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Title: Algorithms for coxianization of phase-type generators
Authors: He, Q.-M.
Zhang, H. 
Xue, J.
Keywords: Coxian distribution
Matrix-analytic methods
Phase-type distribution
Probability distribution
Issue Date: 2011
Citation: He, Q.-M., Zhang, H., Xue, J. (2011). Algorithms for coxianization of phase-type generators. INFORMS Journal on Computing 23 (1) : 153-164. ScholarBank@NUS Repository.
Abstract: This paper develops algorithms for finding Coxian generators to phase-type (PH)-majorize a PH-generator T with only real eigenvalues. In the first part of this paper, we investigate matrices S and P satisfying TP = PS and Pe = e. Conditions on T are identified for S to be an ordered Coxian generator and for P to be nonnegative, which consequently implies that S PH-majorizes T . It is shown that every PH-generator with only real eigenvalues is PH-majorized by some Coxian generator. In the second part of this paper, the results on S and P and the conditions on T are used to develop efficient algorithms for Coxianization of PH-generators. Numerical examples are presented for a comparison between the developed algorithms. © 2011 INFORMS.
Source Title: INFORMS Journal on Computing
ISSN: 10919856
DOI: 10.1287/ijoc.1100.0383
Appears in Collections:Staff Publications

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