Censoring Markov chains and stochastic bounds

Authors:
J. M. Fourneau;N. Pekergin;S. Younès
Affiliations:
INRIA Project MESCAL, Montbonnot, France and PRiSM, University Versailles-Saint-Quentin, France;PRiSM, University Versailles-Saint-Quentin, France and Marin Mersenne Laboratory, University Paris, France and LACL, Créteil, France;PRiSM, University Versailles-Saint-Quentin, France
Venue:
EPEW'07 Proceedings of the 4th European performance engineering conference on Formal methods and stochastic models for performance evaluation
Year:
2007

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Abstract

We show how to combine censoring technique for Markov chain and strong stochastic comparison to obtain bounds on rewards and the first passage time. We present the main ideas of the method, the algorithms and their proofs. We obtain a substantial reduction of the state space due to the censoring technique. We also present some numerical results to illustrate the effectiveness of the method.