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Study of level-dependent structured Markov chains and queues

Research Project

Project/Area Number 15K00034
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Mathematical informatics
Research InstitutionKyoto University

Principal Investigator

Masuyama Hiroyuki  京都大学, 情報学研究科, 准教授 (60378833)

Project Period (FY) 2015-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywordsマルコフ連鎖 / 待ち行列理論 / 漸近解析 / 切断近似 / 誤差評価 / 数値計算 / 構造化マルコフ連鎖 / 待ち行列 / レベル依存型
Outline of Final Research Achievements

We first studied the subexponentially asymptotic analysis of upper block Hessenberg Markov chains with asymptotic level independence. Next, we derived computable upper bounds for the last-column-block-augmented truncation approximation to the stationary distribution in block-monotone Markov chains. Associated with this result, we also studied the convergence speed of the last-column-block-augmented truncation approximation of M/G/1-type Markov chains. Then, for general level-dependent structured Markov chains, we presented computable upper bounds for the last-column-block-augmented truncation approximation to the stationary distribution and a limit formula for the normalized fundamental matrix of the northwest-corner truncation. In addition, we derived computable upper bounds for the quasi-birth-and-death approximation to the stationary distribution in a special two-dimensional reflecting random walk.

Report

(4 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (15 results)

All 2017 2016 Other

All Journal Article (6 results) (of which Peer Reviewed: 4 results,  Open Access: 1 results,  Acknowledgement Compliant: 2 results) Presentation (6 results) (of which Int'l Joint Research: 2 results,  Invited: 1 results) Remarks (3 results)

  • [Journal Article] ERROR BOUNDS FOR LAST-COLUMN-BLOCK-AUGMENTED TRUNCATIONS OF BLOCK-STRUCTURED MARKOV CHAINS2017

    • Author(s)
      Hiroyuki Masuyama
    • Journal Title

      Journal of the Operations Research Society of Japan

      Volume: 60 Issue: 3 Pages: 271-320

    • DOI

      10.15807/jorsj.60.271

    • NAID

      130005874248

    • ISSN
      0453-4514, 2188-8299
    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Light-tailed asymptotics of GI/G/1-type Markov chains2017

    • Author(s)
      Tatsuaki Kimura, Hiroyuki Masuyama, and Yutaka Takahashi
    • Journal Title

      Journal of Industrial and Management Optimization

      Volume: 13 Issue: 4 Pages: 2093-2146

    • DOI

      10.3934/jimo.2017033

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Continuous-time block-monotone Markov chains and their block-augmented truncations2017

    • Author(s)
      Hiroyuki Masuyama
    • Journal Title

      Linear Algebra and its Applications

      Volume: 514 Pages: 105-150

    • DOI

      10.1016/j.laa.2016.10.014

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Error bounds for augmented truncations of discrete-time block-monotone Markov chains under subgeometric drift conditions2016

    • Author(s)
      Hiroyuki Masuyama
    • Journal Title

      SIAM Journal on Matrix Analysis and Applications

      Volume: 37 Issue: 3 Pages: 877-910

    • DOI

      10.1137/15m1024743

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] 反射型マルコフ変調ランダムウォークに対するレベル増分切断の誤差評価2016

    • Author(s)
      境谷 秀作,増山 博之,高橋 豊
    • Journal Title

      待ち行列シンポジウム「確率モデルとその応用」報文集

      Volume: 2015年度版 Pages: 86-95

    • Related Report
      2015 Research-status Report
  • [Journal Article] 有限レベルM/G/1型マルコフ連鎖の劣幾何的収束性2016

    • Author(s)
      勝又 洋介,増山 博之,高橋 豊
    • Journal Title

      待ち行列シンポジウム「確率モデルとその応用」報文集

      Volume: 2015年度版 Pages: 96-103

    • Related Report
      2015 Research-status Report
  • [Presentation] Geometric convergence of finite-level M/G/1-type Markov chains2017

    • Author(s)
      勝又 洋介,増山 博之,高橋 豊
    • Organizer
      第33回待ち行列シンポジウム「確率モデルとその応用」
    • Place of Presentation
      東京理科大学 森戸記念館(東京都新宿区)
    • Year and Date
      2017-01-20
    • Related Report
      2016 Research-status Report
  • [Presentation] マルコフ連鎖ー安定性のトリニティをめぐってー2017

    • Author(s)
      増山 博之
    • Organizer
      日本オペレーションズ・リサーチ学会 2017年秋季研究発表会
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Geometric Convergence of Finite-Level M/G/1-Type Markov Chains2017

    • Author(s)
      Tatsuaki Kimura, Yosuke Katsumata and Hiroyuki Masuyama
    • Organizer
      The 12th International Conference on Queueing Theory and Network Applications (QTNA2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Error bound for the QBD approximation of a two dimensional reflecting random walk2017

    • Author(s)
      Masahiro Kobayashi, Hiroyuki Masuyama, Yutaka Sakuma and Atsushi Inoie
    • Organizer
      The 21th Conference of the International Federation of Operational Research Societies (IFORS 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 一般的な状態空間をもつマルコフ連鎖のPoisson 方程式の解に対する計算可能な上界とその応用2017

    • Author(s)
      増山 博之
    • Organizer
      日本オペレーションズ・リサーチ学会 待ち行列研究部会(第272回)
    • Related Report
      2017 Annual Research Report
  • [Presentation] ブロック構造化マルコフ連鎖の切断誤差評価と摂動解析2016

    • Author(s)
      増山 博之
    • Organizer
      日本オペレーションズ・リサーチ学会 不確実性環境下の意思決定モデリング研究部会
    • Place of Presentation
      常翔学園大阪センター(大阪府大阪市)
    • Year and Date
      2016-06-11
    • Related Report
      2016 Research-status Report
  • [Remarks] List of Publications (Refereed)

    • URL

      http://infosys.sys.i.kyoto-u.ac.jp/masuyama/publications.html

    • Related Report
      2017 Annual Research Report
  • [Remarks] Publications

    • URL

      http://infosys.sys.i.kyoto-u.ac.jp/~masuyama/publications.html

    • Related Report
      2016 Research-status Report
  • [Remarks] List of Publications (Refereed)

    • URL

      http://infosys.sys.i.kyoto-u.ac.jp/~masuyama/publications.html

    • Related Report
      2015 Research-status Report

URL: 

Published: 2015-04-16   Modified: 2019-03-29  

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