324,832 research outputs found
On Markov Chains with Uncertain Data
In this paper, a general method is described to determine uncertainty intervals for performance measures of Markov chains given an uncertainty region for the parameters of the Markov chains. We investigate the effects of uncertainties in the transition probabilities on the limiting distributions, on the state probabilities after n steps, on mean sojourn times in transient states, and on absorption probabilities for absorbing states. We show that the uncertainty effects can be calculated by solving linear programming problems in the case of interval uncertainty for the transition probabilities, and by second order cone optimization in the case of ellipsoidal uncertainty. Many examples are given, especially Markovian queueing examples, to illustrate the theory.Markov chain;Interval uncertainty;Ellipsoidal uncertainty;Linear Programming;Second Order Cone Optimization
Analytic crossing probabilities for certain barriers by Brownian motion
We calculate crossing probabilities and one-sided last exit time densities
for a class of moving barriers on an interval via Schwartz
distributions. We derive crossing probabilities and first hitting time
densities for another class of barriers on by proving a Schwartz
distribution version of the method of images. Analytic expressions for crossing
probabilities and related densities are given for new explicit and
semi-explicit barriers.Comment: Published in at http://dx.doi.org/10.1214/07-AAP488 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Multi-objective Robust Strategy Synthesis for Interval Markov Decision Processes
Interval Markov decision processes (IMDPs) generalise classical MDPs by
having interval-valued transition probabilities. They provide a powerful
modelling tool for probabilistic systems with an additional variation or
uncertainty that prevents the knowledge of the exact transition probabilities.
In this paper, we consider the problem of multi-objective robust strategy
synthesis for interval MDPs, where the aim is to find a robust strategy that
guarantees the satisfaction of multiple properties at the same time in face of
the transition probability uncertainty. We first show that this problem is
PSPACE-hard. Then, we provide a value iteration-based decision algorithm to
approximate the Pareto set of achievable points. We finally demonstrate the
practical effectiveness of our proposed approaches by applying them on several
case studies using a prototypical tool.Comment: This article is a full version of a paper accepted to the Conference
on Quantitative Evaluation of SysTems (QEST) 201
Reachability in Parametric Interval Markov Chains using Constraints
Parametric Interval Markov Chains (pIMCs) are a specification formalism that
extend Markov Chains (MCs) and Interval Markov Chains (IMCs) by taking into
account imprecision in the transition probability values: transitions in pIMCs
are labeled with parametric intervals of probabilities. In this work, we study
the difference between pIMCs and other Markov Chain abstractions models and
investigate the two usual semantics for IMCs: once-and-for-all and
at-every-step. In particular, we prove that both semantics agree on the
maximal/minimal reachability probabilities of a given IMC. We then investigate
solutions to several parameter synthesis problems in the context of pIMCs --
consistency, qualitative reachability and quantitative reachability -- that
rely on constraint encodings. Finally, we propose a prototype implementation of
our constraint encodings with promising results
Qualitative Reachability for Open Interval Markov Chains
Interval Markov chains extend classical Markov chains with the possibility to
describe transition probabilities using intervals, rather than exact values.
While the standard formulation of interval Markov chains features closed
intervals, previous work has considered also open interval Markov chains, in
which the intervals can also be open or half-open. In this paper we focus on
qualitative reachability problems for open interval Markov chains, which
consider whether the optimal (maximum or minimum) probability with which a
certain set of states can be reached is equal to 0 or 1. We present
polynomial-time algorithms for these problems for both of the standard
semantics of interval Markov chains. Our methods do not rely on the closure of
open intervals, in contrast to previous approaches for open interval Markov
chains, and can characterise situations in which probability 0 or 1 can be
attained not exactly but arbitrarily closely.Comment: Full version of a paper published at RP 201
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