Abstract
Computing the steady-state distribution in Markov chains for general distributions and general state space is a computationally challenging problem. In this paper, we consider the steady-state stochastic model \(\boldsymbol {W}\stackrel{d}{=}g(\boldsymbol {W},\boldsymbol {X})\) where the equality is in distribution. Given partial distributional information on the random variables X, we want to estimate information on the distribution of the steady-state vector W. Such models naturally occur in queueing systems, where the goal is to find bounds on moments of the waiting time under moment information on the service and interarrival times. In this paper, we propose an approach based on semidefinite optimization to find such bounds. We show that the classical Kingman’s and Daley’s bounds for the expected waiting time in a GI/GI/1 queue are special cases of the proposed approach. We also report computational results in the queueing context that indicate the method is promising.
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Research of D. Bertsimas supported in part by Singapore-MIT Alliance.
Research of K. Natarajan is supported in part by NUS Academic Research Grant R146-050-070-133 and Singapore-MIT Alliance.
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Bertsimas, D., Natarajan, K. A semidefinite optimization approach to the steady-state analysis of queueing systems. Queueing Syst 56, 27–39 (2007). https://doi.org/10.1007/s11134-007-9028-7
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DOI: https://doi.org/10.1007/s11134-007-9028-7