2018/04/03 by Erreygers, Alexander, De Bock, Jasper
#FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.1804.01020
If the state space of a homogeneous continuous-time Markov chain is too large, making inferences - here limited to determining marginal or limit expectations - becomes computationally infeasible. Fortunately, the state space of such a chain is usually too detailed for the inferences we are interested in, in the sense that a less detailed - smaller - state space suffices to unambiguously formalise the inference. However, in general this so-called lumped state space inhibits computing exact inferences because the corresponding dynamics are unknown and/or intractable to obtain. We address this issue by considering an imprecise continuous-time Markov chain. In this way, we are able to provide guaranteed lower and upper bounds for the inferences of interest, without suffering from the curse of dimensionality.