A computationally efficient technique for transient analysis of repairable Markovian systems

A technique to design efficient methods using a combination of explicit (non-stiff) and implicit (stiff) ODE methods for numerical transient analysis of repairable Markovian systems is proposed. Repairable systems give rise to stiff Markov chains due to extreme disparity between failure rates and repair rates. Our approach is based on the observation that stiff Markov chains are non-stiff for an initial phase of the solution interval. A non-stiff ODE method is used to solve the model for this phase and a stiff ODE method is used to solve the model for the rest of the duration until the end of solution interval. A formal criterion to determine the length of the non-stiff phase is described. A significant outcome of this approach is that the accuracy requirement automatically becomes a part of model stiffness. Two specific methods based on this approach have been implemented. Both the methods use the Runge-Kutta-Fehlberg method as the non-stiff method. One uses the TR-BDF2 method as the stiff method while the other uses an implicit Runge-Kutta method as the stiff method. Numerical results obtained from solving dependability models of a multiprocessor system and an interconnection network are presented. These results show that the methods obtained using this approach are much more efficient than the corresponding stiff methods which have been proposed to solve stiff Markov models.