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Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization
| Title | Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization |
| Publication Type | Conference Paper |
| Year of Publication | 2013 |
| Authors | Cerdà -Alabern, L |
| Conference Name | 7th International Conference on Performance Evaluation Methodologies and Tools, Valuetools |
| Date Published | 12/2013 |
| Conference Location | Torino, Italy |
| 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. |
| Notes | Best paper award. |
| URL | http://valuetools.org/2013/show/home |