Computing the Phase-Type Renewal and Related Functions
作者:
EdwardP. C. Kao,
期刊:
Technometrics
(Taylor Available online 1988)
卷期:
Volume 30,
issue 1
页码: 87-93
ISSN:0040-1706
年代: 1988
DOI:10.1080/00401706.1988.10488326
出版商: Taylor & Francis Group
关键词: Markov chain;Renewal function;Numerical analysis
数据来源: Taylor
摘要:
This article presents a procedure for computing the renewal function, the renewal density, the integral of the renewal function, and the variance function of phase-type renewal processes. The procedure hinges on the computation of the state probability vector of a continuous-time Markov chain. This is accomplished by using a randomization approach that is simple, efficient, and numerically stable and does not require numerical integration. I discuss approximating arbitrary interrenewal distributions by phase-type distributions so that the procedure can be used to approximate renewal and related functions.
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