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

H.C. Tijms, R. Veldman

    Research output: Contribution to JournalArticleAcademic

    Abstract

    A generally applicable discretization method for computing the transient distribution of the cumulative reward in a continuous-time Markov chain is presented. 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.
    Original languageEnglish
    Pages (from-to)155-158
    Number of pages3
    JournalOperations Research Letters
    Volume26
    DOIs
    Publication statusPublished - 2000

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