Upper bounds on Poisson tail probabilities

  • Authors:

  • Peter W. Glynn

  • Affiliations:

  • Mathematics Research Center, University of Wisconsin-Madison, WI 53706, USA

  • Venue:
  • Operations Research Letters
  • Year:
  • 1987

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Abstract

Upper bounds on the left and right tails of the Poisson distribution are given. These bounds can be easily computed in a numerically stable way, even when the Poisson parameter is large. Such bounds can be applied to variate generation schemes and to numerical algorithms for computing terminal rewards of uniformizable continuous-time Markov chains.