Implicit ODE solvers with good local error control for the transient analysis of Markov models

Víctor Suñé and Juan Antonio Carrasco

Applied Mathematics and Computation, 2017, vol. 293, issue C, 96-111

Abstract: Obtaining the transient probability distribution vector of a continuous-time Markov chain (CTMC) using an implicit ordinary differential equation (ODE) solver tends to be advantageous in terms of run-time computational cost when the product of the maximum output rate of the CTMC and the largest time of interest is large. In this paper, we show that when applied to the transient analysis of CTMCs, many implicit ODE solvers are such that the linear systems involved in their steps can be solved by using iterative methods with strict control of the 1-norm of the error. This allows the development of implementations of those ODE solvers for the transient analysis of CTMCs that can be more efficient and more accurate than more standard implementations.

Keywords: Implicit ODE solvers; Continuous-time Markov chains; Transient analysis (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:293:y:2017:i:c:p:96-111

DOI: 10.1016/j.amc.2016.08.009

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