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

H.C. Tijms; R. Veldman

doi:10.1016/S0167-6377(00)00023-7

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

H.C. Tijms, R. Veldman

Research output: Contribution to Journal › Article › Academic

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 language	English
Pages (from-to)	155-158
Number of pages	3
Journal	Operations Research Letters
Volume	26
DOIs	https://doi.org/10.1016/S0167-6377(00)00023-7
Publication status	Published - 2000

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10.1016/S0167-6377(00)00023-7

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title = "A fast algorithm for the transient reward distribution in continuous-time Markov chains",

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.",

author = "H.C. Tijms and R. Veldman",

year = "2000",

doi = "10.1016/S0167-6377(00)00023-7",

language = "English",

volume = "26",

pages = "155--158",

journal = "Operations Research Letters",

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AU - Tijms, H.C.

AU - Veldman, R.

PY - 2000

Y1 - 2000

N2 - 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.

AB - 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.

U2 - 10.1016/S0167-6377(00)00023-7

DO - 10.1016/S0167-6377(00)00023-7

M3 - Article

SN - 0167-6377

VL - 26

SP - 155

EP - 158

JO - Operations Research Letters

JF - Operations Research Letters

ER -

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

Abstract

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