TY - JOUR
T1 - Graph-based algorithms for phase-type distributions
AU - Røikjer, Tobias
AU - Hobolth, Asger
AU - Munch, Kasper
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
PY - 2022/12
Y1 - 2022/12
N2 - Phase-type distributions model the time until absorption in continuous or discrete-time Markov chains on a finite state space. The multivariate phase-type distributions have diverse and important applications by modeling rewards accumulated at visited states. However, even moderately sized state spaces make the traditional matrix-based equations computationally infeasible. State spaces of phase-type distributions are often large but sparse, with only a few transitions from a state. This sparseness makes a graph-based representation of the phase-type distribution more natural and efficient than the traditional matrix-based representation. In this paper, we develop graph-based algorithms for analyzing phase-type distributions. In addition to algorithms for state space construction, reward transformation, and moments calculation, we give algorithms for the marginal distribution functions of multivariate phase-type distributions and for the state probability vector of the underlying Markov chains of both time-homogeneous and time-inhomogeneous phase-type distributions. The algorithms are available as a numerically stable and memory-efficient open source software package written in C named ptdalgorithms. This library exposes all methods in the programming languages C and R. We compare the running time of ptdalgorithms to the fastest tools using a traditional matrix-based formulation. This comparison includes the computation of the probability distribution, which is usually computed by exponentiation of the sub-intensity or sub-transition matrix. We also compare time spent calculating the moments of (multivariate) phase-type distributions usually defined by inversion of the same matrices. The numerical results of our graph-based and traditional matrix-based methods are identical, and our graph-based algorithms are often orders of magnitudes faster. Finally, we demonstrate with a classic problem from population genetics how ptdalgorithms serves as a much faster, simpler, and completely general modeling alternative.
AB - Phase-type distributions model the time until absorption in continuous or discrete-time Markov chains on a finite state space. The multivariate phase-type distributions have diverse and important applications by modeling rewards accumulated at visited states. However, even moderately sized state spaces make the traditional matrix-based equations computationally infeasible. State spaces of phase-type distributions are often large but sparse, with only a few transitions from a state. This sparseness makes a graph-based representation of the phase-type distribution more natural and efficient than the traditional matrix-based representation. In this paper, we develop graph-based algorithms for analyzing phase-type distributions. In addition to algorithms for state space construction, reward transformation, and moments calculation, we give algorithms for the marginal distribution functions of multivariate phase-type distributions and for the state probability vector of the underlying Markov chains of both time-homogeneous and time-inhomogeneous phase-type distributions. The algorithms are available as a numerically stable and memory-efficient open source software package written in C named ptdalgorithms. This library exposes all methods in the programming languages C and R. We compare the running time of ptdalgorithms to the fastest tools using a traditional matrix-based formulation. This comparison includes the computation of the probability distribution, which is usually computed by exponentiation of the sub-intensity or sub-transition matrix. We also compare time spent calculating the moments of (multivariate) phase-type distributions usually defined by inversion of the same matrices. The numerical results of our graph-based and traditional matrix-based methods are identical, and our graph-based algorithms are often orders of magnitudes faster. Finally, we demonstrate with a classic problem from population genetics how ptdalgorithms serves as a much faster, simpler, and completely general modeling alternative.
KW - Computational statistics
KW - Distribution
KW - Graph-based algorithms
KW - Moments
KW - Phase-type distributions
UR - http://www.scopus.com/inward/record.url?scp=85140988588&partnerID=8YFLogxK
U2 - 10.1007/s11222-022-10174-3
DO - 10.1007/s11222-022-10174-3
M3 - Journal article
AN - SCOPUS:85140988588
SN - 0960-3174
VL - 32
JO - Statistics and Computing
JF - Statistics and Computing
IS - 6
M1 - 103
ER -