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Moments analysis in Markov reward models

François Castella 1, 2 Guillaume Dujardin 1, 2 Bruno Sericola 3
2 IPSO - Invariant Preserving SOlvers
IRMAR - Institut de Recherche Mathématique de Rennes, Inria Rennes – Bretagne Atlantique
3 DIONYSOS - Dependability Interoperability and perfOrmance aNalYsiS Of networkS
Inria Rennes – Bretagne Atlantique , IRISA-D2 - RÉSEAUX, TÉLÉCOMMUNICATION ET SERVICES
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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https://hal.inria.fr/inria-00182497
Contributor : Anne Jaigu <>
Submitted on : Thursday, November 15, 2007 - 9:41:05 AM
Last modification on : Friday, July 10, 2020 - 4:03:58 PM
Long-term archiving on: : Thursday, September 23, 2010 - 4:47:55 PM

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  • HAL Id : inria-00182497, version 3

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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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