Perturbation analysis in finite LD‐QBD processes and applications to epidemic models

In this paper, our interest is in the perturbation analysis of level‐dependent quasi‐birth‐and‐death (LD‐QBD) processes, which constitute a wide class of structured Markov chains. An LD‐QBD process has the special feature that its space of states can be structured by levels (groups of states), so that a tridiagonal‐by‐blocks structure is obtained for its infinitesimal generator. For these processes, a number of algorithmic procedures exist in the literature in order to compute several performance measures while exploiting the underlying matrix structure; among others, these measures are related to first‐passage times to a certain level L(0) and hitting probabilities at this level, the maximum level visited by the process before reaching states of level L(0), and the stationary distribution. For the case of a finite number of states, our aim here is to develop analogous algorithms to the ones analyzing these measures, for their perturbation analysis. This approach uses matrix calculus and exploits the specific structure of the infinitesimal generator, which allows us to obtain additional information during the perturbation analysis of the LD‐QBD process by dealing with specific matrices carrying probabilistic insights of the dynamics of the process. We illustrate the approach by means of applying multitype versions of the susceptible‐infective (SI) and susceptible‐infective‐susceptible (SIS) epidemic models to the spread of antibiotic‐sensitive and antibiotic‐resistant bacterial strains in a hospital ward.     

Geometric decay in level-expanding QBD models

Level-expanding quasi-birth-and-death (QBD) processes have been shown to be an efficient modeling tool for studying multi-dimensional systems, especially two-dimensional ones. Computationally, it changes the more challenging problem of dealing with algorithms for two-dimensional systems to a less challenging one for block-structured transition matrices of QBD type with varying finite block sizes. In this paper, we focus on tail asymptotics in the stationary distribution of a level-expanding QBD process. Specifically, we provide sufficient conditions for geometric tail asymptotics for the level-expanding QBD process, and then apply the result to an interesting two-dimensional system, an inventory queue model.     

有限拟生灭过程的显式矩阵解析解

本文首先给出了一个有限拟生灭（QBD）过程的显式矩阵解析解,且该解可用过程参数直接表示．其次讨论了该解法的渐近复杂性．另外,该解法易推广到广义拟生灭过程情形．     

Performance evaluation of a multi-echelon production,transportation and distribution system: A matrix analytical approach

This study proposes an originative method to evaluate complex supply chains. A tentative multi-echelon production, transportation and distribution system with stochastic factors built-in is employed as a test bed for the proposed method. The supply subsystem formulated in this study is a two-stage production facility with constant probability of feedback and stochastic breakdowns. The transportation subsystem is a service facility with one server. The distribution subsystem under study is a single central warehouse with M retailers. All the participants of the supply chain use base-stock policies and single-server settings. We investigated both the make-to-order (MTO) and make-to-stock (MTS) policies for different base-stock levels, as adopted at different sites. Applying quasi-birth-and-death (QBD) processes as decomposed building blocks and then using the existing matrix analytical computing approach for the performance evaluation of a tandem queue constitutes the main procedure of this study. We also discuss the possibilities of extending the current model to account for other inventory control policies as well as for multi-server case. Numerical study shows our proposed analytical model is robust for practical use.     

An auxiliary server threshold queueing model and its application to the operational characteristics of web server system

This paper analyzes an auxiliary server queueing model in which secondary servers are added to the main server(s) when the queue length exceeds some predetermined threshold value at the main queue. We model this system by the level-dependent quasi-birth-death (QBD) process and develop computation algorithms. We apply this model to the web-server system to explore some specific operational characteristics and draw some useful conclusions.     

带负顾客且具有Bernoulli反馈的Geom/Geom/1休假排队

研究带有反馈的具有正、负两类顾客的Geom/Geom/1离散时间休假排队模型.休假排队策略为单重休假,其中负顾客不接受服务,只起一对一抵消队首正在接受服务的顾客作用.完成服务的正顾客以概率σ(0≤σ≤1)等待下次服务,以概率σ离开系统.运用拟生灭过程和矩阵几何解方法得到队长的稳态分布的存在条件和表达式,进而求出系统队长稳态分布的随机分解.此外,我们利用了数值例子进一步反映参数对平均队长的影响.     

Asymptotic behavior of the stationary distribution in a finite QBD process with zero mean drift

We consider a finite QBD process with m levels. Assuming that the mean drift is 0, we obtain an asymptotic behavior as m→∞ in the stationary distribution , by finding an explicit expression for vector c. This solves the problem that was conjectured by Miyazawa et al. [Asymptotic behaviors of the loss probability for a finite buffer queue with QBD structure, 23 (2007) 79-95].     

对一类等待空间有限的抢占优先权排队的分析

讨论M/M/1抢占优先权排队模型, 且假设低优先权顾客的等待空间有限. 该模型可以用有限位相拟生灭过程来描述. 由矩阵解析方法, 对该拟生灭过程进行了分析, 并得到排队模型平稳队长的计算公式, 最后还用数值 结果说明了方法的有效性.     

