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that Theorem 441 remains valid with the same matrix A(z) For the particular case of the unloader problem, we nd that (449) reduces to the polynomial equation ( + z) ( z2 + ( + + )z) + z = 0 Special case of linear birth-death rates Suppose that the transition rates s , s , s and s have the special form s = b1 (m s) + c1 s, s = b 1 (m s) + c 1 s (4410)
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s = a0 (m s) and s = d0 s
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for constants a0 , b1 , b 1 , c1 , c 1 and d0 Then the numerical problem of computing the roots of det A(z) = 0 can be circumvented The decay factor in (442) is then the unique solution of the equation B(x) + C(x) x[A(1) + B(1) + C(1) + D(1)] + on the interval (0,1), where A(x) = a0 x, B(x) = b1 + b 1 x 2 , C(x) = c1 + c 1 x 2 , D(x) = d0 x, F (x) = [A(1) + B(1) C(1) D(1)]x + C(x) B(x) In a more general context this result has been proved in Adan and Resing (1999) It also follows from this reference that Assumption 421 holds when d0 (b 1 b1 ) + a0 (c 1 c1 ) > 0 The condition (4410) is satis ed for several interesting queueing models For example, take a queueing model with m traf c sources which act independently of each other Each traf c source is alternately on and off, where the ontimes and off-times have exponential distributions with respective means 1/ and 1/ The successive on- and off-times are assumed to be independent of each other During on-periods a source generates service requests according to a Poisson process with rate There is a single server to handle the service requests and the server can handle only one request at a time The service times of the requests are independent random variables that have a common exponential distribution with mean 1/ This queueing problem can be modelled as a continuous-time Markov chain whose state space is given by (441) with i denoting the number of service requests in the system and s denoting the number of sources that are on This Markov chain has the property (4410) with s = s, s = , s = (m s) and s = s F (x)2 + 4A(x)D(x) = 0
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In many practical situations one is not interested in the long-run behaviour of a stochastic system but in its transient behaviour A typical example concerns airport runway operations The demand pro le for runway operations shows considerable
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variation over time with peaks at certain hours of the day Equilibrium models are of no use in this kind of situation The computation of transient solutions for Markov systems is a very important issue that arises in numerous problems in queueing, inventory and reliability In this section we discuss two basic methods for the computation of the transient state probabilities of a continuous-time Markov chain The next section deals with the computation of the transient distribution of the cumulative reward in a continuous-time Markov chain with a reward structure The transient probabilities of a continuous-time Markov chain {X(t), t 0} are de ned by pij (t) = P {X(t) = j | X(0) = i}, i, j I and t > 0 In Section 451 we discuss the method of linear differential equations The probabilistic method of uniformization will be discussed in Section 452 In Section 453 we show that the computation of rst passage time probabilities can be reduced to the computation of transient state probabilities by introducing an absorbing state 451 The Method of Linear Differential Equations This basic approach has a solid backing by tools from numerical analysis We rst prove the following theorem Theorem 451 (Kolmogoroff s forward differential equations) Suppose that the continuous-time Markov chain {X(t), t 0} satis es Assumption 412 Then for any i I , pij (t) =
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