A fast algorithm for the transient reward distribution in continuous-time Markov chains
| Autor: | R Veldman, Henk Tijms |
|---|---|
| Přispěvatelé: | Econometrics and Operations Research |
| Jazyk: | angličtina |
| Rok vydání: | 2000 |
| Předmět: |
Mathematical optimization
Markov chain mixing time Markov chain Discretization Computer science Applied Mathematics Markov chain Monte Carlo SDG 10 - Reduced Inequalities Management Science and Operations Research Markov model Industrial and Manufacturing Engineering symbols.namesake Balance equation symbols Forward algorithm Hidden Markov model Algorithm Software |
| Zdroj: | Operations Research Letters, 26, 155-158. Elsevier Tijms, H C & Veldman, R 2000, ' A fast algorithm for the transient reward distribution in continuous-time Markov chains ', Operations Research Letters, vol. 26, pp. 155-158 . https://doi.org/10.1016/S0167-6377(00)00023-7 |
| ISSN: | 0167-6377 |
| Popis: | This note presents a generally applicable discretization method for computing the transient distribution of the cumulative reward in a continuous-time Markov chain. A key feature of the algorithm is an error estimate for speeding up the calculations. The algorithm is easy to program and is numerically stable. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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