随机环境下M/M/c重试丢弃的ATM网络排队性能分析

在ATM网络中顾客的到达率和服务率都随着环境的变化而变化.本文考虑的是具有随机环境的多服务台排队模型,在随机状态为i(1≤i≤m)时,到达时间间隔和服务时间分布分别是服从参数为λ_i和μ_1的指数分布,系统具有有限缓冲位置和无限位置的重试轨道,重试失败的顾客以一定概率被系统丢弃而永远离开系统.运用拟生灭过程方法,我们求得了稳态条件及在稳态下各个环境上各项条件排队指标及平均排队指标,通过数值模拟说明了高峰期到达率和其它参数对系统状态及忙期循环的影响.     

相依修理的可修排队系统 MAP/PH(M/PH)/2

系统地研究了两个不同并行服务台的可修排队系统MAP/PH(M/PH)/2,其中两个不同的服务台拥有一个修理工.若其中一台处于修理状态,则另一台失效后就处于待修状态.利用拟生灭过程理论,我们首先讨论了两个服务台的广义服务时间的相依性,然后给出了系统的稳态可用度和稳态故障度,最后得到了系统首次失效前的时间分布及其均值.     

Sojourn time distributions in the queue defined by a general QBD process

We consider a general QBD process as defining a FIFO queue and obtain the stationary distribution of the sojourn time of a customer in that queue as a matrix exponential distribution, which is identical to a phase-type distribution under a certain condition. Since QBD processes include many queueing models where the arrival and service process are dependent, these results form a substantial generalization of analogous results reported in the literature for queues such as the PH/PH/c queue. We also discuss asymptotic properties of the sojourn time distribution through its matrix exponential form.     

Block-Structured Fluid Queues Driven by QBD Processes

Abstract

In this paper, a unified approach for studying block-structured fluid models is proposed by means of the RG-factorization. When the stochastic environment (or background) is assumed to be a quasi-birth-and death (QBD) process, with either infinitely many levels or finitely many levels, the Laplace transform for the stationary probability distribution of the buffer content is expressed in terms of the R-measure. At the same time, the Laplace-Stieltjes transforms for both the conditional distribution and the conditional mean of a first passage time in such a fluid queue are derived by the same approach.     

带有负顾客且具有Bernoulli反馈的M/M/1工作休假排队

本文研究带反馈的具有正、负两类顾客的M/M/1工作休假排队模型.工作休假策略为空竭服务多重工作休假.负顾客一对一抵消队尾的正顾客(若有),若系统中无正顾客时,到达的负顾客自动消失,负顾客不接受服务.完成服务的正顾客以概率p(0相似文献   

A risk model with paying dividends and random environment

We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is affected by the current state of the underlying Markov process. We provide explicit expressions for the ruin probability and the deficit distribution at ruin by extracting a QBD (quasi-birth-and-death) structure in the model and then analyzing the QBD process. Numerical examples are also given.     

Truncation and augmentation of level-independent QBD processes

In the study of quasi-birth-and-death (QBD) processes, the first passage probabilities from states in level one to the boundary level zero are of fundamental importance. These probabilities are organized into a matrix, usually denoted by G.The matrix G is the minimal nonnegative solution of a matrix quadratic equation. If the QBD process is recurrent, then G is stochastic. Otherwise, G is sub-stochastic and the matrix equation has a second solution G_sto, which is stochastic. In this paper, we give a physical interpretation of G_sto in terms of sequences of truncated and augmented QBD processes.As part of the proof of our main result, we derive expressions for the first passage probabilities that a QBD process will hit level k before level zero and vice versa, which are of interest in their own right.The paper concludes with a discussion of the stability of a recursion naturally associated with the matrix equation which defines G and G_sto. In particular, we show that G is a stable equilibrium point of the recursion while G_sto is an unstable equilibrium point if it is different from G.     

Markovian analysis for automatic new topic identification in search engine transaction logs

Topic analysis of search engine user queries is an important task, since successful exploitation of the topic of queries can result in the design of new information retrieval algorithms for more efficient search engines. Identification of topic changes within a user search session is a key issue in analysis of search engine user queries. This study presents an application of Markov chains in the area of search engine research to automatically identify topic changes in a user session by using statistical characteristics of queries, such as time intervals, query reformulation patterns and the continuation/shift status of the previous query. The findings show that Markov chains provide fairly successful results for automatic new topic identification with a high level of estimation for topic continuations and shifts. Copyright © 2009 John Wiley & Sons, Ltd.     

On the representation of finite multiple Markov chains by weighted circuits

In this paper circuit chains of superior order are defined as multiple Markov chains for which transition probabilities are expressed in terms of the weights of a finite class of circuits in a finite set, in connection with kinetic properties along the circuits. Conversely, it is proved that if we join any finite doubly infinite strictly stationary Markov chain of order r for which transitions hold cyclically with a second chain with the same transitions for the inverse time-sense, then they may be represented as circuit chains of order r.     

Asymptotics for the sojourn time distribution in the queue defined by a general QBD process with a countable phase space

We consider a FIFO queue defined by a QBD process. When the number of phases of the QBD process is finite, it has been proved that the stationary distribution of sojourn times in that queue can be represented as a phase-type distribution. In this paper, we extend this result to the case where the number of phases of the QBD process is countably many and obtain several kinds of asymptotic formula for the steady-state tail probability of sojourn times in the queue when the tail probability decays in exact exponential form.     

状态可数的马氏环境中马氏链函数的强大数定律

讨论了马氏双链与随机环境中马氏链的关系．在此基础上，研究了具有离散参量的马氏环境中马氏链函数的强大数定律，并且给出了直接加于链和过程样本函数上的充分条件．