Contents: Transition Functions and Resolvents.- Existence and Uniqueness of Q-Functions.- Examples of Continuous Time Markov Chains.- More on the Uniqueness Problem.- Classification of States and Invariant Measures.- Strong and Exponential Ergodicity.- Reversibility, Monotonictity, and Other Properties.- Birth and Death Processes.- Population Processes.- Bibliography.- Symbol Index.- Author Index.- Subject Index.

Book Reviews - Continuous Time Markov Chains: An Applications-Oriented Approach

In this paper, we study a birth/immigration-death processes under mild (binomial) catastrophes. We obtain explicit expressions for both the time-dependent (transient) and the limiting (equilibrium) factorial moments, which are then used to construct the transient and equilibrium distribution of the population size. We demonstrate that our approach is also applicable to multidimensional systems such as stochastic processes operating under a random environment and other variations of the model at hand. We also obtain various stochastic order results for the number of individuals with respect to the system parameters, as well as the relaxation time.

/pdf/linear-birth-immigration-death-process-with-binomial-11w7e5qiqt.pdf

Linear birth/immigration-death process with binomial catastrophes

In this study, we propose a single server retrial queueing system with balking, second optional service and single vacation. At the arrival epoch, if the server is busy, the arriving job join the orbit or balks the system whereas if the server is free, then the arriving job starts its service immediately. For each job, the server provides two phases of service. All the jobs demand the first essential service, whereas only some of the jobs demand for the second optional service. If the system is empty, then the server becomes inactive and begins a single vacation. If server comes back from the vacation, it does not go for another vacation even if the system is still empty at that time. The steady state distributions of the server state and the number of jobs in the orbit are obtained along with other performance measures. The effects of various parameters on the system performance are analyzed numerically. A general decomposition law for this retrial queueing system is established.

Retrial queueing system with balking, optional service and vacation

This paper provides a comparison of the successive lumping (SL) methodology developed in Katehakis et al. (2015) with the popular lattice path counting (Mohanty (1979)) in obtaining rate matrices for queueing models, satisfying the specific quasi birth and death structure as in Van Leeuwaarden et al. (2009) and Van Leeuwaarden and Winands (2006). The two methodologies are compared both in terms of applicability requirements and numerical complexity by analyzing their performance for the same classical queueing models considered in Van Leeuwaarden et al. (2009). The main findings are threefold. First, when both methods are applicable, the SL-based algorithms outperform the lattice path counting algorithm (LPCA). Second, there are important classes of problems (for example, models with (level) nonhomogenous rates or with finite state spaces) for which the SL methodology is applicable and for which the LPCA cannot be used. Third, another main advantage of SL algorithms over lattice path counting is that the former includes a method to compute the steady state distribution using this rate matrix.

https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0021900215000121

A comparative analysis of the successive lumping and the lattice path counting algorithms

This paper presents a simple procedure to evaluate the actual waiting-time distributions for the first- and an arbitrary-customer of an arrival batch in the D-BMAP/G / 1 queueing system. The analysis is based on the remaining service time as the supplementary variable and the roots of the associated characteristic equation of the vector-generating function of the actual waiting-time distribution. Numerical aspects have been tested for a variety of service-time distribution and a sample of numerical outputs is presented.

Waiting-time analysis of D-$${ BMAP}{/}G{/}1$$ queueing system

A class of Markov chains we call successively lumbaple is specified for which it is shown that the stationary probabilities can be obtained by successively computing the stationary probabilities of a propitiously constructed sequence of Markov chains. Each of the latter chains has a(typically much) smaller state space and this yields significant computational improvements. We discuss how the results for discrete time Markov chains extend to semi-Markov processes and continuous time Markov processes. Finally, we will study applications of successively lumbaple Markov chains to classical reliability and queueing models.

A successive lumping procedure for a class of markov chains

In this paper we provide a novel inversion method and algorithms for nearly tridiagonal matrices arising in the analysis of Markov processes. The method provides a fast and exact computation procedure of the inverse of the matrix that contains the coefficients of a rate matrix of the Markov processes. If the matrix is of countable size, the method provides an exact solution, independent of the truncation size. In contrast, alternative inverse techniques perform much slower and work only for finite size matrices. This leads to more efficient methods to compute the solution to a countable (finite or infinite) set of equations that occurs in queueing systems and in related fields including Markov processes, birth-and-death processes and inventory systems. Furthermore, we provide a procedure to construct the eigenvalues and eigenvectors of an arbitrary matrix, using those of an easier to analyze matrix. We apply and specialize this procedure to the matrix arising in the corresponding Markov rate matrices under consideration.

Laurens c. Smit

Papers

A successive lumping procedure for a class of markov chains

Inversion and spectral analysis of matrices arising in the analysis of Markov processes