Computing stationary expectations in level-dependent QBD processes

Abstract

Stationary expectations corresponding to long-run averages of additive functionals on level-dependent quasi-birth-and-death processes are considered. Special cases include long-run average costs or rewards, moments and cumulants of steady-state queueing network performance measures, and many others. We provide a matrix-analytic scheme for numerically computing such stationary expectations without explicitly computing the stationary distribution of the process, which yields an algorithm that is as quick as its counterparts for stationary distributions but requires far less computer storage. Specific problems arising in the case of infinite state spaces are discussed and the application of the algorithm is demonstrated by a queueing network example. © Applied Probability Trust 2013.