High order concentrated matrix-exponential distributions

DOI10.1080/15326349.2019.1702058MaRDI QIDQ3295894zbMATH OpenOpenAlexWikidataFDO

Authors Gábor Horváth, Illés Horváth, Miklós Telek

Publication date 3 July 2020

Published in Stochastic Models (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/15326349.2019.1702058

zbMATH Keywords

coefficient of variationmatrix-exponential distributionsnon-negative matrix-exponential functionsnumerical optimization

Mathematics Subject Classification ID

Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Probability distributions: general theory (60E05)

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Cites work

• scientific article; zbMATH DE number 967329 (Why is no real title available?)
• The least variable phase type distribution is erlang

Cited in

(14)

• Concentrated matrix Langevin distributions
• Constructing matrix exponential distributions by moments and behavior around zero
• Steady-state and first passage time distributions for waiting times in the MAP/M/s+G queueing model with generally distributed patience times
• Numerical inverse Laplace transformation beyond the Abate-Whitt framework
• From PH/MAP to ME/RAP
• The two-matrix problem
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• Matrix-Exponential Distributions in Applied Probability
• scientific article; zbMATH DE number 5994809 (Why is no real title available?)
• On matrix exponential distributions
• Enhanced optimization of high order concentrated matrix-exponential distributions
• Transient analysis of Markov modulated processes with Erlangization, ME-fication and inverse Laplace transformation
• Concentrated matrix exponential distributions with real eigenvalues
• Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures

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• CMA-ES

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