Computing Poisson probabilities
TL;DR: The proposed algorithm speeds generation of truncated Poisson variates and the computation of expected terminal reward in continuous-time, uniformizable Markov chains and can be used to evaluate formulas involving Poisson probabilities.
Abstract: We propose an algorithm to compute the set of individual (nonnegligible) Poisson probabilities, rigorously bound truncation error, and guarantee no overflow or underflow. Work and space requirements are modest, both proportional to the square root of the Poisson parameter. Our algorithm appears numerically stable. We know no other algorithm with all these (good) features. Our algorithm speeds generation of truncated Poisson variates and the computation of expected terminal reward in continuous-time, uniformizable Markov chains. More generally, our algorithm can be used to evaluate formulas involving Poisson probabilities.
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01 May 1975
TL;DR: The Fundamentals of Queueing Theory, Fourth Edition as discussed by the authors provides a comprehensive overview of simple and more advanced queuing models, with a self-contained presentation of key concepts and formulae.
Abstract: Praise for the Third Edition: "This is one of the best books available. Its excellent organizational structure allows quick reference to specific models and its clear presentation . . . solidifies the understanding of the concepts being presented."IIE Transactions on Operations EngineeringThoroughly revised and expanded to reflect the latest developments in the field, Fundamentals of Queueing Theory, Fourth Edition continues to present the basic statistical principles that are necessary to analyze the probabilistic nature of queues. Rather than presenting a narrow focus on the subject, this update illustrates the wide-reaching, fundamental concepts in queueing theory and its applications to diverse areas such as computer science, engineering, business, and operations research.This update takes a numerical approach to understanding and making probable estimations relating to queues, with a comprehensive outline of simple and more advanced queueing models. Newly featured topics of the Fourth Edition include:Retrial queuesApproximations for queueing networksNumerical inversion of transformsDetermining the appropriate number of servers to balance quality and cost of serviceEach chapter provides a self-contained presentation of key concepts and formulae, allowing readers to work with each section independently, while a summary table at the end of the book outlines the types of queues that have been discussed and their results. In addition, two new appendices have been added, discussing transforms and generating functions as well as the fundamentals of differential and difference equations. New examples are now included along with problems that incorporate QtsPlus software, which is freely available via the book's related Web site.With its accessible style and wealth of real-world examples, Fundamentals of Queueing Theory, Fourth Edition is an ideal book for courses on queueing theory at the upper-undergraduate and graduate levels. It is also a valuable resource for researchers and practitioners who analyze congestion in the fields of telecommunications, transportation, aviation, and management science.
2,562 citations
TL;DR: The problem of model-checking time-bounded until properties can be reduced to the problem of computing transient state probabilities for CTMCs and a variant of lumping equivalence (bisimulation) preserves the validity of all formulas in the logic.
Abstract: Continuous-time Markov chains (CTMCs) have been widely used to determine system performance and dependability characteristics. Their analysis most often concerns the computation of steady-state and transient-state probabilities. This paper introduces a branching temporal logic for expressing real-time probabilistic properties on CTMCs and presents approximate model checking algorithms for this logic. The logic, an extension of the continuous stochastic logic CSL of Aziz et al. (1995, 2000), contains a time-bounded until operator to express probabilistic timing properties over paths as well as an operator to express steady-state probabilities. We show that the model checking problem for this logic reduces to a system of linear equations (for unbounded until and the steady-state operator) and a Volterra integral equation system (for time-bounded until). We then show that the problem of model-checking time-bounded until properties can be reduced to the problem of computing transient state probabilities for CTMCs. This allows the verification of probabilistic timing properties by efficient techniques for transient analysis for CTMCs such as uniformization. Finally, we show that a variant of lumping equivalence (bisimulation), a well-known notion for aggregating CTMCs, preserves the validity of all formulas in the logic.
802 citations
Additional excerpts
...the Fox-Glynn algorithm [35]....
[...]
28 May 2007
TL;DR: This tutorial presents an overview of model checking for both discrete and continuous-time Markov chains (DTMCs and CTMCs) by outlining the main features supported by PRISM and three real-world case studies: a probabilistic security protocol, dynamic power management and a biological pathway.
Abstract: This tutorial presents an overview of model checking for both discrete and continuous-time Markov chains (DTMCs and CTMCs). Model checking algorithms are given for verifying DTMCs and CTMCs against specifications written in probabilistic extensions of temporal logic, including quantitative properties with rewards. Example properties include the probability that a fault occurs and the expected number of faults in a given time period. We also describe the practical application of stochastic model checking with the probabilistic model checker PRISM by outlining the main features supported by PRISM and three real-world case studies: a probabilistic security protocol, dynamic power management and a biological pathway.
630 citations
Book•
27 Feb 2009
TL;DR: The Monte Carlo method has been used in many applications, e.g., for algebra, beyond numerical integration, this article, and for error and variance analysis for Halton sequences.
Abstract: The Monte Carlo method.- Sampling from known distributions.- Pseudorandom number generators.- Variance reduction techniques.- Quasi-Monte Carlo constructions.- Using quasi-Monte Carlo constructions.- Using quasi-Monte Carlo in practice.- Financial applications.- Beyond numerical integration.- Review of algebra.- Error and variance analysis for Halton sequences.- References.- Index.
517 citations
Cites background from "Computing Poisson probabilities"
...Inversion can be used to do that, and specific aspects of this task are discussed in [129]....
[...]
TL;DR: The numerical evaluation of Markov model transient behavior is considered, with a focus on the general problem of finding the state probability vector of a large, continuous-time, discrete-state Markov chain.
324 citations
References
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46,339 citations
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11,456 citations
Book•
01 Jan 1974
TL;DR: The Fundamentals of Queueing Theory, Fourth Edition as discussed by the authors provides a comprehensive overview of simple and more advanced queuing models, with a self-contained presentation of key concepts and formulae.
Abstract: Praise for the Third Edition: "This is one of the best books available. Its excellent organizational structure allows quick reference to specific models and its clear presentation . . . solidifies the understanding of the concepts being presented."IIE Transactions on Operations EngineeringThoroughly revised and expanded to reflect the latest developments in the field, Fundamentals of Queueing Theory, Fourth Edition continues to present the basic statistical principles that are necessary to analyze the probabilistic nature of queues. Rather than presenting a narrow focus on the subject, this update illustrates the wide-reaching, fundamental concepts in queueing theory and its applications to diverse areas such as computer science, engineering, business, and operations research.This update takes a numerical approach to understanding and making probable estimations relating to queues, with a comprehensive outline of simple and more advanced queueing models. Newly featured topics of the Fourth Edition include:Retrial queuesApproximations for queueing networksNumerical inversion of transformsDetermining the appropriate number of servers to balance quality and cost of serviceEach chapter provides a self-contained presentation of key concepts and formulae, allowing readers to work with each section independently, while a summary table at the end of the book outlines the types of queues that have been discussed and their results. In addition, two new appendices have been added, discussing transforms and generating functions as well as the fundamentals of differential and difference equations. New examples are now included along with problems that incorporate QtsPlus software, which is freely available via the book's related Web site.With its accessible style and wealth of real-world examples, Fundamentals of Queueing Theory, Fourth Edition is an ideal book for courses on queueing theory at the upper-undergraduate and graduate levels. It is also a valuable resource for researchers and practitioners who analyze congestion in the fields of telecommunications, transportation, aviation, and management science.
3,059 citations