Numerical methods for realizing nonstationary Poisson processes with piecewise-constant instantaneous-rate functions

Steven Harrod, W. David Kelton

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    Nonstationary Poisson processes are appropriate in many applications, including disease studies, transportation, finance, and social policy. The authors review the risks of ignoring nonstationarity in Poisson processes and demonstrate three algorithms for generation of Poisson processes with piecewise-constant instantaneous rate functions, a capability that has been implemented in commercial simulation software. They test these algorithms in C programs and make comparisons of accuracy, speed, and variability across disparate rate functions and microprocessor architectures. Choice of optimal algorithm could not be predicted without knowledge of microprocessor architecture.
    Original languageEnglish
    JournalSimulation
    Volume82
    Issue number3
    Pages (from-to)147-157
    ISSN0037-5497
    DOIs
    Publication statusPublished - 2006

    Keywords

    • Computer Science Applications
    • Computational Theory and Mathematics
    • Computer Graphics and Computer-Aided Design
    • Software
    • Safety, Risk, Reliability and Quality
    • Nonhomogeneous poisson process
    • Nonstationary poisson process
    • Poisson process realization
    • Realization generation
    • Simulation
    • Algorithms
    • C (programming language)
    • Computer simulation
    • Computer software
    • Numerical methods
    • T
    • COMPUTER
    • CUMULATIVE INTENSITY FUNCTION
    • NONPARAMETRIC-ESTIMATION
    • nonstationary Poisson process
    • nonhomogeneous Poisson process
    • simulation
    • realization generation
    • Nonstationary Poisson process

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