ContinuousTimeMarkov.jl

Julia package for Markov chains in continuous time.
Author tpapp
Popularity
4 Stars
Updated Last
9 Months Ago
Started In
January 2019

ContinuousTimeMarkov

Lifecycle Build Status codecov.io

Overview

A small package for working with continuous-time Markov transition rate matrices.

Currently exposes the following functionality:

  • wrappers TransitionRateMatrix and TransitionRateMatrix! for creating transition rate matrices (square, nonnegative elements, rows sum to one),

  • steady_state for calculating steady state distributions.

References

  • Meyer, Carl D. "Sensitivity of the stationary distribution of a Markov chain." SIAM Journal on Matrix Analysis and Applications 15.3 (1994): 715-728.

Used By Packages

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