ETCt {modesto}

Tool to computate the Expected Total Cost vector for a Continuous Time Markov Chain, CTMC.

Description

ETCt is used to obtain the Expected Total Cost vector up to t of a homogeneous continuous time Markov chain.

Usage

ETCt(R, c, t, epsilon = 0.001)

Arguments

R

numeric, represents the rate matrix of a CTMC.

c

vector, represents the costs of the states of a CTMC.

t

numeric, represents the length of time.

epsilon

numeric, represents the error bound of the approximation of M(t). Default value is 0.001.

Author(s)

Carlos Alberto Cardozo Delgado <[e-mail]>.

References

Ross, S, Introduction to Probability Models, Eleven Edition. Academic Press, 2014.

Kulkarni V, Introduction to modeling and analysis of stochastic systems. Second Edition. Springer-Verlag, 2011.

Examples

library(modesto)
# A four states CTMC example
R <- matrix(c(0,1,0,0,0, 1/72,0,1,0,0, 0,2/72,0,1,0, 0,0,3/72,0,1/2, 0,0,0,4/72,0),5,5,byrow=TRUE)
ETCt(R,c(-80,-15,50,125,200),t=24,epsilon=0.001)