A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

Loren K. Platzman, Jane C. Ammons and John J. Bartholdi
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Loren K. Platzman: Georgia Institute of Technology, Atlanta, Georgia
Jane C. Ammons: Georgia Institute of Technology, Atlanta, Georgia
John J. Bartholdi: Georgia Institute of Technology, Atlanta, Georgia

Operations Research, 1988, vol. 36, issue 1, 137-144

Abstract: We present an algorithm to approximately compute the “tail” probability that a random variable exceeds a specified number, given only an expression for its transform. We also show that the problem is #P-hard (more difficult than NP-hard), suggesting that no efficient procedure can solve it exactly. Our method consists essentially of summing a power series, and thus is easy to perform and requires little memory. Furthermore, its computational effort is nearly linear in the reciprocal of a prespecified worst-case error bound.

Keywords: 432 #P-complexity of Laplace transform inversion; 565 compute tail probability from transform (search for similar items in EconPapers)
Date: 1988
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