Approximation Technique

One of the most widely-used techniques to obtain transient measures is the method. However, although uniformization has many advantages, the computational cost required to calculate transient probabilities may be very large for (transition rates that differ by several orders of magnitude). This occurs because the computational cost of uniformization is proportional to $\Lambda t$, where $t$ is the length of the observation period and $\Lambda$ is a parameter which is greater than or equal to the largest absolute value of the diagonal elements of the infinitesimal generator $Q$. may give rise to large $\Lambda t$ values.

In [#!technicalreportespa!#], an efficient method to calculate transient state probabilities of Markov models and cumulative expected reward measures over a finite interval, based in the approach of [#!ross!#] is proposed. In that work, the measures can be computed from iterative and direct solution techniques. For more details, see [#!technicalreportespa!#].