2 citations · 3 across the 6 of their papers we have counts for
6 papers
A New Truncation Algorithm for Markov Chain Equilibrium Distributions with Computable Error Bounds
Alex Infanger, Peter W. Glynn
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large fin…
A Short Proof of a Convex Representation for Stationary Distributions of Markov Chains with an Application to State Space Truncation
Zeyu Zheng, Alex Infanger, Peter W. Glynn
In an influential paper, Courtois and Semal (1984) establish that when is an irreducible substochastic matrix for which , then the stationary di…
On Convergence of a Truncation Scheme for Approximating Stationary Distributions of Continuous State Space Markov Chains and Processes
Alex Infanger, Peter W. Glynn
In the analysis of Markov chains and processes, it is sometimes convenient to replace an unbounded state space with a "truncated" bounded state space. When such a replacement is ma…
On Convergence of General Truncation-Augmentation Schemes for Approximating Stationary Distributions of Markov Chains
Alex Infanger, Peter W. Glynn, Yuanyuan Liu
In the analysis of Markov chains and processes, it is sometimes convenient to replace an unbounded state space with a "truncated" bounded state space. When such a replacement is ma…
Solutions of Poisson's Equation for Stochastically Monotone Markov Chains
Peter W. Glynn, Alex Infanger
Stochastically monotone Markov chains arise in many applied domains, especially in the setting of queues and storage systems. Poisson's equation is a key tool for analyzing additiv…
Solving Poisson's Equation: Existence, Uniqueness, Martingale Structure, and CLT
Peter W. Glynn, Alex Infanger
The solution of Poisson's equation plays a key role in constructing the martingale through which sums of Markov correlated random variables can be analyzed. In this paper, we study…