Computational Markovian analysis of large systems

Purpose – Markov chains and queuing theory are widely used analysis, optimization and decision‐making tools in many areas of science and engineering. Real life systems could be modelled and analysed for their steady‐state and time‐dependent behaviour. Performance measures such as blocking probability of a system can be calculated by computing the probability distributions. A major hurdle in the applicability of these tools to complex large problems is the curse of dimensionality problem because models for even trivial real life systems comprise millions of states and hence require large computational resources. This paper describes the various computational dimensions in Markov chains modelling and briefly reports on the author's experiences and developed techniques to combat the curse of dimensionality problem.Design/methodology/approach – The paper formulates the Markovian modelling problem mathematically and shows, using case studies, that it poses both storage and computational time challenges when ap...

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