Analytical perturbations in Markov chains

Analytical perturbations in Markov chains

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Article ID: iaor1993653
Country: Netherlands
Volume: 51
Issue: 2
Start Page Number: 210
End Page Number: 222
Publication Date: Mar 1991
Journal: European Journal of Operational Research
Authors: ,
Keywords: production
Abstract:

The problem of recomputing the steady-state probabilities in a Markov chain is considered, after a small deviation is introduced to the original infinitesimal generator. Approximate expressions are developed to calculate the corresponding perturbed vector of probabilities. Computational stability and accuracy issues associated with the approximation are discussed. As an application, the perturbation approach is incorporated into an optimization scheme to identify workloads that maximize the output rate in a production line, where qualitative and quantitative measures are introduced to control the accuracy of the perturbation.

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