Imprecise Continuous-Time Markov Chains: Efficient Computational Methods with Guaranteed Error Bounds
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Publication:6283531
arXiv1702.07150MaRDI QIDQ6283531FDOQ6283531
Jasper De Bock, Alexander Erreygers
Publication date: 23 February 2017
Abstract: Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential equation. As there is no general analytical expression for this solution, efficient numerical approximation methods are essential to the applicability of this model. We here improve the uniform approximation method of Krak et al. (2016) in two ways and propose a novel and more efficient adaptive approximation method. For ergodic chains, we also provide a method that allows us to approximate stationary distributions up to any desired maximal error.
Has companion code repository: https://github.com/alexander-e/ictmc
Asymptotic theory of functional-differential equations (34K25) Continuous-time Markov processes on discrete state spaces (60J27) Theoretical approximation of solutions to functional-differential equations (34K07)
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