A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

DOI10.1287/OPRE.36.1.137zbMATH Open0655.65150OpenAlexW2006642748MaRDI QIDQ3802575FDOQ3802575

L. K. Platzman, Jane C. Ammons, John J. III Bartholdi

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1287/opre.36.1.137

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zbMATH Keywords

tail probabilitynumerical examplesNP-hard problem{\#}P-hardtransform inversion formula

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Algorithms in computer science (68W99)

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• Numerical Computation of the Moments of a Probability Distribution from its Transform
• An Efficient Algorithm for the Computation of the UTD $T$ Transition Function
• Approximation of Tail Probabilities Using theG_n-Transform
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• The Fourier-series method for inverting transforms of probability distributions
• Exact and approximate numerical solutions to steady-state single-server queues: \(M/G/1\) -- a unified approach
• A comparison of three random disciplines
• Performance analysis of an ISDN switch with distributed architecture: Circuit switched calls
• Stochastic models of space priority mechanisms with Markovian arrival processes
• Transient and busy period analysis of the GI/G/1 queue: The method of stages
• Queue length distributions from probability generating functions via discrete Fourier transforms
• A formula for tail probabilities of Cox distributions

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