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Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization

Author
Llorenç Cerdà-Alabern
Keywords
Eigenvectors method
Markov chains
transient solution
Uniformization.
Vandermonde system
Abstract

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.

Year of Publication
2013
Date Published
12/2013
Conference Location
Torino, Italy
URL
http://valuetools.org/2013/show/home
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