IDEAS home Printed from https://ideas.repec.org/a/spr/queues/v92y2019i1d10.1007_s11134-019-09599-x.html
   My bibliography  Save this article

A sequential update algorithm for computing the stationary distribution vector in upper block-Hessenberg Markov chains

Author

Listed:
  • Hiroyuki Masuyama

    (Kyoto University)

Abstract

This paper proposes a new algorithm for computing the stationary distribution vector in continuous-time upper block-Hessenberg Markov chains. To this end, we consider the last-block-column-linearly-augmented (LBCL-augmented) truncation of the (infinitesimal) generator of the upper block-Hessenberg Markov chain. The LBCL-augmented truncation is a linearly augmented truncation such that the augmentation distribution has its probability mass only on the last block column. We first derive an upper bound for the total variation distance between the respective stationary distribution vectors of the original generator and its LBCL-augmented truncation. Based on the upper bound, we then establish a series of linear fractional programming (LFP) problems to obtain augmentation distribution vectors such that the bound converges to zero. Using the optimal solutions of the LFP problems, we construct a matrix-infinite-product (MIP) form of the original (i.e., not approximate) stationary distribution vector and develop a sequential update algorithm for computing the MIP form. Finally, we demonstrate the applicability of our algorithm to BMAP/M/ $$\infty $$ ∞ queues and M/M/s retrial queues.

Suggested Citation

  • Hiroyuki Masuyama, 2019. "A sequential update algorithm for computing the stationary distribution vector in upper block-Hessenberg Markov chains," Queueing Systems: Theory and Applications, Springer, vol. 92(1), pages 173-200, June.
    • Handle: RePEc:spr:queues:v:92:y:2019:i:1:d:10.1007_s11134-019-09599-x
    DOI: 10.1007/s11134-019-09599-x
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11134-019-09599-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/s11134-019-09599-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. Tetsuya Takine, 2016. "Analysis and computation of the stationary distribution in a special class of Markov chains of level-dependent M/G/1-type and its application to BMAP/M/ $$\infty $$ ∞ and BMAP/M/c+M queues," Queueing Systems: Theory and Applications, Springer, vol. 84(1), pages 49-77, October.
    2. Yang Woo Shin, 2009. "Fundamental Matrix Of Transient Qbd Generator With Finite States And Level Dependent Transitions," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 26(05), pages 697-714.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hiroyuki Masuyama, 2022. "Subexponential asymptotics of asymptotically block-Toeplitz and upper block-Hessenberg Markov chains," Queueing Systems: Theory and Applications, Springer, vol. 102(1), pages 175-217, October.
    2. Alexander Dudin & Olga Dudina & Sergei Dudin & Konstantin Samouylov, 2021. "Analysis of Multi-Server Queue with Self-Sustained Servers," Mathematics, MDPI, vol. 9(17), pages 1-18, September.

    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. Niek Baer & Ahmad Al Hanbali & Richard J. Boucherie & Jan-Kees van Ommeren, 2022. "A successive censoring algorithm for a system of connected LDQBD-processes," Annals of Operations Research, Springer, vol. 310(2), pages 389-410, March.
    2. Tetsuya Takine, 2022. "On level-dependent QBD processes with explosive state space," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 353-355, April.
    3. Alexander Dudin & Olga Dudina & Sergei Dudin & Konstantin Samouylov, 2021. "Analysis of Multi-Server Queue with Self-Sustained Servers," Mathematics, MDPI, vol. 9(17), pages 1-18, September.
    4. Ramírez-Cobo, Pepa, 2017. "Findings about the two-state BMMPP for modeling point processes in reliability and queueing systems," DES - Working Papers. Statistics and Econometrics. WS 24622, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Antonio Gómez-Corral & Martín López-García & Maria Jesus Lopez-Herrero & Diana Taipe, 2020. "On First-Passage Times and Sojourn Times in Finite QBD Processes and Their Applications in Epidemics," Mathematics, MDPI, vol. 8(10), pages 1-25, October.
    6. Shin, Yang Woo, 2015. "Algorithmic approach to Markovian multi-server retrial queues with vacations," Applied Mathematics and Computation, Elsevier, vol. 250(C), pages 287-297.
    7. Hiroyuki Masuyama, 2022. "Subexponential asymptotics of asymptotically block-Toeplitz and upper block-Hessenberg Markov chains," Queueing Systems: Theory and Applications, Springer, vol. 102(1), pages 175-217, October.
    8. Yang Woo Shin & Dug Hee Moon, 2014. "M/M/c Retrial Queue with Multiclass of Customers," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 931-949, December.

    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:queues:v:92:y:2019:i:1:d:10.1007_s11134-019-09599-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.