Bounded truncation error for long-run averages in infinite Markov chains.
Hendrik BaumannWerner SandmannPublished in: J. Appl. Probab. (2015)
Keyphrases
- markov chain
- long run
- short run
- steady state
- finite state
- stochastic process
- transition probabilities
- infinite horizon
- optimal policy
- state space
- random walk
- monte carlo simulation
- markov processes
- average reward
- expected cost
- markov process
- monte carlo
- markov model
- heavy traffic
- stationary distribution
- probabilistic automata
- queueing networks
- average cost
- transition matrix
- asymptotically optimal
- sufficient conditions
- exchange rate
- sample path