LEVEL-WISE SUBGEOMETRIC CONVERGENCE OF THE LEVEL-INCREMENT TRUNCATION APPROXIMATION OF M/G/1-TYPE MARKOV CHAINS

Abstract

This paper considers the level-increment (LI) truncation approximation of M/G/1-type Markov chains. The LI truncation approximation is useful for implementing the M/G/1 paradigm, which is the framework for computing the stationary distribution of M/G/1-type Markov chains. The main result of this paper is a subgeometric convergence formula for the total variation distance between the original stationary distribution and its LI truncation approximation. Suppose that the equilibrium level-increment distribution is subexponential, and that the downward transition matrix is rank one. We then show that the convergence rate of the total variation error of the LI truncation approximation is equal to that of the tail of the equilibrium level-increment distribution and that of the tail of the original stationary distribution.