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 paperPreprintAcademic

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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 languageEnglish
PublisherArXiv.org
DOIs
Publication statusPublished - 12 Sept 2014

Keywords

  • math.PR

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