Title :
An integration based method for the solution of continuous time Markov chains
Author :
Jungnitz, Hauke ; Giua, Alessandro ; Derochers, A.
Author_Institution :
Rensselaer Polytech. Inst., Troy, NY, USA
Abstract :
A new method for the solution of continuous time Markov chains is proposed. The method is based on the numerical integration of the underlying differential equation. The stepsize of the integration is chosen to minimize the error of the steady state solution. Results show that for a given number of floating point operations; the integration method converges faster than the Gauss-Seidel or successive over-relaxation method when sparse and stiff transition rate matrices are considered
Keywords :
Markov processes; differential equations; digital arithmetic; integration; matrix algebra; continuous time Markov chains; differential equation; digital arithmetic; floating point operations; integration based method; transition rate matrices; Differential equations; Eigenvalues and eigenfunctions; Gaussian processes; Intelligent robots; Intelligent systems; Iterative methods; Orbital robotics; Space exploration; Steady-state; Transmission line measurements;
Conference_Titel :
Systems, Man, and Cybernetics, 1991. 'Decision Aiding for Complex Systems, Conference Proceedings., 1991 IEEE International Conference on
Conference_Location :
Charlottesville, VA
Print_ISBN :
0-7803-0233-8
DOI :
10.1109/ICSMC.1991.169715
