Journal of Applied Mathematics and Stochastic Analysis, 12:4 (1999), 435-436.

INTRODUCTION TO MATRIX ANALYTIC METHODS

IN STOCHASTIC MODELING
by G. Latouchc and V. Ramaswamy

A BOOK REVIEW

VIDYADHAR G. KULKARNI
Department of Operations Research
University of North Carolina at Chapel Hill
CB 3180, Chapel Hill, NC 27599 USA

(Received August, 1999; Revised October, 1999)

Discrete and continuous-time Markov chains are the most common classes of stochas-
tic processes used in modeling randomly evolving systems. A lot is known about the
theoretical and computational aspects of these processes, see Kulkarni [1] and the
bibliography therein. When the states of the Markov chains can be thought of as a
pair (level, phase), we get the phase-type Markov chains. The main examples are:
the quasi birth and death (QBD), or M/G/1 type or G/M/1 type, tree type proces-
ses, etc. For processes with this type of structure, the computational aspects become
especially tractable, see Neuts [2] and [3]. The study of the properties, theoretical as
well as algorithmic, of such processes is called the matrix analytic method. This can
be thought of as the combination of matrix-geometric distribution and phase-type
processes. This book is devoted to the study of the matrix analytic method. Al-
though the book deals with general matrix analytic methods, there is more emphasis
on QBD processes. The main feature of the book is the constant emphasis on proba-
bilistic arguments, rather than matrix algebraic ones. Thus several iterative algo-
rithms are developed by thinking of nth iteration as a transient analysis of a suitable
process over the first n steps.
The book is divided into five sections. Section I contains a collection of several
examples to which the general theory developed later can be applied. Section II
discusses the method of phases: the phase type distributions (both discrete and
continuous), and their properties; the renewal and point processes built by using the
phase-type distributions. Section Ill is devoted to the well-known "matrix-geometric
distribution." This material is discussed first with the standard birth and death
processes and then extended to the QBDs. It is helpful in getting the reader thinking
in the language of "levels" and "phases" within the levels. Section IV is the heart of
the book: the algorithms. It discusses several numerical algorithms for the
computation of the steady-state of the QBDs. The algorithms are well documented,

Printed in the U.S.A. ()1999 by North Atlantic Science Publishing Company 435
436 VIDYADHAR G. KULKARNI

and their computational complexity clearly specified. I particularly liked the chapter
on spectral analysis and the discussion on the implication of the caudal characteristic
and the traffic intensity. Section V has a few short chapters describing how the
earlier material can be extended to more general processes.
The book is well written and should become an additional useful resource book for
researchers in this area. I do not think the authors intended it to be a textbook since
the subject area is rather specialized, and also because there are no exercises or
problem sets.

References
[1] Kulkarni, V.G., Modeling and Analysis of Stochastic Systems, Chapman Hall,
London 1995.
[2] Neuts, M.F., Matrix Geometric Solutions in Stochastic Models: An Algorithmic
Approach, Johns Hopkins University Press, Baltimore 1981.
[3] Neuts, M.F., Structured Stochastic Matrices of M/G/1 Type and Their
Applications, Marcel Dekker, New York 1989.

Introduction to Matrix Analytic Methods in Stochastic Model

by G. Latouche and V. Ramaswamy
Publisher ASA/SIAM Series on Statistics and Applied Probability
Publication Year 1999
ISBN 0-89871-425-7
Price: $49.50
ASA/SIAM Member Price: $39.60 Code SA05
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