Efficient transient analysis of finite state space continuous time Markov chains (CTMCs): Signal processing approach

Abstract

In this research paper, the problem of efficient computation of transient probability distribution of a Continuous Time Markov chain (CTMC) is addressed and a signal processing based approach is proposed. Also CTMCs whose generator matrix is a structured matrix (Toeplitz, Toeplitz-type) are considered and two efficient algorithms for the computation of transient probability distribution are proposed. Numerical results are presented for performance evaluation of CTMC based stochastic models.