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| Content Provider | ACM Digital Library |
|---|---|
| Author | Fort, G. Meyn, S. Priouret, P. Moulines, E. |
| Abstract | Fluid limit techniques have become a central tool to analyze queueing networks over the last decade, with applications to performance analysis, simulation, and optimization.In this paper some of these techniques are extended to a general class of skip-free Markov chains. As in the case of queueing models, a fluid approximation is obtained by scaling time, space, and the initial condition by a large constant. The resulting fluid limit is the solution of an ODE in "most" of the state space. Stability and finer ergodic properties for the stochastic model then follow from stability of the set of fluid limits. Moreover, similar to the queueing context where fluid models are routinely used to design control policies, the structure of the limiting ODE in this general setting provides an understanding of the dynamics of the Markov chain. These results are illustrated through application to Markov Chain Monte Carlo. |
| File Format | |
| ISBN | 1595935045 |
| DOI | 10.1145/1190095.1190149 |
| Language | English |
| Publisher | Association for Computing Machinery (ACM) |
| Publisher Date | 2006-10-11 |
| Publisher Place | New York |
| Access Restriction | Subscribed |
| Subject Keyword | Fluid limit stability Fluid limits for general state-space markov chains Metropolis-hastings algorithm Markov chain monte-carlo |
| Content Type | Text |
| Resource Type | Article |
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