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Perturbation theory for Markov reward processes with applications to queueing systems

Published online by Cambridge University Press:  01 July 2016

Nico M. Van Dijk and
Martin L. Puterman
Nico M. Van Dijk*
Affiliation:
Free University, Amsterdam
Martin L. Puterman*
Affiliation:
University of British Columbia
*
∗Postal address: Faculty of Economical Sciences and Econometrics, Free University, P.O-Box 7161, 1007 MC Amsterdam, The Netherlands.
∗∗Postal address: Faculty of Commerce and Business Administration, The University of British Columbia, 2053 Main Mall, Vancouver, B.C. Canada V6T 1Y8.
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Abstract

We study the effect of perturbations in the data of a discrete-time Markov reward process on the finite-horizon total expected reward, the infinite-horizon expected discounted and average reward and the total expected reward up to a first-passage time. Bounds for the absolute errors of these reward functions are obtained. The results are illustrated for a finite as well as infinite queueing systems (M/M/1/S and ). Extensions to Markov decision processes and other settings are discussed.

Keywords

PERTURBATIONSREWARD FUNCTIONSMEAN FIRST-PASSAGE TIMESM/M/1/S QUEUESMARKOV DECISION PROCESSES

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 20 , Issue 1 , March 1988, pp. 79 - 98
Copyright
Copyright © Applied Probability Trust 1988 

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Footnotes

This research was supported in part by the National Sciences and Engineering Research Council of Canada Grant A-5527.

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