A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane

Jasper Goseling; Richard J. Boucherie; Jan-Kees van Ommeren

doi:10.48550/arXiv.1409.3736

A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane

Jasper Goseling, Richard J. Boucherie, Jan-Kees van Ommeren

Research output: Working paper › Preprint › Academic

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Abstract

We consider the approximation of the performance of random walks in the quarter-plane. The approximation is in terms of a random walk with a product-form stationary distribution, which is obtained by perturbing the transition probabilities along the boundaries of the state space. A Markov reward approach is used to bound the approximation error. The main contribution of the work is the formulation of a linear program that provides the approximation error.

Original language	English
Publisher	ArXiv.org
DOIs	https://doi.org/10.48550/arXiv.1409.3736
Publication status	Published - 12 Sept 2014

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math.PR

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10.48550/arXiv.1409.3736

1409.3736v1Final published version, 345 KB

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A linear programming approach to error bounds for random walks in the quarter-plane
Goseling, J., Boucherie, R. J. & van Ommeren, J.-K., 2016, In: Kybernetika. 52, 5, p. 757-784 28 p.
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Linear programming error bounds for random walks in the quarter-plane
Goseling, J., Boucherie, R. J. & van Ommeren, J. C. W., Sept 2012, Enschede: University of Twente. 13 p. (Memorandum; no. 1988)
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A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane

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A linear programming approach to error bounds for random walks in the quarter-plane

Linear programming error bounds for random walks in the quarter-plane

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