Monte Carlo simulation of markovian jump system

Because there are no effective simulation methods in the theoretical study of jump systems, a Monte Carlo method for jump systems is proposed. The key problem of Monte Carlo simulation of the jump system is the realization of the Markov chain. Two methods of generating the Markov chain are presented. One method was to use the MATLAB function randsrc, a nother was based on the function unifrnd to generate random numbers with uniform distribution. And various threshouds for the random numbers were set accoding to the transition probability matrix P to produce the Markov chain. The algorithms of the two methods were also provided. An application example was given and the transition probability was verified based on the simulation results. The proposed method is simple and clear in concepts, and can be also used for the study of stochastic systems such as switching systems.