Efficient sampling from phase-type distributions

被引：0
|
作者：
Fiems, Dieter [1 ]
机构：
[1] Univ Ghent, Dept TELIN, St Pietersnieuwstr 41, B-9000 Ghent, Belgium
来源：
OPERATIONS RESEARCH LETTERS | 2024年 / 57卷
关键词：
Phase-type distribution; Random variate generation; Alias method; RANDOM NUMBERS;
D O I：
10.1016/j.orl.2024.107184
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
A phase-type distributed random variable represents the time to absorption of a Markov chain with an absorbing state. In this letter, we show that the alias method can be modified to efficiently generate phase-type distributed random variables. Both initialisation and generation are fast, at the cost of larger memory requirements. Numerical experiments show that the proposed method significantly reduces the computation time compared to direct simulation.
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页数：5
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