Closed form solutions for mapping general distributions to quasi-minimal PH distributions

Approximating general distributions by phase-type (PH) distributions is a popular technique in stochastic analysis, since the Markovian property of PH distributions often allows analytical tractability. This paper proposes an algorithm for mapping a general distribution, G, to a PH distribution, which matches the first three moments of G. Efficiency of our algorithm hinges on narrowing the search space to a particular subset of the PH distributions, which we refer to as Erlang

• Type: Journal
• Year: 2006
• Where: PE
• Authors: Takayuki Osogami, Mor Harchol-Balter
• Keywords: Ec Distribution, General Distribution, Optimization, PE 2006, Ph Distribution