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Sensitivity analysis for Markov reward structures until entrance times

  • N. M. van Dijk (a1) and H. Korezlioglu (a2)

Abstract

This work presents an estimate of the error on a cumulative reward function until the entrance time of a continuous-time Markov chain into a set, when the infinitesimal generator of this chain is perturbed. The derivation of an error bound constitutes the first part of the paper while the second part deals with an application where the time until saturation is considered for a circuit switched network which starts from an empty state and which is also subject to possible failures.

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Corresponding author

Postal address: Department of Econometrics, University of Amsterdam, Roeterstraat 11, 1018 WB, Amsterdam, The Netherlands
∗∗ Postal address: Ecole Nationale Supérieure des Télécommunications, 46 rue Barrault, 75634 Paris Cedex 13, France. Email address: korez@inf.enst.fr

References

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Sensitivity analysis for Markov reward structures until entrance times

  • N. M. van Dijk (a1) and H. Korezlioglu (a2)

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