Abstract
Abstract Randomization is an attractive alternative for the transient analysis of continuous time Markov models. The main advantages of the method are numerical stability, well-controlled computation error, and ability to specify the computation error in advance. However, the fact that the method can be computationally expensive limits its applicability. Recently, a variant of the (standard) randomization method, called split regenerative randomization has been proposed for the efficient analysis of reliability-like models of fault-tolerant systems with deferred repair. In this article, we generalize that method so that it covers more general reward measures: the expected transient reward rate and the expected averaged reward rate. The generalized method has the same good properties as the standard randomization method and, for large models and large values of the time t at which the measure has to be computed, can be significantly less expensive. The method requires the selection of a subset of states an...
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More From: Communications in Statistics - Simulation and Computation
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