A computational algorithm for the CPP/M/c retrial queue.
A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods.
A Markov regime-switching marked point process for short-rate analysis with credit risk.
A method for knowledge integration
With the aid of Markov Chain Monte Carlo methods we can sample even from complex multi-dimensional distributions which cannot be exactly calculated. Thus, an application to the problem of knowledge integration (e. g. in expert systems) is straightforward.
A quadratically convergent Bernoulli-like algorithm for solving matrix polynomial equations in Markov chains.
Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains
This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the embedded Markov...
An expectation maximization algorithm to model failure times by continuous-time Markov chains.
Asymptotic behaviour of a BIPF algorithm with an improper target
The BIPF algorithm is a Markovian algorithm with the purpose of simulating certain probability distributions supported by contingency tables belonging to hierarchical log-linear models. The updating steps of the algorithm depend only on the required expected marginal tables over the maximal terms of the hierarchical model. Usually these tables are marginals of a positive joint table, in which case it is well known that the algorithm is a blocking Gibbs Sampler. But the algorithm makes sense even...