Uniformization: Basics, extensions and applications

Uniformization, also referred to as randomization, is a well-known performance evaluation technique to model and analyse continuous-time Markov chains via an easier to performance measures via iteration of the one-step transition matrix of the discrete-time Markov chain. The number of iterations has a Poisson distribution with rate dominating the maximum exit rate from the states of the continuous-time Markov chain. This paper contains an expository presentation of uniformization techniques to increase awareness and to provide a formal and intuitive justification of several exact and approximate extensions, including: