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Markov Processes on a Semi-Infinite Strip and the Geometric Tail Algorithm

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Abstract

Many queuing processes have a semi-infinite strip in the two-dimensional plane as state space. As an alternative to well-established algorithms for the computation of steady-state probabilities, such as the matrix-geometric method and the spectral method, this article discusses a simple and easy-to-implement algorithm which is based on the geometric tail behavior of the steady-state probabilities. Some numerical comparisons between this algorithm and the spectral method are presented.

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Authors and Affiliations

  1. Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, De Boelelaan 1105, NL-1081 HV, Amsterdam, The Netherlands

    H.C. Tijms

  2. Department of Spatial Economics, Vrije Universiteit Amsterdam and Tinbergen Institute, De Boelelaan 1105, NL-1081 HV, Amsterdam, The Netherlands

    D.J. van Vuuren

Authors
  1. H.C. Tijms
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  2. D.J. van Vuuren
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Tijms, H., van Vuuren, D. Markov Processes on a Semi-Infinite Strip and the Geometric Tail Algorithm. Annals of Operations Research 113, 133–140 (2002). https://doi.org/10.1023/A:1020909928743

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