A fast algorithm for the transient reward distribution in continuous-time Markov chains

Authors
Tijms, HC Veldman, R
Citation
Hc. Tijms et R. Veldman, A fast algorithm for the transient reward distribution in continuous-time Markov chains, OPER RES L, 26(4), 2000, pp. 155-158
Citations number
3
Categorie Soggetti
Engineering Mathematics
Journal title
OPERATIONS RESEARCH LETTERS
ISSN journal
01676377 → ACNP
Volume
26
Issue
4
Year of publication
2000
Pages
155 - 158
Database
ISI
SICI code
0167-6377(200005)26:4<155:AFAFTT>2.0.ZU;2-2
Abstract
This note presents a generally applicable discretization method for computi ng the transient distribution of the cumulative reward in a continuous-time Markov chain. A key feature of the algorithm is an error estimate for spee ding up the calculations. The algorithm is easy to program and is numerical ly stable. (C) 2000 Elsevier Science B.V. All rights reserved.