Title :
Analysis of Markov chains using simulation graph models
Author_Institution :
INSEAD, Fontainebleau, France
Abstract :
The construction of simulation graph models of Markov chains is demonstrated. This approach enables one to evaluate the chain either numerically through simulation or analytically through path analysis. The user can either directly simulate the associated stochastic process and obtain estimates of the desired measures of performance, or analyze the directed paths in the simulation graph model and analytically compute the probabilities of possible realizations. This method can be used in conjunction with simulation to address such problems as rare event estimation, initialization bias, and determination of initial conditions
Keywords :
Markov processes; digital simulation; graph theory; Markov chains; initialization bias; path analysis; rare event estimation; simulation graph models; stochastic process; Analytical models; Computational modeling; Delay effects; Discrete event simulation; Discrete event systems; Numerical simulation; Performance analysis; Processor scheduling; Stochastic processes;
Conference_Titel :
Simulation Conference, 1990. Proceedings., Winter
Conference_Location :
New Orleans, LA
Print_ISBN :
0-911801-72-3
DOI :
10.1109/WSC.1990.129561
