Differentiated uniformization: a new method for inferring Markov chains on combinatorial state spaces including stochastic epidemic models

URN to cite this document:: urn:nbn:de:bvb:355-epub-554927
DOI to cite this document:: 10.5283/epub.55492

Rupp, Kevin ; Schill, Rudolf

; Süskind, Jonas ; Georg, Peter ; Klever, Maren ; Lösch, Andreas ; Grasedyck, Lars ; Wettig, Tilo

; Spang, Rainer

License: Creative Commons Attribution 4.0
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Date of publication of this fulltext: 06 Feb 2024 12:35

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Abstract

We consider continuous-time Markov chains that describe the stochastic evolution of a dynamical system by a transition-rate matrix Q which depends on a parameter . Computing the probability distribution over states at time t requires the matrix exponential , and inferring from data requires its derivative . Both are challenging to compute when the state space and hence the size of Q is huge. This ...