Efficient sampling from phase-type distributions

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-09-10 DOI:10.1016/j.orl.2024.107184

Dieter Fiems

引用次数: 0

Abstract

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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从相位型分布中高效采样

相型分布式随机变量表示具有吸收状态的马尔可夫链的吸收时间。在这封信中，我们展示了可以通过修改别名法来高效生成相位型分布式随机变量。初始化和生成都很快，但代价是需要更大的内存。数值实验表明，与直接模拟相比，所提出的方法大大缩短了计算时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.