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

Authors:
H.C Tijms;R Veldman
Affiliations:
Department of Econometrics, Vrije Universiteit, De Boelelaan, 1081 HV Amsterdam, The Netherlands;ORTEC Consultants, P.O. Box 490,2800 AL Gouda, The Netherlands
Venue:
Operations Research Letters
Year:
2000

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Abstract

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.