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Stiffness-tolerant methods for transient analysis of stiff Markov chains
1994
Microelectronics and reliability
Three methods for numerical transient analysis of Markov chains, the modified Jensen's method (Jensen's method with steady-state detection of the underlying DTMC and computation of Poisson probabilities using the method of Fox and Glynn [1]), a third-order L-stable implicit Runge-Kutta method, and a second-order L-stable method, TR-BDF2, are compared. These methods are evaluated on the basis of their performance (accuracy of the solution and computational cost) on stiff Markov chains.
doi:10.1016/0026-2714(94)90137-6
fatcat:g6nfzjjoqzczhdsqzftgaykxhe