Analysis of Stiff Markov Chains

Continuous-time Markov chains (CTMC) are widely used mathematical models. Reliability models, queueing networks, and inventory models all require transient solutions of CTMC. The cost of CTMC transient solution increases with size, stiffness, and mission time. To eliminate stiffness and reduce the cost of solution, approximation techniques have been proposed. In this paper, we describe a software package for the specification and solution of stiff CTMC. As an interface, we use a language for the description of Markov chains. The language also provides facilities for controlling the solution procedure. Both exact and approximate solution techniques are provided. To conclude the paper, we use several examples to show the use of our specification language and the utility of our approximation technique. INFORMS Journal on Computing, ISSN 1091-9856, was published as ORSA Journal on Computing from 1989 to 1995 under ISSN 0899-1499.

Duke Scholars

Author Kishor S. Trivedi Electrical and Computer Engineering