Reducing the cost of generating APH-Distributed random numbers

Authors:
Philipp Reinecke;Miklós Telek;Katinka Wolter
Affiliations:
Institut für Informatik, Freie Universität Berlin, Berlin, Germany;Department of Telecommunications, Budapest University of Technology and Economics, Budapest, Hungary;Institut für Informatik, Freie Universität Berlin, Berlin, Germany
Venue:
MMB&DFT'10 Proceedings of the 15th international GI/ITG conference on Measurement, Modelling, and Evaluation of Computing Systems and Dependability and Fault Tolerance
Year:
2010

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Abstract

Phase-type (PH) distributions are proven to be very powerful tools in modelling and analysis of a wide range of phenomena in computer systems. The use of these distributions in simulation studies requires efficient methods for generating PH-distributed random numbers. In this work, we discuss algorithms for generating random numbers from PH distributions and propose two algorithms for reducing the cost associated with generating random numbers from Acyclic Phase-Type distributions (APH).