...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Advances in applied probability >The Maclaurin series for performance functions of Markov chains
【24h】

The Maclaurin series for performance functions of Markov chains

机译：马尔可夫链性能函数的麦克劳林级数

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

We derive formulas for the first- and higher-order derivatives of the steady state performance measures for changes in transition matrices of irreducible and aperiodic Markov chains. Using these formulas, we obtain a Maclaurin series for the performance measures of such Markov chains. The convergence range of the Maclaurin series can be determined. We show that the derivatives and the coefficients of the Maclaurin series can be easily estimated by analysing a single sample path of the Markov chain. Algorithms for estimating these quantities are provided. Markov chains consisting of transient states and multiple chains are also studied. The results can be easily extended to Markov processes. The derivation of the results is closely related to some fundamental concepts, such as group inverse, potentials, and realization factors in perturbation analysis. Simulation results are provided to illustrate the accuracy of the single sample path based estimation. Possible applications to engineering problems are discussed. [References: 16]
机译：我们导出了稳态性能测度的一阶和高阶导数的公式，用于不可约和非周期性马尔可夫链的跃迁矩阵的变化。使用这些公式，我们获得了用于此类马尔可夫链性能度量的Maclaurin系列。可以确定Maclaurin系列的收敛范围。我们表明，可以通过分析马尔可夫链的单个样本路径轻松地估计麦克劳林级数的导数和系数。提供了用于估计这些数量的算法。还研究了由瞬态和多个链组成的马尔可夫链。结果可以很容易地扩展到马尔可夫过程。结果的推导与扰动分析中的一些基本概念（例如组逆，势和实现因素）密切相关。提供仿真结果以说明基于单个样本路径的估计的准确性。讨论了工程问题的可能应用。 [参考：16]

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号