SEMINAR

DEPARTMENT OF COMPUTER ENGINEERING

ABSTRACT

ANALYSIS OF LARGE MARKOV CHAINS USING STOCHASTIC AUTOMATA NETWORKS

Ph.D. thesis by Oleg Gusak

Advisor: Assoc.Prof. Tušrul Dayar

July 12, 2001

This work extends the near complete decomposability concept of Markov chains to SANs so that the inherent difficulty associated with solving the underlying MC can be forecasted and solution techniques based on this concept can be investigated. A straightforward approach to finding a nearly completely decomposable (NCD) partitioning of the MC underlying a SAN requires the computation of the nonzero elements of its global generator. This is not feasible for very large systems even in sparse matrix representation due to memory and execution time constraints. An efficient decompositional solution algorithm to this problem that is based on analyzing the NCD structure of each component of a given SAN is introduced. Numerical results show that the given algorithm performs much better than the straightforward approach.

In this work, easy to check lumpability conditions for the generator of a SAN are also specified. When there exists a lumpable partitioning induced by the tensor representation of the generator, it is shown that an efficient iterative aggregation-disaggregation algorithm (IAD) may be employed to compute the steady state distribution of the MC underlying the SAN model. The results of experiments with continuous-time and discrete-time SAN models show that the proposed algorithm performs better than the highly competitive block Gauss-Seidel (BGS) in terms of both the number of iterations and the time to converge

to the solution. The performance of the IAD algorithm on continuous-time SANs having relatively large blocks in lumpable partitionings is also investigated.

The Seminar will be on July 12, 2001

at 10:00 in EA-409