1
A Novel Approach to Parameter Estimation in
Markov-modulated Poisson Processes
Larry N. Singh, G. R. Dattatreya
Department of Computer Science
The University of Texas at Dallas
Richardson, Texas 75083-0688
Phone: (972) 883-2189 Fax: (972) 883-2349
Email: {lns,datta}@utdallas.edu
Abstract— The Markov-modulated Poisson Process (MMPP)
is employed as a network traffic model in some applications.
In this model, if traffic from each node is a Poisson process,
the final sequence of service requirements is a hyperexponential
renewal process, a special case of MMPP. This paper solves the
estimation of parameters of such an MMPP as follows. Two
novel algorithms for estimating the parameters of the hyper-
exponential density are formulated. In the first algorithm of
the present paper, equations are developed for the M mixing
probabilities in terms of the component means of the hyper-
exponential density. This reduces the number of unknown pa-
rameters from 2M to M. An objective function is constructed as a
function of the unknown component means and an estimate of the
cumulative distribution function (cdf) of the hyper-exponential
density. The component means are obtained by minimizing this
objective function, using quasi-Newton techniques. The mixing
probabilities are then computed using these known means and
linear least squares analysis. In the second algorithm, an objective
function of the unknown component means, mixing probabilities,
and an estimate of the cdf is constructed. All the 2M parameters
are computed by minimizing this objective function, using quasi-
Newton techniques. The merits of each algorithm are discussed.
The algorithms developed are computationally efficient and easily
implemented. Simulation results presented here demonstrate that
both algorithms work well in practical situations.
I. I NTRODUCTION
The Markov-modulated Poisson Process (MMPP) is a dou-
bly stochastic Poisson process in which the current rate is
determined or modulated by a continuous-time Markov chain.
This process is a special case of the Markovian Arrival Process
or MAP (Trivedi [1]). There are a number of reasons for
the growth in popularity of the MMPP in certain Computer
Science applications, particularly in the area of computer
networks. In recent years, the volume of traffic on large-scaled
networks and across the Internet has increased tremendously,
necessitating serviceable statistical models for traffic flow and
analysis. Statistical models are required for the design of
underlying IP-based transport layer protocols, efficient data
gathering and evaluation, and statistical analysis of corre-
sponding random processes and variables (Markovitch and
Krieger [2]). The work of Leland et al [3] demonstrates that
classical Poisson-based methods are insufficient for large-scale
networks. Typical Poisson methods predict early fluctuations
in network traffic and hinge on the assumption that these
anomalies will smooth out over a long period of time. In
reality, these fluctuations occur over a wide range of time
scales generating high variability and self-similar behaviour.
Self-similar processes are structurally similar over a many
different time scales. This phenomenon leads to long range
dependencies in network traffic.
Ostensibly, an alternative to classical Poisson methods is
sought. To this end, long-tailed distributions have shown
much success. A distribution is a long-tailed distribution (also
referred to as a heavy-tailed distribution) if its ccdf decays
slower than exponentially, i.e. if
lim eαx F c(x) = ∞, (1)
x→∞
for all α > 0 (Feldmann and Whitt [4]). The complemen-
tary cumulative distribution function (ccdf) is defined as the
complement of the cumulative distribution function (cdf), as
follows
F c(x) = 1 − F (x), (2)
where F (x) is the cdf. Conversely, a distribution is a short-
tailed distribution if its ccdf decays exponentially, i.e. if
lim eαx F c (x) = 0, (3)
x→∞
for some α > 0. Of note is a special case of long-tailed
distributions called the power-tail distribution. A distribution
is said to be power-tail distribution if
F c x ∼ αx−β as x → ∞, (4)
where α and β are positive constants and the operator ∼ is
defined such that f(x) ∼ g(x) implies that
f(x)
lim = 1. (5)
x→∞ g(x)
Two common examples of long-tailed distributions that are
used widely in network performance analysis are the Pareto
and Weibull distributions. In addition, the Pareto distribution
is a power-tail distribution, however, the Weibull distribution
is not.
Recent studies have demonstrated that long-tailed distribu-
tions are aptly able to model many network characteristics.
For example, long-tailed distributions have been valuable
in modeling World Wide Web (WWW) traffic, since said

