Minimax approximation to lognormal sum distributions

Abstract

Sums of lognormal random variables occur in many problems in wireless communications because signal shadowing is well modelled by the lognormal distribution. The lognormal sum distribution is not known in closed-form and is difficult to compute numerically. Several approximations to the distribution have been proposed and employed in applications. Some widely used approximations are based on the assumption that a lognormal sum is well approximated by a lognormal random variable. Here, a new paradigm for approximating lognormal sum distributions is presented. A linearizing transform is used with a linear minimax approximation to determine an optimal lognormal approximation to a lognormal sum distribution. The accuracies of the new method are quantitatively compared to the accuracies of some well-known approximations. In some practical cases, the normal lognormal approximation is several orders of magnitude more accurate than previous approximations. Efficient numerical computation of the lognormal characteristic function is considered.