Transient and First Passage Time Distributions of First- and Second-order Multi-regime Markov Fluid Queues via ME-fication
| Autor: | Gábor Horváth, Nail Akar, Omer Gursoy, Miklós Telek |
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| Přispěvatelé: | Akar, Nail, Gürsoy, Ömer, Gursoy, Omer |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Markov chain General Mathematics Numerical analysis Erlang distribution Time horizon First passage time distribution Transient distribution Cardinality Applied mathematics Transient (computer programming) Matrix exponential First-hitting-time model Matrix exponential distributions Multi-regime Markov fluid queues Mathematics |
| Zdroj: | Methodology and Computing in Applied Probability |
| ISSN: | 1573-7713 1387-5841 |
| DOI: | 10.1007/s11009-020-09812-y |
| Popis: | We propose a numerical method to obtain the transient and first passage time distributions of first- and second-order Multi-Regime Markov Fluid Queues (MRMFQ). The method relies on the observation that these transient measures can be computed via the stationary analysis of an auxiliary MRMFQ. This auxiliary MRMFQ is constructed from the original one, using sample path arguments, and has a larger cardinality stemming from the need to keep track of time. The conventional method to approximately model the deterministic time horizon is Erlangization. As an alternative, we propose the so-called ME-fication technique, in which a Concentrated Matrix Exponential (CME) distribution replaces the Erlang distribution for approximating deterministic time horizons. ME-fication results in much lower state-space dimensionalities for the auxiliary MRMFQ than would be with Erlangization. Numerical results are presented to validate the effectiveness of ME-fication along with the proposed numerical method. |
| Databáze: | OpenAIRE |
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