Struct ContinuousTimeMarkov 

pub struct ContinuousTimeMarkov {
    pub states: usize,
    pub generator: Vec<Vec<f64>>,
}

Continuous-time Markov chain defined by a generator matrix Q. Q[i][j] >= 0 for i != j, Q[i][i] = -sum_{j!=i} Q[i][j].

Fields

states: usize

generator: Vec<Vec<f64>>

Implementations

impl ContinuousTimeMarkov

pub fn new(generator: Vec<Vec<f64>>) -> Self

pub fn holding_time(&self, state: usize, rng: &mut Rng) -> f64

Holding time in state i: Exp(-Q[i][i]).

pub fn jump_prob(&self, from: usize, to: usize) -> f64

Jump probability from state i to state j (given that a jump occurs).

pub fn simulate( &self, rng: &mut Rng, initial: usize, duration: f64, ) -> Vec<(f64, usize)>

Simulate the CTMC: returns Vec of (time, state).

pub fn embedded_chain(&self) -> MarkovChain

Compute the embedded discrete-time chain’s transition matrix.

pub fn stationary_distribution(&self) -> Vec<f64>

Stationary distribution via solving pi * Q = 0 using power iteration on the embedded chain weighted by holding times.