Simulate Continuous-Time Markov Chains

This code can be used to simulate continuous-time Markov chains

Version 1.0.2 (4,43 KB)
476 Downloads
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15. Jan 2021

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There are two functions: (1) simCTMC.m is used to simulate jump times and the corresponding states that are jumped to, given a Q-matrix and a desired number of periods. (2) simCTMC_t.m uses the output of simCTMC.m to generate a time series simulation for the states.

Zitieren als

Dana (2026). Simulate Continuous-Time Markov Chains (https://de.mathworks.com/matlabcentral/fileexchange/79649-simulate-continuous-time-markov-chains), MATLAB Central File Exchange. Abgerufen .

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Version Veröffentlicht Versionshinweise
1.0.2

Added some additional input verification
1.0.1

Can now set T=Inf to simulate until an absorbing state is reached. Other minor improvements also made.
1.0.0