homewk6 - IEOR 4106: Introduction to Operations Research:...

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IEOR 4106: Introduction to Operations Research: Stochastic Models Spring 2009, Professor Whitt Homework Assignment 6: Tuesday, March 3 Due on Tuesday, March 10. Chapter 6: Continuous-Time Markov Chains Read Sections 6.1-6.5 in Ross. Do the following exercises at the end of Chapter 6. You are asked to turn in the problems without answers in the back, but you should do all the problems. 2. (Answer in back) Remarks: The object here is to construct a continuous-time Markov chain (CTMC) model. There are two key steps: (1) defining the state space and (2) specifying the local transition structure. When we define the state space, we can define the CTMC stochastic process taking values in that state space. The state space is discrete, and so can be identified with a subset of the integers, but here it is better to use pairs of integers. The question in applications is: What are the states? The “local” transition structure of a CTMC can be defined in two ways. First, following Section 6.2 of Ross, we can specify the transition matrix
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homewk6 - IEOR 4106: Introduction to Operations Research:...

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