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EXPLICIT SOLUTIONS FOR CONTINUOUS-TIME QBD PROCESSES BY USING RELATIONS BETWEEN MATRIX GEOMETRIC ANALYSIS AND THE PROBABILITY GENERATING FUNCTIONS METHOD

  • Gabi Hanukov (a1) and Uri Yechiali (a2)

Abstract

Two main methods are used to solve continuous-time quasi birth-and-death processes: matrix geometric (MG) and probability generating functions (PGFs). MG requires a numerical solution (via successive substitutions) of a matrix quadratic equation A0 + RA1 + R2A2 = 0. PGFs involve a row vector $\vec{G}(z)$ of unknown generating functions satisfying $H(z)\vec{G}{(z)^\textrm{T}} = \vec{b}{(z)^\textrm{T}},$ where the row vector $\vec{b}(z)$ contains unknown “boundary” probabilities calculated as functions of roots of the matrix H(z). We show that: (a) H(z) and $\vec{b}(z)$ can be explicitly expressed in terms of the triple A0, A1, and A2; (b) when each matrix of the triple is lower (or upper) triangular, then (i) R can be explicitly expressed in terms of roots of $\det [H(z)]$ ; and (ii) the stability condition is readily extracted.

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EXPLICIT SOLUTIONS FOR CONTINUOUS-TIME QBD PROCESSES BY USING RELATIONS BETWEEN MATRIX GEOMETRIC ANALYSIS AND THE PROBABILITY GENERATING FUNCTIONS METHOD

  • Gabi Hanukov (a1) and Uri Yechiali (a2)

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