TY - CPAPER
KW - Eigenvectors method
KW - Markov chains
KW - transient solution
KW - Uniformization.
KW - Vandermonde system
AU - Llorenç Cerdà-Alabern
AB - This paper derives a mapping between a close form transient solution of a continuous time Markov chain (CTMC), and a close form transient solution of one of its uniformized discrete time Markov chains. This result is used to propose a new method to compute the transient solution of CTMCs. The method is simple to implement and has important benefits: (i) It yields a closed-form solution. (ii) It can be used to compute the transient solution for general CTMCs (even with absorbing states, or defective matrices). (iii) It can be used even for chains having a large number of states.
CY - Torino, Italy
DA - 12/2013
N1 - Best paper award.
N2 - This paper derives a mapping between a close form transient solution of a continuous time Markov chain (CTMC), and a close form transient solution of one of its uniformized discrete time Markov chains. This result is used to propose a new method to compute the transient solution of CTMCs. The method is simple to implement and has important benefits: (i) It yields a closed-form solution. (ii) It can be used to compute the transient solution for general CTMCs (even with absorbing states, or defective matrices). (iii) It can be used even for chains having a large number of states.
PP - Torino, Italy
PY - 2013
TI - Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization
UR - http://valuetools.org/2013/show/home
ER -