Uniformization (probability theory): Difference between revisions

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m Method description: removed "transient" because it is wrong, it's just the distribution at time t of the chain...
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Method description: cosmetic corrections regarding the definition
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==Method description==
 
For a continuous time Markov chain with transitioninfinitesimal rate matrixgenerator ''Q'' (sometimes also called "transition rate matrix"), the uniformized discrete time Markov chain has probability transition matrix ''<math>P'':=(p_{ij})_{i,j}</math>, which is defined to beby<ref name="stewart">{{cite book |title=Probability, Markov chains, queues, and simulation: the mathematical basis of performance modeling|last=Stewart |first=William J. |year=2009 |publisher=[[Princeton University Press]] |isbn=0-691-14062-6 |page=361}}</ref><ref name="cass">{{cite book |title=Introduction to discrete event systems|last=Cassandras |first=Christos G. |last2=Lafortune| first2=Stéphane|year=2008 |publisher=Springer |isbn=0-387-33332-0}}</ref><ref name="ross">{{cite book |title=Introduction to probability models|last=Ross |first=Sheldon M. |year=2007 |publisher=Academic Press |isbn=0-12-598062-0}}</ref>
 
::<math>p_{ij} = \begin{cases} q_{ij}/\gamma &\text{ if } i \neq j \\ 1 - \sum_{j \neq i} q_{ij}/\gamma &\text{ if } i=j \end{cases}</math>