Deviation matrix and asymptotic variance for GI/M/1-type Markov chains

Abstract

We investigate deviation matrix for discrete-time GI/M/1-type Markov chains in terms of the matrix-analytic method, and revisit the link between deviation matrix and the asymptotic variance. Parallel results are obtained for continuous-time GI/M/1-type Markov chains based on the technique of uniformization. We conclude with A. B. Clarke’s tandem queue as an illustrative example, and compute the asymptotic variance for the queue length for this model.

Keywords

GI/M/1-type Markov chains / deviation matrix / asymptotic variance / matrix-analytic method

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2014 Higher Education Press and Springer-Verlag Berlin Heidelberg