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Tijms, H. and Veldman, R. (2000). A fast algorithm for the transient reward distribution in continuous-time Markov chains Operations Research Letters, 26:155--158.

  • Affiliated author
    Henk Tijms
  • Publication year
    2000
  • Journal
    Operations Research Letters
View publication

A generally applicable discretization method for computing the transient distribution of the cumulative reward in a continuous-time Markov chain is presented. A key feature of the algorithm is an error estimate for speeding up the calculations. The algorithm is easy to program and is numerically stable.