Sensitivity Analysis and Performance Optimization of a Class of Continuous Time Markov Chains
Dai Gui-ping · 2004
Based on the potentials of continuous time Markov chains(CTMC) ,the sensitivity formulas and optimality equation of the chains,with can be used to design the online optimization algorithms,are presented under the discounted cost criteria by using the discounted Poisson equation.Moreover,the relationship of sensitivity formulas ,as well as that of the optimality equations,under the discounted cost criteria and the average cost criteria and the average cost criteria is established by using the vanishing discounted factor.