Computing cumulative measures of stiff Markov chains using aggregation

Abstract

An aggregation method for computing transient cumulative measures of large, stiff Markov models is presented. The method is based on classifying the states of the original problem into slow, fast-transient, and fast-current states. The authors aggregate fast-transient states and fast-recurrent states so that an approximate value to the desired cumulative measure can be obtained by solving a nonstiff set of linear differential equations defined over a reduced subset of slow states only. Several examples are included to illustrate how stiffness arises naturally in actual queuing and reliability models, and to show that cumulative measures provide a better characterization of the time-dependent system behavior.>

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