traffic often originates from heterogeneous sources [2]. Long-
tailed distributions have also been shown to be successful
in modeling file transfer protocol (FTP) connections and
intervals between connection requests [4]. As efficacious as
the long-tailed distribution has been in capturing the statis-
tical characteristics of large scale networks, there are some
deficiencies of this model. Most notably, long-tailed distri-
butions are generally very difficult to analyze. An example
is the task of analyzing the performance figures of the basic
M/G/1 queue which becomes quite involved if the service-time
distribution is Pareto. Furthermore, unlike many short-tailed
distributions, expressions for the Laplace transforms of long-
tailed distributions are quite complex. Laplace transforms are
generally useful for analyzing the distributions by numerical
transform inversion. Standard non-parametric estimators such
as the histogram, projections and kernel estimators are not
suitable for long-tailed distributions, mostly due to the fact
that long-tailed distributions do not have compact support.
Short-tailed distributions, on the other hand, do have compact
support. It is well known that kernel estimators suffer from
spurious noise appearing in the tail of the estimator (Silver-
man [5]). Markovitch and Krieger [2] have explored some
non-parametric procedures for estimating and approximating
long-tailed distributions. Two of these procedures include
transformation functions that map a long-tailed density into
a pdf with compact support, and polygrams. Polygrams are
histograms with variable bin widths.
Hyperexponential densities have exhibited much success in
approximating long-tailed distributions and for constructing
network performance models ([4] and [2]). Moreover, analysis
of hyperexponential densities is tractable and the Laplace
transforms are simple expressions. The MMPP is a relatively
simple model and is able to approximate network traffic
activity well without the accompanying analysis becoming
intractable (Fischer and Meier-Hellstern [6]). In addition, the
MMPP models arrival streams and bursty traffic more precisely
than other models (Bolch et al [7]). As a consequence, the
MMPP has been widely used to model network traffic and in
queuing theory. For instance, Heffes [8] demonstrates how the
MMPP may be utilized to model the statistical multiplexing
of a finite number of voice services and data. Muscariello
et al [9] show how the MMPP approximates the long-range
data characteristics (LRD) of Internet traffic traces. Scott [10]
discusses the application of the MMPP to web traffic model-
ing. Consider also, the following type of sensor network. Each
sensor transmits a sequence of bursts of data to a central server
for processing. Each burst may consist of several packets of
requests. Bursts from multiple nodes are merged resulting in
a single sequence of packets. An appropriate model for the
sequence of sensor node identifications (IDs) of the packets
in the merged sequence is a Markov chain. Service require-
ments for packets from each node is exponentially distributed,
with different nodes having different means. The sequence
of service requirements results in an MMPP. If traffic from
each node is a Poisson process, the final sequence of service
requirements is a hyperexponential renewal process, a special
case of an MMPP. Applications of the MMPP are not limited
to computer networks and may also be found in environmental,
2
medical, industrial and sociological research [10]. Indeed,
Onof et al [11] utilize the MMPP to study rainfall patterns. A
further exposition of the MMPP is found in [6].
A. Definition of the MMPP
The MMPP has a finite number, M , of states and operates as
a Poisson process with state-dependent rate λi where 1 ≤ i ≤
M . Define qij to be the transition rate from state i to state j,
and the M × M matrix Q to be the matrix with element qij at
row i and column j. The steady state probabilities are defined
as π = [π1, . . . , πM ]T and satisfies the matrix equation
πQ = 0. (6)
From this definition of the model, it is clear that the output
of the MMPP may be modeled as the outcome of a mixture
of exponential random variables with probability distribution
function (pdf)
M
X
f(x) = πi λi e−λi x . (7)
i=1
This mixture random distribution is commonly referred to
as the hyperexponential random distribution. Given N in-
dependent identically distributed (iid) samples of data, the
problem dealt with here is to estimate the parameters λ =
[λ1, . . . , λM ]T and π of the hyperexponential density. Thus,
all the parameters of the corresponding MMPP except for the
transition rates Q, may be determined from the hyperexpo-
nential density.
In much of the literature, it is assumed that the parameters
of the MMPP model are known, and so treatment of the
problem of parameter estimation is sparse [10]. However, there
have been some algorithms presented that tackle the task of
estimating these parameters. The majority of these algorithms
are based on maximum-likelihood (ML) techniques. Scott [10]
demonstrates a procedure wherein a MMPP may be expressed
as a hidden Markov model (HMM) and the corresponding pa-
rameters estimated using either the expectation-maximization
(EM) algorithm or by a rapidly mixing Markov chain Monte
Carlo (MCMC) algorithm. Meier-Hellstern [12] presents a
technique for estimating the parameters using the EM algo-
rithm in the special case wherein the number of states M is
two. These techniques that make use of the EM algorithm
inherently suffer from the problems associated with the EM
algorithm. It is well known that the EM algorithm has a
slow rate of convergence and may converge to values on the
boundary of the parameter space.
In this paper, we present two computationally efficient,
tractable and easily implemented algorithm for estimating
the parameters of a hyperexponential random distribution.
These techniques may be extended to estimate the transition
probabilities Q as well. The first algorithm — hereafter,
referred to as Algorithm 1 — is a two-step procedure. The
first step involves estimating the component means λ of the
hyperexponential distribution. The approach here is to develop
equations that express π in terms of λ. These expressions are
then substituted into an objective function which is a function
 3

