Linear programming error bounds for random walks in the quarter-plane
Jasper Goseling, Richard J. Boucherie, Jan-Kees C. W. van Ommeren · University of Twente Research Information · 2012
We consider approximation of the performance of random walks in the quarter-plane. The approximation is in terms of a random walk with a product-form stationary distribution, which is obtained by perturbing the transition probabilities along the boundaries of the state space. A Markov reward approach is used to bound the approximation error. The main contribution of the work is the formulation of a linear program that provides the approximation error. 1