Numerically stable methods for the computation of exit rates in Markov chains

DOI10.1007/s11009-014-9417-4zbMath1342.60126OpenAlexW2058379749MaRDI QIDQ292343

Juan Antonio Carrasco

Publication date: 8 June 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9417-4

zbMATH Keywords

numerical methodscontinuous-time Markov chainsfault-tolerant systemsexit ratestransient states

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Uses Software

• MPFR
• mctoolbox
• CVODE

Cites Work

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• Sojourn times in finite Markov processes
• Computation of the Chi-Square and Poisson Distribution
• Accuracy and Stability of Numerical Algorithms
• On Quasi-Stationary distributions in absorbing discrete-time finite Markov chains
• On quasi-stationary distributions in absorbing continuous-time finite Markov chains

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