Sub-stochastic matrix analysis for bounds computation-Theoretical results
Moreaux, Patrice; Haddad, Serge (2007), Sub-stochastic matrix analysis for bounds computation-Theoretical results, European Journal of Operational Research, 176, 2, p. 999-1015. http://dx.doi.org/10.1016/j.ejor.2005.08.016
TypeArticle accepté pour publication ou publié
Journal nameEuropean Journal of Operational Research
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Abstract (EN)Performance evaluation of complex systems is a critical issue and bounds computation provides confidence about service quality, reliability, etc. of such systems. The stochastic ordering theory has generated a lot of works on bounds computation. Maximal lower and minimal upper bounds of a Markov chain by a st-monotone one exist and can be efficiently computed. In the present work, we extend simultaneously this last result in two directions. On the one hand, we handle the case of a maximal monotone lower bound of a family of Markov chains where the coefficients are given by numerical intervals. On the other hand, these chains are sub-chains associated to sub-stochastic matrices. We prove the existence of this maximal bound and we provide polynomial time algorithms to compute it both for discrete and continuous Markov chains. Moreover, it appears that the bounding sub-chain of a family of strictly sub-stochastic ones is not necessarily strictly sub-stochastic. We establish a characterization of the families of sub-chains for which these bounds are strictly sub-stochastic. Finally, we show how to apply these results to a classical model of repairable system. A forthcoming paper will present detailed numerical results and comparison with other methods.
Subjects / KeywordsSub-Markov chain; Strong stochastic ordering; Stochastic process; Stochastic bound; Markov process
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