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State space expansions and the limiting behavior of quasi-birth-and-death processes

Published online by Cambridge University Press:  01 July 2016

Steven L. Beuerman  and
Edward J. Coyle
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Abstract

The notion of complete level crossing information, or LCI-completeness, is introduced for quasi-birth-death (QBD) processes. It is shown that state space expansions allow any QBD-process to be modified so that it is LCI-complete.

For any LCI-complete, QBD-process, there exists a matrix W such that , where is the vector of limiting probabilities for all states on level n of the process. When W cannot be found in closed form, it can be found via an algorithm requiring fewer than m steps, where m is the number of states on each level of the process. The result of this algorithm is always a linear matrix equation for which W is the solution.

In essentially all cases considered in this paper, the matrix W is a solution of the matrix quadratic

X2A2 + XA1 + A0 = 0.

Despite this fact, W is never equal to Neuts' rate matrix R , although the non-zero eigenvalues and the corresponding left eigenvectors of R are a subset of the eigenvalues and left eigenvectors of W . This fact leads to two methods for determining R from W .

If the transition rates of the QBD-process are level-dependent, then it is also shown that matrices W(n) exist such that .

Keywords

RATE MATRIXMATRIX-GEOMETRIC SOLUTIONCOMPLETE LEVEL CROSSING INFORMATIONLCI-COMPLETENESS

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 21 , Issue 2 , June 1989 , pp. 284 - 314
Copyright
Copyright © Applied Probability Trust 1989 

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Footnotes

This research was supported by a grant from AT&T, by Purdue's Engineering Research Center for Intelligent Manufacturing Systems, and by a David Ross Fellowship.

References

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