Fixed issue in computation of cumulative rewards #594
Merged
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There was a problem with computing
R=?[C<=t]
-like properties on CTMCs. With the rather simple 2-state modelwe currently get
This PR fixes the issue and adds the model as a test case.
The problem was that we are supposed to scale the values obtained before the left truncation point.
However, the case where the left truncation point is 0 was handled incorrectly: Essentially the scaling had been applied twice: once when multiplying with
foxGlynnResult.weights.front()
in what is now line 705 and then again withfoxGlynnResult.totalWeight
in line 737.I also improved numerical stability in the weight adjustment. The previous implementation sometimes resulted in negative weights because the weights were summed up in a non-optimal order.