Simulate inhomogeneous continuous time Markov Chain (IHCTMC)

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susman
susman 2021-2-4
回答： Shivam Lahoti 2024-2-16
I am working on simulating an inhomogeneous continuous time Markov Chain. I have found most of the material here deadling with "homogeneous" transtions model.
Even in the exchange files, I have found most of the MATLAB codes assuming time homogeneous markov models.
Other platforms offer (IHCTMC) codes in R. I wonder, is there another good reference to implement (IHCTMC) in MATLAB?

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回答（1 个）

Shivam Lahoti
Shivam Lahoti 2024-2-16
Hi susman,
I too couldn’t find an exact implementation for an inhomogeneous continuous-time Markov Chain in MATLAB. However, I found a research article discussing the theoretical calculations and methodological approach that could be used to simulate the same in MATLAB. Please refer to the third section of the following article:
https://conferences.computer.org/dsd/pdfs/DSD2020-3gccs2DX4TPUFhzwStqjoz/953500a664/953500a664.pdf
I hope this helps.
Regards,
Shivam.

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