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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
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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.

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Jasper Goseling, Richard J. Boucherie, Jan-Kees van Ommeren. 2014-09-12. A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane. https://arxiv.org/abs/1409.3736

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