An algorithm for computing the stationary distribution of a discrete-time birth-and-death process with banded infinitesimal generator
Loading...
Authors
Borges, Carlos F.
Peters, Craig Steven
Subjects
Advisors
Date of Issue
1995-04-08
Date
Publisher
Monterey, CA; Naval Postgraduate School
Language
Abstract
We develop an algorithm for computing approximations to the stationary distribution of a discrete- time birth-and-death process provided that the infinitesimal generator is a banded matrix. We begin by computing stationary distributions for processes whose infinitesimal generators are Hessenburg. Our derivation in this special case is different than the classical one but leads to the same result. We then show how to extend these ideas to get approximations when the infinitesimal generator is banded (or half-banded).
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS-MA-95-003
Sponsors
Funder
Format
14 p. : ill. ; 28 cm.