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Perturbation theory for Markov reward processes with applications to queueing systems
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- Journal:
- Advances in Applied Probability / Volume 20 / Issue 1 / March 1988
- Published online by Cambridge University Press:
- 01 July 2016, pp. 79-98
- Print publication:
- March 1988
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- Article
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We study the effect of perturbations in the data of a discrete-time Markov reward process on the finite-horizon total expected reward, the infinite-horizon expected discounted and average reward and the total expected reward up to a first-passage time. Bounds for the absolute errors of these reward functions are obtained. The results are illustrated for a finite as well as infinite queueing systems (M/M/1/S and
). Extensions to Markov decision processes and other settings are discussed.
). Extensions to Markov decision processes and other settings are discussed.