Efficient generation of PH-Distributed random variates

Authors:
Gábor Horváth;Philipp Reinecke;Miklós Telek;Katinka Wolter
Affiliations:
Department of Telecommunications, Budapest University of Technology and Economics, Budapest, Hungary;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:
ASMTA'12 Proceedings of the 19th international conference on Analytical and Stochastic Modeling Techniques and Applications
Year:
2012

Citing 1
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Reducing the cost of generating APH-Distributed random numbers

MMB&DFT'10 Proceedings of the 15th international GI/ITG conference on Measurement, Modelling, and Evaluation of Computing Systems and Dependability and Fault Tolerance

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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 random-variate generation. In this paper we study the problem of efficient representation and efficient generation of PH distributed variates.