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Heuristic representation optimization for efficient generation of PH-distributed random variates

Horvath, Gabor, Reinecke, Philipp, Telek, Miklos and Wolter, Katinka 2016. Heuristic representation optimization for efficient generation of PH-distributed random variates. Annals of Operations Research 239 (2) , pp. 643-665. 10.1007/s10479-014-1736-x

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Abstract

Phase-type (PH) distributions are being used to model a wide range of phenomena in performance and dependability evaluation. The resulting models may be employed in analytical as well as in simulation-driven approaches. Simulations require the efficient generation of random variates from PH distributions. PH distributions have different representations and different associated computational costs for pseudo random-variate generation (PRVG). In this paper we study the problem of efficient representation and efficient generation of PH distributed variates. We introduce various PH representations of different sizes and optimize them according to different cost functions associated with PRVG.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Computer Science & Informatics
Publisher: Springer Verlag (Germany)
ISSN: 0254-5330
Funders: DFG, European Union, OTKA, Research and Technology Innovation Fund, Hungarian Acadamy of Sciences
Date of Acceptance: 30 September 2014
Last Modified: 05 Mar 2020 14:15
URI: http://orca.cf.ac.uk/id/eprint/122409

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