On the sensitivity of transient solutions of Markov models

Authors:
A. V. Ramesh;Kishor Trivedi
Affiliations:
-;-
Venue:
SIGMETRICS '93 Proceedings of the 1993 ACM SIGMETRICS conference on Measurement and modeling of computer systems
Year:
1993

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Abstract

We consider the sensitivity of transient solutions of Markov models to perturbations in their generator matrices. The perturbations can either be of a certain structure or can be very general. We consider two different measures of sensitivity and derive upper bounds on them. The derived bounds are sharper than previously reported bounds in the literature. Since the sensitivity analysis of transient solutions is intimately related to the condition of the exponential of the CTMC matrix, we derive an expression for the condition number of the CTMC matrix exponential which leads to some interesting implications. We compare the derived sensitivity bounds both numerically and analytically with those reported in the literature.