Simulation of Nonhomogeneous Poisson Processes by Thinning

Abstract

A simple and relatively efficient method for simulating one- dimensional and two-dimensional nonhomogeneous Poisson processes is presented. The method is applicable for any rate function and is based on controlled deletion of points in a Poisson process whose rate function dominates the given rate function. In its simplest implementation, the method obviates the need for numerical integration of the rate function, for ordering of points, and for generation of Poisson variates.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1978
Accession Number
ADA059904

Entities

People

  • Gerald S. Shedler
  • Peter A. Lewis

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Data Science
  • Databases
  • Geometry
  • Information Science
  • Military Research
  • Numerical Integration
  • Operations Research
  • Order Statistics
  • Probability
  • Random Variables
  • Simulations
  • Statistical Analysis
  • Statistics
  • Systems Engineering
  • Two Dimensional

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.