A successive censoring algorithm for a system of connected LDQBD-processes

Niek Baer; Ahmad Al Hanbali; Richard J. Boucherie; Jan Kees van Ommeren

doi:10.1007/s10479-020-03903-2

A successive censoring algorithm for a system of connected LDQBD-processes

Niek Baer, Ahmad Al Hanbali^*, Richard J. Boucherie, Jan Kees van Ommeren

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

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Abstract

We consider a Markov Chain in which the state space is partitioned into sets where both transitions within sets and between sets have a special structure. Transitions within each set constitute a finite level dependent quasi-birth-and-death-process (LDQBD), and transitions between sets are restricted to six types of transitions. These latter types are needed to preserve the sets structure in the reduction step of our algorithm. Specifically, we present a successive censoring algorithm, based on matrix analytic methods, to obtain the stationary distribution of this system of connected LDQBD-processes.

Original language	English
Pages (from-to)	389–410
Number of pages	22
Journal	Annals of operations research
Volume	310
Early online date	1 Jan 2021
DOIs	https://doi.org/10.1007/s10479-020-03903-2
Publication status	Published - Mar 2022

Keywords

2022 OA procedure
Exact aggregation/disaggregation
Matrix analytic methods
Steady state analysis
Successive censoring algorithm
Connected level dependent QBD-processes

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10.1007/s10479-020-03903-2

ArticleFinal published version, 484 KBLicence: Taverne

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title = "A successive censoring algorithm for a system of connected LDQBD-processes",

abstract = "We consider a Markov Chain in which the state space is partitioned into sets where both transitions within sets and between sets have a special structure. Transitions within each set constitute a finite level dependent quasi-birth-and-death-process (LDQBD), and transitions between sets are restricted to six types of transitions. These latter types are needed to preserve the sets structure in the reduction step of our algorithm. Specifically, we present a successive censoring algorithm, based on matrix analytic methods, to obtain the stationary distribution of this system of connected LDQBD-processes.",

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AU - Baer, Niek

AU - Al Hanbali, Ahmad

AU - Boucherie, Richard J.

AU - van Ommeren, Jan Kees

PY - 2022/3

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N2 - We consider a Markov Chain in which the state space is partitioned into sets where both transitions within sets and between sets have a special structure. Transitions within each set constitute a finite level dependent quasi-birth-and-death-process (LDQBD), and transitions between sets are restricted to six types of transitions. These latter types are needed to preserve the sets structure in the reduction step of our algorithm. Specifically, we present a successive censoring algorithm, based on matrix analytic methods, to obtain the stationary distribution of this system of connected LDQBD-processes.

AB - We consider a Markov Chain in which the state space is partitioned into sets where both transitions within sets and between sets have a special structure. Transitions within each set constitute a finite level dependent quasi-birth-and-death-process (LDQBD), and transitions between sets are restricted to six types of transitions. These latter types are needed to preserve the sets structure in the reduction step of our algorithm. Specifically, we present a successive censoring algorithm, based on matrix analytic methods, to obtain the stationary distribution of this system of connected LDQBD-processes.

KW - 2022 OA procedure

KW - Exact aggregation/disaggregation

KW - Matrix analytic methods

KW - Steady state analysis

KW - Successive censoring algorithm

KW - Connected level dependent QBD-processes

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DO - 10.1007/s10479-020-03903-2

M3 - Article

AN - SCOPUS:85098490804

SN - 0254-5330

VL - 310

SP - 389

EP - 410

JO - Annals of operations research

JF - Annals of operations research

ER -

A successive censoring algorithm for a system of connected LDQBD-processes

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