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2006
Springer

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

9 years 3 months ago
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
Takayuki Osogami, Mor Harchol-Balter
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2006
Where PE
Authors Takayuki Osogami, Mor Harchol-Balter
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