Closed form transient solution of continuous time Markov chains through uniformization
Document typeConference lecture
PublisherInstitute for Computer Sciences, Social-Informatics and Telecommunications Engineering (ICST)
Rights accessOpen Access
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.
Best Paper Award, 7th. International Conference on Peformance Evaluation methodologies and tools, Valuetools 2013
CitationCerdà, L. Closed form transient solution of continuous time Markov chains through uniformization. A: International Conference on Performance Evaluation Methodologies and Tools. "ValueTools'13: Proceedings of the 7th International Conference on Performance Evaluation Methodologies and Tools". Torino: Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering (ICST), 2013, p. 263-272.
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