Ramaswami's duality and probabilistic algorithms for determining the rate matrix for a structured GI/M/1 Markov chain

• Autores: E. Hunt
• Localización: Anziam journal: The Australian & New Zealand industrial and applied mahtematics journal, ISSN 1446-1811, Vol. 46, Nº 4, 2005, págs. 485-494
• Idioma: inglés
• DOI: 10.1017/s1446181100009639
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• Resumen

  • We show that Algorithm H* for the determination of the rate matrix of a block-GI / M / 1 Markov chain is related by duality to Algorithm H for the determination of the fundamental matrix of a block-M / G / 1 Markov chain. Duality is used to generate some efficient algorithms for finding the rate matrix in a quasi-birth-and-death process.