ContinuousTimeMarkov.jl

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), and steady_state for calculating steady state distributions.

• a CompetingPoisson distribution and random sampler for competing Poisson/exponential events.

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.