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

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IEOR 4106: Introduction to Operations Research: Stochastic Models Spring 2011, Professor Whitt Homework Assignment 6: Tuesday, March 1 Due on Tuesday, March 8. 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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This note was uploaded on 01/16/2012 for the course IEOR 4106 taught by Professor Whitward during the Spring '11 term at Columbia College.

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

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