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On the generalized reward generator for stochastic fluid models: a new equation for Ψ


Samuelson, A and O'Reilly, MM and Bean, NG, On the generalized reward generator for stochastic fluid models: a new equation for Ψ, Stochastic Models, 33, (4) pp. 495-523. ISSN 1532-6349 (2017) [Refereed Article]

Copyright Statement

Copyright 2017 Taylor & Francis

DOI: doi:10.1080/15326349.2017.1347883


We construct a generalized reward matrix Z(s) which is an extension of the fluid generator Q(s) of a stochastic fluid model (SFM). We consider the generators that are projections of Z(s) including the generator Q(s), and discuss the application of the resulting generators in different contexts.

One such projection, Z+(s), is used to define a matrix M, which records the expected number of crossings of level 0. We use the elements of M and its physical interpretation to derive an explicit equation for the matrix Ψ, which is a key building block to many other performance measures. Work on algorithmic techniques to efficiently compute M are in progress.

Item Details

Item Type:Refereed Article
Keywords:stochastic fluid models, generalized reward generator, Laplace-Stieltjes transforms, matrix-analytic methods
Research Division:Mathematical Sciences
Research Group:Statistics
Research Field:Stochastic analysis and modelling
Objective Division:Expanding Knowledge
Objective Group:Expanding knowledge
Objective Field:Expanding knowledge in the mathematical sciences
UTAS Author:Samuelson, A (Ms Aviva Samuelson)
UTAS Author:O'Reilly, MM (Associate Professor Malgorzata O'Reilly)
ID Code:120230
Year Published:2017
Funding Support:Australian Research Council (LP140100152)
Web of Science® Times Cited:4
Deposited By:Mathematics and Physics
Deposited On:2017-08-16
Last Modified:2018-04-27

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