of λ and an estimate for the cdf of the hyperexponential distri- provided that A is nonsingular. Matrix A is a Cauchy ma-
bution. Minimizing this objective function yields the required trix and hence, has certain nice properties (Boras [14]). For
estimates of λ. The second step estimates the steady state instance, the inverse of a Cauchy matrix can be represented
probabilities π given that the component means are known by as an explicit expression (Knuth [15]) and thus, B = A−1 is
making use of linear least squares analysis. To our knowledge, an M × M matrix with elements
there are no other similar techniques for parameter estimation Q 1
( λj + αk )( λ1k + αi)
of hyperexponential distributions. The second algorithm — k
bij =  , (11)
Algorithm 2 — estimates π and λ in one phase by minimizing
Q  Q
( λ1j + αi) ( λ1j − λ1k ) (αi − αk )
an objective function that is a function of π, λ and an estimate k k

for the cdf of the hyperexponential distribution. The relative

k6=j k6=i

merits of each algorithm are also compared and discussed.
Once the parameters of the hyperexponential density are ob-
tained, the algorithm developed by Dattatreya [13] is employed
to compute the transition probabilities of the MMPP.
B. Organization of paper
Algorithm 1 is developed in section II, along with the
required supporting expressions for the associated objective
function. Likewise, the corresponding objective function and
expressions for Algorithm 2 are constructed in III. Simulation
results and analysis are described in section IV. Finally,
section V concludes the paper.
at row i and column j, where 1 ≤ k ≤ M , λ1 6= λ2 6= . . . 6=
λM 6= 0 and α1 6= α2 6= . . . 6= αM . Clearly, each λi is distinct
by the assumption that the mixing proportions for each com-
ponent are all non-zero, and each αi is distinct by assumption.
Hence, A is clearly invertible. From equations (10) and (11)
the steady state probabilities may be expressed as
M
X
πi (λ) = bij aj . (12)
j=1
This gives a means of computing π if the component means
and expectations in equation (8) are provided.

II. A LGORITHM 1
B. Determination of λ
Most ML techniques for computing the parameters of
The expressions for the steady state probabilities developed
hyperexponential densities intrinsically require estimation of
in the previous section afford a means of reducing the number
2M parameters. Likewise, any optimization procedure that
of unknown variables to just M . In this section, an algorithm
uses or evaluates the hyperexponential density directly, also
to obtain these M component means is formulated by fitting
involves estimation of 2M parameters. In this section, equa-
a candidate cdf to the given exact cdf. The cdf of a hyperex-
tions expressing π in terms of λ and functions of the samples
ponential density is
of data are derived, thus reducing the number of dependent
unknown parameters to M . Making use of these equations, M
X
an objective function is formulated and the values of λ are F (x) = 1− πk e−λk x. (13)
calculated by minimizing this objective function. It is assumed k=1
that each mixing proportion is strictly positive, ensuring that
Let λ̃ = [λ̃1, . . . , λ̃M ]T and π̃(λ̃) = [π̃1(λ̃), . . . , π̃M (λ̃)]T
each component plays a role in influencing the resulting
be the current approximations for λ and π, respectively, in
pdf. Algorithm 1 essentially reduces the number of unknown
an iterative sequence of approximations for fitting the cdfs.
parameters by incorporating additional information from the
Define â to be the estimate of a from the samples of data.
samples of data.
Hence, an approximate or candidate cdf is given as
A. Expressions for π M
X
The Laplace transform of the hyperexponential densities F̃ (x, λ̃) = 1− π̃k (λ̃)e−λ̃k x . (14)
obtained at M distinct points gives tractable equations con- k=1

