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Reports (Research Report) Year : 2007

Moments analysis in Markov reward models

Abstract

We analyze the moments of the accumulated reward over the interval (0, t) in a continuous-time Markov chain. We develop a numerical procedure to efficiently compute the normalized moments using the uniformization technique. Our algorithm involves auxiliary quantities whose convergence is analyzed, and for which we provide a probabilistic interpretation.
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Dates and versions

inria-00182497 , version 1 (26-10-2007)
inria-00182497 , version 2 (29-10-2007)
inria-00182497 , version 3 (15-11-2007)

Identifiers

  • HAL Id : inria-00182497 , version 3

Cite

François Castella, Guillaume Dujardin, Bruno Sericola. Moments analysis in Markov reward models. [Research Report] RR-6339, INRIA. 2007, pp.21. ⟨inria-00182497v3⟩
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