A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane
Probability
2014-09-15 v1
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.
Cite
@article{arxiv.1409.3736,
title = {A Linear Programming Approach to Error Bounds for Random Walks in the Quarter-plane},
author = {Jasper Goseling and Richard J. Boucherie and Jan-Kees van Ommeren},
journal= {arXiv preprint arXiv:1409.3736},
year = {2014}
}