Two-time-scale Markov chains and applications to quasi-birth-death queues | |
Yin, G; Zhang, HQ | |
刊名 | SIAM JOURNAL ON APPLIED MATHEMATICS
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2005 | |
卷号 | 65期号:2页码:567-586 |
关键词 | Markov chain singular perturbation countable state space asymptotic expansion occupation measure aggregation switching diffusion quasi-birth-death queue |
ISSN号 | 0036-1399 |
DOI | 10.1137/S003613990139756X |
英文摘要 | 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. |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | SIAM PUBLICATIONS |
WOS记录号 | WOS:000227544900009 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1246] ![]() |
专题 | 中国科学院数学与系统科学研究院 |
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. |
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