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

Author

Listed:
  • Gábor Horváth

    (Budapest University of Technology and Economics
    MTA-BME Information systems research group)

  • Philipp Reinecke

    (HP Labs)

  • Miklós Telek

    (Budapest University of Technology and Economics
    Inter-University Center for Telecommunications and Informatics)

  • Katinka Wolter

    (Freie Universität Berlin)

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.

Suggested Citation

  • Gábor Horváth & Philipp Reinecke & Miklós Telek & Katinka Wolter, 2016. "Heuristic representation optimization for efficient generation of PH-distributed random variates," Annals of Operations Research, Springer, vol. 239(2), pages 643-665, April.
    • Handle: RePEc:spr:annopr:v:239:y:2016:i:2:d:10.1007_s10479-014-1736-x
    DOI: 10.1007/s10479-014-1736-x
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    References listed on IDEAS

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    1. Peter Buchholz & Miklós Telek, 2013. "On minimal representations of Rational Arrival Processes," Annals of Operations Research, Springer, vol. 202(1), pages 35-58, January.
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