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PH-invariant polytopes and coxian representations of phase type distributions
He, Qi-Ming; Zhang, Hanqin
AbstractIn this paper, we study the relationship between phase type (PH) distributions, PH-invariant polytopes, and Coxian representations of PH-distributions. Explicit links are established between vectors in PH-invariant polytopes, PH-representations, and probability measures. A method is developed for the construction of PH-invariant polytopes associated with ordered Coxian representations. The relationship between PH-invariant polytopes and spectral polynomial algorithms is explored as well. Furthermore, a generic algorithm for computing bidiagonal PH-representations of PH-distributions is developed. Numerical examples are provided to gain insight into the problems of interest.
Keywordaggregated Markov chain Coxian distribution Jordan canonical form matrix analytic methods PH-distribution polytope
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000239606500002
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Document Type期刊论文
Corresponding AuthorHe, Qi-Ming
Affiliation1.Dalhousie Univ, Dept Ind Engn, Halifax, NS B3J 2X4, Canada
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
He, Qi-Ming,Zhang, Hanqin. PH-invariant polytopes and coxian representations of phase type distributions[J]. STOCHASTIC MODELS,2006,22(3):383-409.
APA He, Qi-Ming,&Zhang, Hanqin.(2006).PH-invariant polytopes and coxian representations of phase type distributions.STOCHASTIC MODELS,22(3),383-409.
MLA He, Qi-Ming,et al."PH-invariant polytopes and coxian representations of phase type distributions".STOCHASTIC MODELS 22.3(2006):383-409.
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