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The superposition of Markovian arrival processes: moments and the minimal Laplace transform
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Publication Year
2024-04-01
Publisher
Springer
Citation
Annals of Operations Research, Vol.335, pp.237-259
Keyword
Cayley–Hamilton theoremFaddeev–LeVerrier algorithmLaplace transformMarkovian arrival processesSuperposition of MAPs
All Science Classification Codes (ASJC)
Decision Sciences (all)Management Science and Operations Research
Abstract
The superposition of two independent Markovian arrival processes (MAPs) is also a Markovian arrival process of which the Markovian representation is given as the Kronecker sum of the transition rate matrices of the component processes. The moments of stationary intervals of the superposition can be obtained by differentiating the Laplace transform (LT) given in terms of the transition rate matrices. In this paper, we propose a streamlined procedure to determine the minimal LT of the merged process in terms of the minimal LT coefficients of the component processes. Combined with the closed-form transformation between moments and LT coefficients, our result enables us to determine the moments of the superposed process based on the moments of the component processes. The main contribution is that the whole procedure can be implemented without explicit Markovian representations. In order to transform the minimal LT coefficients of the component processes into the minimal LT representation of the merged process, we also introduce another minimal representation. A numerical example is provided to illustrate the procedure.
Language
eng
URI
https://dspace.ajou.ac.kr/dev/handle/2018.oak/33963
DOI
https://doi.org/10.1007/s10479-024-05851-7
Fulltext

Type
Article
Funding
This work was supported by the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2017S1A5A2A01023654) and by the Ajou University research fund.
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Kim, Sunkyo Image
Kim, Sunkyo김선교
Department of Business Administration
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