling salesman problem with stochastic travel time: A reinforcement learning approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 164(C).
    17. Häme, Lauri & Hakula, Harri, 2013. "Dynamic journeying under uncertainty," European Journal of Operational Research, Elsevier, vol. 225(3), pages 455-471.
    18. Yang, Baiyu & Miller-Hooks, Elise, 2004. "Adaptive routing considering delays due to signal operations," Transportation Research Part B: Methodological, Elsevier, vol. 38(5), pages 385-413, June.
    19. Raymond K. Cheung & B. Muralidharan, 2000. "Dynamic Routing for Priority Shipments in LTL Service Networks," Transportation Science, INFORMS, vol. 34(1), pages 86-98, February.
    20. Miller-Hooks, Elise & Mahmassani, Hani, 2003. "Path comparisons for a priori and time-adaptive decisions in stochastic, time-varying networks," European Journal of Operational Research, Elsevier, vol. 146(1), pages 67-82, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:22:y:2020:i:1:d:10.1007_s11009-019-09703-x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.