Efficient sampling from phase-type distributions

DOI10.1016/J.ORL.2024.107184MaRDI QIDQ6988283zbMATH OpenFDO

Authors Dieter Fiems

Publication date 5 May 2025

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2024.107184

zbMATH Keywords

phase-type distributionrandom variate generationalias method

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Random number generation in numerical analysis (65C10)

Cites work

• A Review on Phase-type Distributions and their Use in Risk Theory
• A simple method for generating gamma variables
• Algorithms for generating random variables with a rational probability-generating function
• An Introduction to Queueing Theory and Matrix-Analytic Methods
• An analysis of the alias method for discrete random-variate generation
• Heuristic representation optimization for efficient generation of PH-distributed random variates
• Markov chains. Theory and applications
• Mersenne twister
• Phase-type distributions in population genetics
• Tables of 64-bit Mersenne twisters

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