Acceptance-Rejection Methods for Generating Random Variates from Matrix Exponential Distributions and Rational Arrival Processes

Gábor Horváth, M. Telek

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

Stochastic models based on matrix-exponential structures, like matrix-exponential distributions and rational arrival processes (RAPs), have gained popularity in analytical models recently. However, the application of these models in simulation-based evaluations is not as widespread yet. One of the possible reasons is the lack of efficient random-variate-generation methods. In this chapter we propose methods for efficient random-variate generation for matrix-exponential stochastic models based on appropriate representations of the models.

Original languageEnglish
Title of host publicationSpringer Proceedings in Mathematics and Statistics
PublisherSpringer New York LLC
Pages123-143
Number of pages21
Volume27
ISBN (Print)9781461449089
DOIs
Publication statusPublished - 2013

Fingerprint

Rejection Method
Matrix Exponential
Random Variate Generation
Exponential distribution
Stochastic Model
Model-based
Exponential Model
Analytical Model
Evaluation
Model
Simulation

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Horváth, G., & Telek, M. (2013). Acceptance-Rejection Methods for Generating Random Variates from Matrix Exponential Distributions and Rational Arrival Processes. In Springer Proceedings in Mathematics and Statistics (Vol. 27, pp. 123-143). Springer New York LLC. https://doi.org/10.1007/978-1-4614-4909-6_7

Acceptance-Rejection Methods for Generating Random Variates from Matrix Exponential Distributions and Rational Arrival Processes. / Horváth, Gábor; Telek, M.

Springer Proceedings in Mathematics and Statistics. Vol. 27 Springer New York LLC, 2013. p. 123-143.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Horváth, Gábor ; Telek, M. / Acceptance-Rejection Methods for Generating Random Variates from Matrix Exponential Distributions and Rational Arrival Processes. Springer Proceedings in Mathematics and Statistics. Vol. 27 Springer New York LLC, 2013. pp. 123-143
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