Invariant measures and error bounds for random walks in the quarter-plane based on sums of geometric terms

Abstract

We consider homogeneous random walks in the quarter-plane. The necessary conditions which characterize random walks of which the invariant measure is a sum of geometric terms are provided in [2,3]. Based on these results, we first develop an algorithm to check whether the invariant measure of a given random walk is a sum of geometric terms. We also provide the explicit form of the invariant measure if it is a sum of geometric terms. Secondly, for random walks of which the invariant measure is not a sum of geometric terms, we provide an approximation scheme to obtain error bounds for the performance measures. Finally, some numerical examples are provided.