Approximation of Discrete Phase-Type Distributions

Authors:
Claudia Isensee;Graham Horton
Affiliations:
Otto-von-Guericke Universität Magdeburg;Otto-von-Guericke Universität Magdeburg
Venue:
ANSS '05 Proceedings of the 38th annual Symposium on Simulation
Year:
2005

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Abstract

The analysis of discrete stochastic models such as generally distributed stochastic Petri nets can be done using state space-based methods. The behavior of the model is described by a Markov chain that can be solved mathematically. The phase-type distributions that are used to describe non-Markovian distributions have to be approximated. An approach for the fast and accurate approximation of discrete phase-type distributions is presented. This can be a step towards a practical state space-based simulation method, whereas formerly this approach often had to be discarded as unfeasible due to high memory and runtime costs. Discrete phases also fit in well with current research on proxel-based simulation. They can represent infinite support distribution functions with considerably fewer Markov chain states than proxels. Our hope is that such a combination of both approacheswill lead to a competitive simulation algorithm.