CTMCs with Costs and Rewards
Natarajan Gautam · Wiley Encyclopedia of Operations Research and Management Science · 2011
Abstract We consider continuous‐time Markov chains (CTMCs) where there are costs and rewards associated with each state. For such a CTMC, the objective usually is to calculate either the long‐run average costs incurred per unit time or the total discounted cost incurred over an infinite horizon. We illustrate the calculations using several examples and conclude with applications to system performance analysis.