Approximate computation of transient results for large Markov chains

Peter Buchholz, William H Sanders

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper presents a new approach for the computation of transient measures in large continuous time Markov chains (CTMCs). The approach combines the randomization approach for transient analysis of CTMCs with a new representation of probability vectors as Kronecker products of small component vectors. This representation is an approximation that allows an extremely space- and time-efficient computation of transient vectors. Usually, the resulting approximation is very good and introduces errors that are comparable to those found with existing approximation techniques for stationary analysis. By increasing the space and time requirements of the approach, we can represent parts of the solution vector in detail and reduce the approximation error, yielding exact solutions in the limiting case.

Original languageEnglish (US)
Title of host publicationProceedings - First International Conference on the Quantitative Evaluation of Systems, QEST 2004
Pages126-135
Number of pages10
DOIs
StatePublished - Dec 1 2004
EventProceedings - First International Conference on the Quantitave Evaluation of Systems, QEST 2004 - Enschede, Netherlands
Duration: Sep 27 2004Sep 30 2004

Publication series

NameProceedings - First International Conference on the Quantitative Evaluation of Systems, QEST 2004

Other

OtherProceedings - First International Conference on the Quantitave Evaluation of Systems, QEST 2004
Country/TerritoryNetherlands
CityEnschede
Period9/27/049/30/04

ASJC Scopus subject areas

  • Engineering(all)

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