Computer methods for sampling from the exponential and normal distributions
Communications of the ACM
Principles of Discrete Event Simulation
Principles of Discrete Event Simulation
jPhase: an object-oriented tool for modeling phase-type distributions
SMCtools '06 Proceeding from the 2006 workshop on Tools for solving structured Markov chains
A decision support model for warranty servicing of repairable items
Computers and Operations Research
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An algorithm for generating phase type random variates is presented. A phase type distribution is any distribution which may be that of the time until absorption in a finite state Markov process. The exponential sojourn times allow us to record only the number of visits, k, to each state before absorption and then generate appropriate Erlang-k random variates. A related algorithm for the superposition of renewal processes of phase type is also discussed.