Phase-type distributions in stochastic automata networks

Ihab Sbeity 1 Leonardo Brenner 1, 2, * Brigitte Plateau 1 William J. Stewart
* Auteur correspondant
1 MESCAL - Middleware efficiently scalable
Inria Grenoble - Rhône-Alpes, LIG - Laboratoire d'Informatique de Grenoble
Abstract : Stochastic automata networks (Sans) are high-level formalisms for modeling very large and complex Markov chains in a compact and structured manner. To date, the exponential distribution has been the only distribution used to model the passage of time in the evolution of the different San components. In this paper we show how phase-type distributions may be incorporated into Sans thereby providing the wherewithal by which arbitrary distributions can be used which in turn leads to an improved ability for more accurately modeling numerous real phenomena. The approach we develop is to take a San model containing phase-type distributions and to translate it into another, stochastically equivalent, San model having only exponential distributions. In the San formalism, it is the events that are responsible for firing transitions and our procedure is to associate a stochastic automaton with each event having a phase-type distribution. This automaton models the distribution of time until the event occurs. In this way, the size of the elementary matrices remain small, because the size of the automata are small: the automata are either those of the original San, or are those associated with the phase-type events and are of size k, the number of phases in the representation of the distribution.
Type de document :
Article dans une revue
European Journal of Operational Research, Elsevier, 2008, 186 (3), pp.1008--1028. 〈10.1016/j.ejor.2007.02.019〉
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Contributeur : Arnaud Legrand <>
Soumis le : vendredi 28 février 2014 - 14:10:42
Dernière modification le : jeudi 11 janvier 2018 - 06:21:39

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Ihab Sbeity, Leonardo Brenner, Brigitte Plateau, William J. Stewart. Phase-type distributions in stochastic automata networks. European Journal of Operational Research, Elsevier, 2008, 186 (3), pp.1008--1028. 〈10.1016/j.ejor.2007.02.019〉. 〈hal-00953603〉

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