Detecting Markov Chain Instability: A Monte Carlo Approach

Mandjes, Michel; Patch, Brendan; Walton, Neil

doi:10.1287/stsy.2017.0003

Cited by 8 publications

(4 citation statements)

References 28 publications

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“…To estimate optimal weights, we use an experimental design and heuristic adjustments as a calibration (finding the optimal weights for the model) following some principles discussed on Mandies et al [9].…”

Section: Resultsmentioning

confidence: 99%

Robust Simulation Method of Complex Technical Transport Systems

Szpytko

Duarte

2021

Transport Problems

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In the optimization of technical systems focused on a specific functional purpose (reliability, safety, and availability) with the use of simulation methods, an important parameter is the digital simulation time of the research subject. With the complexity of the issue, the digital simulation time increases. The aim of the article is to present a method (combination of parallel computing and variance reduction techniques) of reducing the computer simulation time of the research technical object. An example of the application of the developed method was presented as a result of an experiment conducted for decision making and control processes aimed at optimizing the process of operating overhead cranes in critical conditions. In this paper, selecting parallel batch jobs computation and stratified sampling, we exponentially decreased the simulation time, finding fast and practical solutions and eliminating the time constraint in the search of solutions.

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Section: Resultsmentioning

confidence: 99%

Robust Simulation Method of Complex Technical Transport Systems

Szpytko

Duarte

2021

Transport Problems

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“…[60], [61], [52], [34], [59], [99], [57], [84], [91] Queue Inference Engine Problems: This paradigm deals with a branch of problems where transactional observations are recorded and the trajectory of the queue within a given cycle is inferred.…”

Section: (F)mentioning

confidence: 99%

“…A different line of research that we would like to highlight here is the detection of stability or instability of queueing systems. To date not much work has been done towards this direction but one notable publication is [91] where the authors deal with Monte Carlo simulation of systems for detecting stability or instability.…”

Section: Inference With Queueing Fundamentalsmentioning

confidence: 99%

A Survey of Parameter and State Estimation in Queues

Asanjarani¹,

Nazarathy²,

Taylor³

2020

Preprint

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We present a broad literature survey of parameter and state estimation for queueing systems. Our approach is based on various inference activities, queueing models, observations schemes, and statistical methods. We categorize these into branches of research that we call estimation paradigms. These include: the classical sampling approach, inverse problems, inference for noninteracting systems, inference with discrete sampling, inference with queueing fundamentals, queue inference engine problems, Bayesian approaches, online prediction, implicit models, and control, design, and uncertainty quantification. For each of these estimation paradigms, we outline the principles and ideas, while surveying key references. We also present various simple numerical experiments. In addition to some key references mentioned here, a periodically-updated comprehensive list of references dealing with parameter and state estimation of queues will be kept in an accompanying annotated bibliography.

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“…The main contribution of this chapter (published as [74]) concerned the development of an automated procedure that determines if, for a specified set of parameter values, a given Markov chain is unstable.…”

Section: Discussionmentioning

confidence: 99%

Modelling complex stochastic systems: approaches to management and stability

Patch¹

Self Cite

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This thesis is about coping with variability in outcomes for complex stochastic systems. We focus on systems where jobs arrive randomly throughout time to utilise resources for a random amount of time before departure. The systems we investigate are primarily concerned with the communication and storage of data. The thesis is partitioned into two parts. The first part studies systems where Publications included in this thesis Journal articles (peer-reviewed)

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Detecting Markov Chain Instability: A Monte Carlo Approach

Cited by 8 publications

References 28 publications

Robust Simulation Method of Complex Technical Transport Systems

Robust Simulation Method of Complex Technical Transport Systems

A Survey of Parameter and State Estimation in Queues

Modelling complex stochastic systems: approaches to management and stability

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