Simulate Continuous-Time Markov Chains

Version 1.0.2 (4.43 KB) by Dana
This code can be used to simulate continuous-time Markov chains
5.0
(2)
422 Downloads
Updated 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.

Cite As

Dana (2024). Simulate Continuous-Time Markov Chains (https://www.mathworks.com/matlabcentral/fileexchange/79649-simulate-continuous-time-markov-chains), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2020a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
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