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research article

A Computational Framework For Two-Dimensional Random Walks With Restarts

Bini, Dario A.
•
Massei, Stefano  
•
Meini, Beatrice
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January 1, 2020
Siam Journal On Scientific Computing

The treatment of two-dimensional random walks in the quarter plane leads to Markov processes which involve semi-infinite matrices having Toeplitz or block Toeplitz structure plus a low-rank correction. We propose an extension of the framework introduced in [D. A. Bini, S. Massei, and B. Meini, Math. Comp., 87 (2018), pp. 2811-2830] which allows us to deal with more general situations such as processes involving restart events. This is motivated by the need for modeling processes that can incur in unexpected failures like computer system reboots. We present a theoretical analysis of an enriched Banach algebra that, combined with appropriate algorithms, enables the numerical treatment of these problems. The results are applied to the solution of bidimensional quasi-birth-death processes with infinitely many phases which model random walks in the quarter plane, relying on the matrix analytic approach. The reliability of our approach is confirmed by extensive numerical experimentation on several case studies.

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Type
research article
DOI
10.1137/19M1304362
Web of Science ID

WOS:000568184400008

Author(s)
Bini, Dario A.
Massei, Stefano  
Meini, Beatrice
Robol, Leonardo
Date Issued

2020-01-01

Publisher

SIAM PUBLICATIONS

Published in
Siam Journal On Scientific Computing
Volume

42

Issue

4

Start page

A2108

End page

A2133

Subjects

Mathematics, Applied

•

Mathematics

•

random walk

•

toeplitz matrix

•

markov chains

•

queueing models

•

quadratic matrix equations

•

hitting times

•

qbd processes

•

tail

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANCHP  
Available on Infoscience
September 26, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/171944
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