Non-stationary Markov Processes: Approximations and Numerical Methods
- 3:30PM at LWSN 1142
- Prof. Peter W. Glynn, Stanford University
- Non-stationary Markov Processes: Approximations and Numerical Methods
- Jie Shen
In many Markov modeling contexts, the system under consideration exhibits strong time-of-day effects, day-of-week effects, or seasonality effects. In fact, most real-world systems that are modeled as Markov processes exhibit such non-stationarities. Nevertheless, the great majority of the academic literature focuses on modeling and theory for Markov processes with stationary transition probabilities, which describe systems that have no such time-of-day effects. In this talk, we will briefly describe three different methodologies for handling non-stationary Markov models. The first approach involves analytical approximations, anchored on traditional stationary analysis, that are available when the transition probabilities are slowly changing over the time horizon in question. The second class of methods relates to the use of stable numerical solvers for the Kolmogorov differential equations that exploit the stochastic structure that is present in these models. Finally, the third methodology involves use of Monte Carlo simulation to study such non-stationary processes. In this setting, we will discuss the question of how to initialize such simulations, and the role of backwards coupling in this context. This work is joint with Harsha Honnappa, Alex Infanger, Mohammad Mousavi, and Zeyu Zheng.