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Approximations for the moments of nonstationary and state dependent birth–death queues
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- Engblom, Stefan (author)
- Uppsala universitet,Avdelningen för beräkningsvetenskap,Tillämpad beräkningsvetenskap
- Pender, Jamol (author)
- (creator_code:org_t)
- 2014
- 2014
- English.
- In: Computing Research Repository. ; :1406.6164
- Journal article (peer-reviewed)
Abstract
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- In this paper we propose a new method for approximating the nonstationary moment dynamics of one dimensional Markovian birth-death processes. By expanding the transition probabilities of the Markov process in terms of Poisson-Charlier polynomials, we are able to estimate any moment of the Markov process even though the system of moment equations may not be closed. Using new weighted discrete Sobolev spaces, we derive explicit error bounds of the transition probabilities and new weak a priori estimates for approximating the moments of the Markov processs using a truncated form of the expansion. Using our error bounds and estimates, we are able to show that our approximations converge to the true stochastic process as we add more terms to the expansion and give explicit bounds on the truncation error. As a result, we are the first paper in the queueing literature to provide error bounds and estimates on the performance of a moment closure approximation. Lastly, we perform several numerical experiments for some important models in the queueing theory literature and show that our expansion techniques are accurate at estimating the moment dynamics of these Markov process with only a few terms of the expansion.
Subject headings
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
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- ref (subject category)
- art (subject category)
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