The slides for the short talk on stochastic scheduling today are here.
The method of uniformization that I described in this lecture seems to have been introduced by Jensen (1953), but it was first used extensively in solving queueing problems in the late 1970s (by Grassman (1977) and Keilson (1979)). The Wikipedia article has more about it and summarises the method in these words:
The method of uniformization that I described in this lecture seems to have been introduced by Jensen (1953), but it was first used extensively in solving queueing problems in the late 1970s (by Grassman (1977) and Keilson (1979)). The Wikipedia article has more about it and summarises the method in these words:
The method involves the constructions of an analogous discrete time Markov chain, where transitions occur according to an exponential distribution with the same parameter in every state.
I have used this idea many dozens of times in my own research. It is usually the best first step to make when tackling a continuous-time Markov decision problem.
