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

Gábor Horváth (), Philipp Reinecke (), Miklós Telek () and Katinka Wolter ()
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Gábor Horváth: Budapest University of Technology and Economics
Philipp Reinecke: HP Labs
Miklós Telek: Budapest University of Technology and Economics
Katinka Wolter: Freie Universität Berlin

Annals of Operations Research, 2016, vol. 239, issue 2, No 15, 643-665

Abstract: 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.

Keywords: PH distribution; Pseudo random variate generation; Monocyclic representation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10479-014-1736-x

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