# Phase-type distribution

Parameters |
subgenerator matrix , probability row vector |
---|---|

Support | |

See article for details | |

CDF | |

Mean | |

Median | no simple closed form |

Mode | no simple closed form |

Variance | |

MGF | |

CF |

A **phase-type distribution** is a probability distribution constructed by a convolution or mixture of exponential distributions.^{[1]} It results from a system of one or more inter-related Poisson processes occurring in sequence, or phases. The sequence in which each of the phases occur may itself be a stochastic process. The distribution can be represented by a random variable describing the time until absorption of a Markov process with one absorbing state. Each of the states of the Markov process represents one of the phases.

It has a discrete time equivalent the **discrete phase-type distribution**.

The set of phase-type distributions is dense in the field of all positive-valued distributions, that is, it can be used to approximate any positive-valued distribution.

## Contents

## Definition[edit]

Consider a continuous-time Markov process with *m* + 1 states, where *m* ≥ 1, such that the states 1,...,*m* are transient states and state 0 is an absorbing state. Further, let the process have an initial probability of starting in any of the *m* + 1 phases given by the probability vector (*α*_{0},**α**) where *α*_{0} is a scalar and **α** is a 1 × *m* vector.

The **continuous phase-type distribution** is the distribution of time from the above process's starting until absorption in the absorbing state.

This process can be written in the form of a transition rate matrix,

where *S* is an *m* × *m* matrix and **S**^{0} = –S**1**. Here **1** represents an *m* × 1 vector with every element being 1.

## Characterization[edit]

The distribution of time *X* until the process reaches the absorbing state is said to be phase-type distributed and is denoted PH(**α**,*S*).

The distribution function of *X* is given by,

and the density function,

for all *x* > 0, where exp( · ) is the matrix exponential. It is usually assumed the probability of process starting in the absorbing state is zero (i.e. α_{0}= 0). The moments of the distribution function are given by

The Laplace transform of the phase type distribution is given by

where **I** is the identity matrix.

## Special cases[edit]

The following probability distributions are all considered special cases of a continuous phase-type distribution:

- Degenerate distribution, point mass at zero or the
**empty phase-type distribution**- 0 phases. - Exponential distribution - 1 phase.
- Erlang distribution - 2 or more identical phases in sequence.
- Deterministic distribution (or constant) - The limiting case of an Erlang distribution, as the number of phases become infinite, while the time in each state becomes zero.
- Coxian distribution - 2 or more (not necessarily identical) phases in sequence, with a probability of transitioning to the terminating/absorbing state after each phase.
- Hyper-exponential distribution (also called a mixture of exponential) - 2 or more non-identical phases, that each have a probability of occurring in a mutually exclusive, or parallel, manner. (Note: The exponential distribution is the degenerate situation when all the parallel phases are identical.)
- Hypoexponential distribution - 2 or more phases in sequence, can be non-identical or a mixture of identical and non-identical phases, generalises the Erlang.

As the phase-type distribution is dense in the field of all positive-valued distributions, we can represent any positive valued distribution. However, the phase-type is a light-tailed or platykurtic distribution. So the representation of heavy-tailed or leptokurtic distribution by phase type is an approximation, even if the precision of the approximation can be as good as we want.

## Examples[edit]

In all the following examples it is assumed that there is no probability mass at zero, that is α_{0} = 0.

### Exponential distribution[edit]

The simplest non-trivial example of a phase-type distribution is the exponential distribution of parameter λ. The parameter of the phase-type distribution are : * S* = -λ and

**α**= 1.

### Hyper-exponential or mixture of exponential distribution[edit]

The mixture of exponential or hyper-exponential distribution with λ_{1},λ_{2},...,λ_{n}>0 can be represented as a phase type distribution with

with and

This mixture of densities of exponential distributed random variables can be characterized through

or its cumulative distribution function

with

### Erlang distribution[edit]

The Erlang distribution has two parameters, the shape an integer *k* > 0 and the rate λ > 0. This is sometimes denoted *E*(*k*,λ). The Erlang distribution can be written in the form of a phase-type distribution by making *S* a *k*×*k* matrix with diagonal elements -λ and super-diagonal elements λ, with the probability of starting in state 1 equal to 1. For example, *E*(5,λ),

and

For a given number of phases, the Erlang distribution is the phase type distribution with smallest coefficient of variation.^{[2]}

The hypoexponential distribution is a generalisation of the Erlang distribution by having different rates for each transition (the non-homogeneous case).

### Mixture of Erlang distribution[edit]

The mixture of two Erlang distribution with parameter *E*(3,β_{1}), *E*(3,β_{2}) and (α_{1},α_{2}) (such that α_{1} + α_{2} = 1 and for each *i*, α_{i} ≥ 0) can be represented as a phase type distribution with

and

### Coxian distribution[edit]

The **Coxian distribution** is a generalisation of the hypoexponential distribution. Instead of only being able to enter the absorbing state from state *k* it can be reached from any phase. The phase-type representation is given by,

and

where 0 < *p*_{1},...,*p*_{k-1} ≤ 1. In the case where all *p*_{i} = 1 we have the hypoexponential distribution. The Coxian distribution is extremely important as any acyclic phase-type distribution has an equivalent Coxian representation.

The **generalised Coxian distribution** relaxes the condition that requires starting in the first phase.

## Properties[edit]

### Minima of Independent PH Random Variables[edit]

Similarly to the exponential distribution, the class of PH distributions is closed under minima of independent random variables. A description of this is here.

