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

Gábor Horváth, Philipp Reinecke, M. Telek, Katinka Wolter

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.

Original languageEnglish
JournalAnnals of Operations Research
DOIs
Publication statusAccepted/In press - Oct 14 2014

Fingerprint

Heuristics
Phase-type distribution
Simulation
Evaluation
Costs
Cost function
Dependability

Keywords

  • Monocyclic representation
  • PH distribution
  • Pseudo random variate generation

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Decision Sciences(all)

Cite this

Heuristic representation optimization for efficient generation of PH-distributed random variates. / Horváth, Gábor; Reinecke, Philipp; Telek, M.; Wolter, Katinka.

In: Annals of Operations Research, 14.10.2014.

Research output: Contribution to journalArticle

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