Simulate inhomogeneous continuous time Markov Chain (IHCTMC)

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?

Answer 1

[Shivam Lahoti]

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.