第一次过渡分析产生的截断马尔可夫链线性系统的后验误差边界

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-03-12 DOI:10.1016/j.orl.2024.107106

Alex Infanger , Peter W. Glynn

{"title":"第一次过渡分析产生的截断马尔可夫链线性系统的后验误差边界","authors":"Alex Infanger , Peter W. Glynn","doi":"10.1016/j.orl.2024.107106","DOIUrl":null,"url":null,"abstract":"<div><p>Many Markov chain expectations and probabilities can be computed as solutions to systems of linear equations, by applying “first transition analysis” (FTA). When the state space is infinite or very large, these linear systems become too large for exact computation. In such settings, one must truncate the FTA linear system. This paper is the first to discuss such FTA truncation issues, and to provide computable a posteriori error bounds.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A posteriori error bounds for truncated Markov chain linear systems arising from first transition analysis\",\"authors\":\"Alex Infanger , Peter W. Glynn\",\"doi\":\"10.1016/j.orl.2024.107106\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Many Markov chain expectations and probabilities can be computed as solutions to systems of linear equations, by applying “first transition analysis” (FTA). When the state space is infinite or very large, these linear systems become too large for exact computation. In such settings, one must truncate the FTA linear system. This paper is the first to discuss such FTA truncation issues, and to provide computable a posteriori error bounds.</p></div>\",\"PeriodicalId\":54682,\"journal\":{\"name\":\"Operations Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-03-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Operations Research Letters\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0167637724000427\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Letters","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167637724000427","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}

引用次数: 0

摘要

许多马尔科夫链的期望值和概率都可以通过应用 "第一次转换分析"（FTA），作为线性方程组的解来计算。当状态空间无限大或非常大时，这些线性系统就会变得太大，无法进行精确计算。在这种情况下，我们必须截断 FTA 线性系统。本文首次讨论了这种 FTA 截断问题，并提供了可计算的后验误差边界。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A posteriori error bounds for truncated Markov chain linear systems arising from first transition analysis

Many Markov chain expectations and probabilities can be computed as solutions to systems of linear equations, by applying “first transition analysis” (FTA). When the state space is infinite or very large, these linear systems become too large for exact computation. In such settings, one must truncate the FTA linear system. This paper is the first to discuss such FTA truncation issues, and to provide computable a posteriori error bounds.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.