Two-time-scale Markov chains and applications to quasi-birth-death queues

doi:10.1137/S003613990139756X

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	Two-time-scale Markov chains and applications to quasi-birth-death queues
	Yin, G ; Zhang, HQ
	2005
发表期刊	SIAM JOURNAL ON APPLIED MATHEMATICS
ISSN	0036-1399
卷号	65 期号:2 页码:567-586
摘要	Aiming at reduction of complexity, this work is concerned with two-time-scale Markov chains and applications to quasi-birth-death queues. Asymptotic expansions of probability vectors are constructed and justified. Lumping all states of the Markov chain in each subspace into a single state, an aggregated process is shown to converge to a continuous-time Markov chain whose generator is an average with respect to the stationary measures. Then a suitably scaled sequence is shown to converge to a switching diffusion process. Extensions of the results are presented together with examples of quasi-birth-death queues.
关键词	Markov chain singular perturbation countable state space asymptotic expansion occupation measure aggregation switching diffusion quasi-birth-death queue
DOI	10.1137/S003613990139756X
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000227544900009
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1247
专题	应用数学研究所
通讯作者	Yin, G
作者单位	1.Wayne State Univ, Dept Math, Detroit, MI 48202 USA 2.Acad Sinica, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Yin, G,Zhang, HQ. Two-time-scale Markov chains and applications to quasi-birth-death queues[J]. SIAM JOURNAL ON APPLIED MATHEMATICS,2005,65(2):567-586.
APA	Yin, G,&Zhang, HQ.(2005).Two-time-scale Markov chains and applications to quasi-birth-death queues.SIAM JOURNAL ON APPLIED MATHEMATICS,65(2),567-586.
MLA	Yin, G,et al."Two-time-scale Markov chains and applications to quasi-birth-death queues".SIAM JOURNAL ON APPLIED MATHEMATICS 65.2(2005):567-586.