Computing stationary probability distributions and large deviation rates for constrained random walks. The undecidability results
Abstract
Our model is a constrained homogeneous random walk in a nonnegative orthant Z_+^d. The convergence to stationarity for such a random walk can often be checked by constructing a Lyapunov function. The same Lyapunov function can also be used for computing approximately the stationary distribution of this random walk, using methods developed by Meyn and Tweedie. In this paper we show that, for this type of random walks, computing the stationary probability exactly is an undecidable problem: no algorithm can exist to achieve this task. We then prove that computing large deviation rates for this model is also an undecidable problem. We extend these results to a certain type of queueing systems. The implication of these results is that no useful formulas for computing stationary probabilities and large deviations rates can exist in these systems.
Cite
@article{arxiv.math/0204268,
title = {Computing stationary probability distributions and large deviation rates for constrained random walks. The undecidability results},
author = {David Gamarnik},
journal= {arXiv preprint arXiv:math/0204268},
year = {2007}
}