## Generating samples from phase-type distributed random variables[edit]

*BuTools* includes methods for generating samples from phase-type distributed random variables.^{[3]}

## Approximating other distributions[edit]

Any distribution can be arbitrarily well approximated by a phase type distribution.^{[4]}^{[5]} In practice, however, approximations can be poor when the size of the approximating process is fixed. Approximating a deterministic distribution of time 1 with 10 phases, each of average length 0.1 will have variance 0.1 (because the Erlang distribution has smallest variance^{[2]}).

*BuTools*a MATLAB and Mathematica script for fitting phase-type distributions to 3 specified moments*momentmatching*a MATLAB script to fit a minimal phase-type distribution to 3 specified moments^{[6]}

## Fitting a phase type distribution to data[edit]

Methods to fit a phase type distribution to data can be classified as maximum likelihood methods or moment matching methods.^{[7]} Fitting a phase type distribution to heavy-tailed distributions has been shown to be practical in some situations.^{[8]}

*PhFit*a C script for fitting discrete and continuous phase type distributions to data^{[9]}*EMpht*is a C script for fitting phase-type distributions to data or parametric distributions using an expectation–maximization algorithm.^{[10]}*HyperStar*was developed around the core idea of making phase-type fitting simple and user-friendly, in order to advance the use of phase-type distributions in a wide range of areas. It provides a graphical user interface and yields good fitting results with only little user interaction.^{[11]}*jPhase*is a Java library which can also compute metrics for queues using the fitted phase type distribution^{[12]}

## See also[edit]

- Discrete phase-type distribution
- Continuous-time Markov process
- Exponential distribution
- Hyper-exponential distribution
- Queueing theory

## References[edit]

**^**Harchol-Balter, M. (2012). "Real-World Workloads: High Variability and Heavy Tails".*Performance Modeling and Design of Computer Systems*. p. 347. doi:10.1017/CBO9781139226424.026. ISBN 9781139226424.- ^
^{a}^{b}Aldous, David; Shepp, Larry (1987). "The least variable phase type distribution is erlang" (PDF).*Stochastic Models*.**3**(3): 467. doi:10.1080/15326348708807067. **^**Horváth, G. B.; Reinecke, P.; Telek, M. S.; Wolter, K. (2012). "Efficient Generation of PH-Distributed Random Variates".*Analytical and Stochastic Modeling Techniques and Applications*. Lecture Notes in Computer Science.**7314**. p. 271. doi:10.1007/978-3-642-30782-9_19. ISBN 978-3-642-30781-2.**^**Bolch, Gunter; Greiner, Stefan; de Meer, Hermann; Trivedi, Kishor S. (1998). "Steady-State Solutions of Markov Chains".*Queueing Networks and Markov Chains*. pp. 103–151. doi:10.1002/0471200581.ch3. ISBN 0471193666.**^**Cox, D. R. (2008). "A use of complex probabilities in the theory of stochastic processes".*Mathematical Proceedings of the Cambridge Philosophical Society*.**51**(2): 313. doi:10.1017/S0305004100030231.**^**Osogami, T.; Harchol-Balter, M. (2006). "Closed form solutions for mapping general distributions to quasi-minimal PH distributions".*Performance Evaluation*.**63**(6): 524. doi:10.1016/j.peva.2005.06.002.**^**Lang, Andreas; Arthur, Jeffrey L. (1996). "Parameter approximation for Phase-Type distributions". In Chakravarthy, S.; Alfa, Attahiru S.*Matrix Analytic methods in Stochastic Models*. CRC Press. ISBN 0824797663.**^**Ramaswami, V.; Poole, D.; Ahn, S.; Byers, S.; Kaplan, A. (2005). "Ensuring Access to Emergency Services in the Presence of Long Internet Dial-Up Calls".*Interfaces*.**35**(5): 411. doi:10.1287/inte.1050.0155.**^**Horváth, András S.; Telek, Miklós S. (2002). "PhFit: A General Phase-Type Fitting Tool".*Computer Performance Evaluation: Modelling Techniques and Tools*. Lecture Notes in Computer Science.**2324**. p. 82. doi:10.1007/3-540-46029-2_5. ISBN 978-3-540-43539-6.**^**Asmussen, Søren; Nerman, Olle; Olsson, Marita (1996). "Fitting Phase-Type Distributions via the EM Algorithm".*Scandinavian Journal of Statistics*.**23**(4): 419–441. JSTOR 4616418.**^**Reinecke, P.; Krauß, T.; Wolter, K. (2012). "Cluster-based fitting of phase-type distributions to empirical data".*Computers & Mathematics with Applications*.**64**(12): 3840. doi:10.1016/j.camwa.2012.03.016.**^**Pérez, J. F.; Riaño, G. N. (2006). "jPhase: an object-oriented tool for modeling phase-type distributions".*Proceeding from the 2006 workshop on Tools for solving structured Markov chains (SMCtools '06)*(PDF). doi:10.1145/1190366.1190370. ISBN 1595935061.

- M. F. Neuts (1975), Probability distributions of phase type, In Liber Amicorum Prof. Emeritus H. Florin, Pages 173-206, University of Louvain.
- M. F. Neuts. Matrix-Geometric Solutions in Stochastic Models: an Algorithmic Approach, Chapter 2: Probability Distributions of Phase Type; Dover Publications Inc., 1981.
- G. Latouche, V. Ramaswami. Introduction to Matrix Analytic Methods in Stochastic Modelling, 1st edition. Chapter 2: PH Distributions; ASA SIAM, 1999.
- C. A. O'Cinneide (1990).
*Characterization of phase-type distributions*. Communications in Statistics: Stochastic Models,**6**(1), 1-57. - C. A. O'Cinneide (1999).
*Phase-type distribution: open problems and a few properties*, Communication in Statistic: Stochastic Models,**15**(4), 731-757.