Spectral Polynomial Algorithms for Computing Bi-Diagonal Representations for Phase Type Distributions and Matrix-Exponential Distributions

Abstract

In this paper, we develop two spectral polynomial algorithms for computing bi-diagonal representations of matrix-exponential distributions and phase type (PH) distributions. The algorithms only use information about the spectrum of the original representation and, consequently, are efficient and easy to implement. For PH-representations with only real eigenvalues, some conditions are identified for the bi-diagonal representations to be ordered Coxian representations. It is shown that every PH-representation with a symmetric PH-generator has an equivalent ordered Coxian representation of the same or a smaller order. An upper bound of the PH-order of a PH-distribution with a triangular or symmetric PH-generator is obtained.