Approximating Matrix-Exponential Distributions by Global Randomization

DOI10.1081/STM-200056231MaRDI QIDQ5462812zbMATH OpenOpenAlexFDO

Authors Appie van de Liefvoort, Armin Heindl

Publication date 27 July 2005

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/stm-200056231

zbMATH Keywords

uniform convergenceuniformizationmatrix-exponential distributionsdensity/distribution approximationlinear-algebraic approximation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Numerical linear algebra (65F99) Approximation by rational functions (41A20)

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Cites work

• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 1461224 (Why is no real title available?)
• A numerical study of large sparse matrix exponentials arising in Markov chains.
• Approximating Transition Probabilities and Mean Occupation Times in Continuous-Time Markov Chains
• Chebyshev rational approximations to \(e^{-x}\) in \([0,+\infty)\) and applications to heat-conduction problems
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Error control of rational approximations to the exponential function
• Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Some Bounds on the Error in Approximating Transition Probabilities in Continuous-Time Markov Processes
• Some explicit formulas for the matrix exponential
• The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes
• The least variable phase type distribution is erlang
• The uniformized power method for transient solutions of Markov processes
• The waiting-time distribution and its moments of the PH/PH/1 queue

Cited in

(7)

• Generating Matrix Exponential Random Variates
• On matrix exponential distributions
• Technical note -- On matrix exponential differentiation with application to weighted sum distributions
• Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
• Coxian approximations of matrix-exponential distributions
• An approximation to the distribution and the moments of the number of events in Markovian arrival processes
• Constructing matrix exponential distributions by moments and behavior around zero

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