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Does a given vector-matrix pair correspond to a PH distribution?

Reinecke, Philipp and Telek, Miklós 2014. Does a given vector-matrix pair correspond to a PH distribution? Performance Evaluation 81 , pp. 40-51. 10.1016/j.peva.2014.08.001

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Abstract

The analysis of practical queueing problems benefits if realistic distributions can be used as parameters. Phase type (PH) distributions can approximate many distributions arising in practice, but their practical applicability has always been limited when they are described by a non-Markovian vector–matrix pair. In this case it is hard to check whether the non-Markovian vector–matrix pair defines a non-negative matrix-exponential function or not. In this paper we propose a numerical procedure for checking if the matrix-exponential function defined by a non-Markovian vector–matrix pair can be represented by a Markovian vector–matrix pair with potentially larger size. If so, then the matrix-exponential function is non-negative. The proposed procedure is based on O’Cinneide’s characterization result, which says that a non-Markovian vector–matrix pair with strictly positive density on and with a real dominant eigenvalue has a Markovian representation. Our method checks the existence of a potential Markovian representation in a computationally efficient way utilizing the structural properties of the applied representation transformation procedure.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Computer Science & Informatics
Publisher: Elsevier
ISSN: 0166-5316
Date of Acceptance: 4 August 2014
Last Modified: 07 Dec 2020 16:15
URI: http://orca.cf.ac.uk/id/eprint/124332

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