Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization
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README.md
r6-eigen.R
r6-markov-undetermined-coefficients.R
r6-uc.R
test-markov-solver.R

README.md

uvand

Closed Form Transient Solution of Continuous Time Markov Chains Through Uniformization

R (http://www.r-project.org/) implementation of the algorithm described in the paper:

Llorenç Cerdà-Alabern. Closed form transient solution of continuous time markov chains through uniformization. In 7th International Conference on Performance Evaluation Methodologies and Tools, Valuetools, Torino, Italy, December 10–12, 2013. Best paper award.

The method is also described in the public technical report:

Llorenç Cerdà-Alabern. Transient Solution of Markov Chains Using the Uniformized Vandermonde Method. Technical Report UPC-DAC-RR-XCSD-2010-2, Universitat Politècnica de Catalunya, December, 2010. Report: https://www.ac.upc.edu/app/research-reports/html/research_center_index-XCSD-2010,en.html pdf: http://www.ac.upc.edu/RR/2010/53.pdf

Usage: Install the files and follow the example test-markov-solver.R.

More info: http://tomir.ac.upc.edu/node/536