4,829 research outputs found
Matrix geometric approach for random walks: stability condition and equilibrium distribution
In this paper, we analyse a sub-class of two-dimensional homogeneous nearest
neighbour (simple) random walk restricted on the lattice using the matrix
geometric approach. In particular, we first present an alternative approach for
the calculation of the stability condition, extending the result of Neuts drift
conditions [30] and connecting it with the result of Fayolle et al. which is
based on Lyapunov functions [13]. Furthermore, we consider the sub-class of
random walks with equilibrium distributions given as series of product-forms
and, for this class of random walks, we calculate the eigenvalues and the
corresponding eigenvectors of the infinite matrix appearing in the
matrix geometric approach. This result is obtained by connecting and extending
three existing approaches available for such an analysis: the matrix geometric
approach, the compensation approach and the boundary value problem method. In
this paper, we also present the spectral properties of the infinite matrix
On the rate of convergence to stationarity of the M/M/N queue in the Halfin-Whitt regime
We prove several results about the rate of convergence to stationarity, that
is, the spectral gap, for the M/M/n queue in the Halfin-Whitt regime. We
identify the limiting rate of convergence to steady-state, and discover an
asymptotic phase transition that occurs w.r.t. this rate. In particular, we
demonstrate the existence of a constant s.t. when a certain
excess parameter , the error in the steady-state approximation
converges exponentially fast to zero at rate . For , the
error in the steady-state approximation converges exponentially fast to zero at
a different rate, which is the solution to an explicit equation given in terms
of special functions. This result may be interpreted as an asymptotic version
of a phase transition proven to occur for any fixed n by van Doorn [Stochastic
Monotonicity and Queueing Applications of Birth-death Processes (1981)
Springer]. We also prove explicit bounds on the distance to stationarity for
the M/M/n queue in the Halfin-Whitt regime, when . Our bounds scale
independently of in the Halfin-Whitt regime, and do not follow from the
weak-convergence theory.Comment: Published in at http://dx.doi.org/10.1214/12-AAP889 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Efficient state-space inference of periodic latent force models
Latent force models (LFM) are principled approaches to incorporating solutions to differen-tial equations within non-parametric inference methods. Unfortunately, the developmentand application of LFMs can be inhibited by their computational cost, especially whenclosed-form solutions for the LFM are unavailable, as is the case in many real world prob-lems where these latent forces exhibit periodic behaviour. Given this, we develop a newsparse representation of LFMs which considerably improves their computational efficiency,as well as broadening their applicability, in a principled way, to domains with periodic ornear periodic latent forces. Our approach uses a linear basis model to approximate onegenerative model for each periodic force. We assume that the latent forces are generatedfrom Gaussian process priors and develop a linear basis model which fully expresses thesepriors. We apply our approach to model the thermal dynamics of domestic buildings andshow that it is effective at predicting day-ahead temperatures within the homes. We alsoapply our approach within queueing theory in which quasi-periodic arrival rates are mod-elled as latent forces. In both cases, we demonstrate that our approach can be implemented efficiently using state-space methods which encode the linear dynamic systems via LFMs.Further, we show that state estimates obtained using periodic latent force models can re-duce the root mean squared error to 17% of that from non-periodic models and 27% of thenearest rival approach which is the resonator model (S ̈arkk ̈a et al., 2012; Hartikainen et al.,2012.
Efficient State-Space Inference of Periodic Latent Force Models
Latent force models (LFM) are principled approaches to incorporating
solutions to differential equations within non-parametric inference methods.
Unfortunately, the development and application of LFMs can be inhibited by
their computational cost, especially when closed-form solutions for the LFM are
unavailable, as is the case in many real world problems where these latent
forces exhibit periodic behaviour. Given this, we develop a new sparse
representation of LFMs which considerably improves their computational
efficiency, as well as broadening their applicability, in a principled way, to
domains with periodic or near periodic latent forces. Our approach uses a
linear basis model to approximate one generative model for each periodic force.
We assume that the latent forces are generated from Gaussian process priors and
develop a linear basis model which fully expresses these priors. We apply our
approach to model the thermal dynamics of domestic buildings and show that it
is effective at predicting day-ahead temperatures within the homes. We also
apply our approach within queueing theory in which quasi-periodic arrival rates
are modelled as latent forces. In both cases, we demonstrate that our approach
can be implemented efficiently using state-space methods which encode the
linear dynamic systems via LFMs. Further, we show that state estimates obtained
using periodic latent force models can reduce the root mean squared error to
17% of that from non-periodic models and 27% of the nearest rival approach
which is the resonator model.Comment: 61 pages, 13 figures, accepted for publication in JMLR. Updates from
earlier version occur throughout article in response to JMLR review
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