IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
Online ISSN : 1745-1337
Print ISSN : 0916-8508
Regular Section
A Comprehensive Performance Evaluation on Iterative Algorithms for Sensitivity Analysis of Continuous-Time Markov Chains
Yepeng CHENGHiroyuki OKAMURATadashi DOHI
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2020 Volume E103.A Issue 11 Pages 1252-1259

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Abstract

This paper discusses how to compute the parametric sensitivity function in continuous-time Markov chains (CTMC). The sensitivity function is the first derivative of the steady-state probability vector regarding a CTMC parameter. Since the sensitivity function is given as a solution of linear equations with a sparse matrix, several linear equation solvers are available to obtain it. In this paper, we consider Jacobi and successive-over relaxation as variants of the Gauss-Seidel algorithm. In addition, we develop an algorithm based on the Takahashi method for the sensitivity function. In numerical experiments, we comprehensively evaluate the performance of these algorithms from the viewpoint of computation time and accuracy.

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© 2020 The Institute of Electronics, Information and Communication Engineers
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