necting the transforms and unknown parameters. Define α = Notice that the only unknown in this candidate cdf is λ̃. The
[α1, . . . , αM ]T where each αi is a distinct, real, positive value. error of the fit of this candidate cdf at a single point x is
The Laplace transform of the pdf in equation (7) scaled by a defined to be
factor of α1i is  2
h1 M F (x) − F̃ (x, λ̃) . (15)
−X
i X 1
E e αi = πj (8)
αi 1
+ αi This result can be extended over the entire domain of x —
j=1 λj
i.e. the set of all real numbers greater than or equal to zero
Let A be the matrix with elements 1
1
+αi
at row i and (R+ )— to give the total error by integrating equation (15)
λj
column j. Also let a = [a1 , . . ., aM ] be the vector of
T for all x ∈ R+ . Unfortunately, this integral does not furnish a
−X
expectations where ai = E[ α1i e αi ]. Therefore, in matrix simple, tractable expression for the total error. Thus in practice,
notation, equation (8) is the integral would have to be numerically evaluated which is a
somewhat expensive task. Realize that for practical purposes,
Aπ = a and (9) the entire domain of R+ need not be considered. A viable
π = A −1
a, (10) approximation of the total error may be obtained by computing
 4

the error at a finite number of points, m, over the region of cdf is defined as,
interest and summing up the error as follows
0,

 x < y1
m 
 i−1 ,

x = yi
n−1
(20)
2
X F̂ (x) = x−yi
d(λ̃) = F (x) − F̃ (xk , λ̃) dx. (16) i−1
+ (yi+1 −yi )(n−1) , y i < x < yi+1
 n−1


k=1 1, x > yn .

Observe that d(λ̃) ≥ 0 for all λ̃i > 0 and 1 ≤ i ≤ M .
Therefore, d(λ̃) is bounded from below and has a global
minimizer. Moreover, this minimum is known to be zero
and for an ideal candidate cdf, d(λ̃) = 0. Obviously a
better approximation of the total error is obtained if m is
made large, however, a lower bound on m is desirable. The
family of hyperexponential densities is identifiable (Yakowitz
and Spragins [16]), and hence, by [17], a minimum of M
data points {x1, . . . , xM } are required in order for a set
of parameters to uniquely determine this data. Therefore, in
theory it is necessary that m ≥ M .
The component means are obtained by minimizing (16) with
respect to λ̃. It is worth noticing that the objective function
in question is not a convex function of λ̃ in general. There-
fore, Newton methods for minimization cannot be directly
applied. Nonetheless, the problem of finding λ̃ is posed as
a constrained nonlinear optimization problem. The first set of
constraints ensure that λk > 0 for all 1 ≤ k ≤ M . The
second set are as a result of ensuring that π are valid, non-
zero probabilities, i.e.
M
X advantage of using the estimate of the cdf for function-fitting.
πk (λ̃) = 1 and
k=1
0 < πk (λ̃) < 1 for all 1 ≤ k ≤ M.
C. Estimation of λ from statistical data
In order to minimize the objective function developed,
there are several quantities that need to be estimated from
the samples of data. In this section, estimators for these
quantities are devised. Given n samples of data {x1, . . . , xn},
and assumed distinct constants α, an estimator for ai is
n 1≤i≤S
1 X −αi xk
âi = e . (19)
n
k=1
The equations derived previously implicitly assume that the
cdf F (x) is exact and available. Of course this is not the
case, and an estimate for the cdf must be obtained from the
samples of data. The cdf is a good choice for function-fitting
and estimation in general for the hyperexponential density for
a number of reasons. First, the cdf is a smooth, monotonically
increasing function. Second, the cdf can be estimated easily
and accurately from a finite number of samples of data. Third,
given the chosen implementation for the cdf, a lookup for a
value runs in O(log n) time which is quite fast. A piecewise
continuous estimate of the cdf is obtained as follows. Sort
the observations of data {x1, . . ., xn} to produce the values
{y1 , . . . , yn} such that y1 ≤ y2 ≤ . . . ≤ yn and {y1 , . . . , yn}
is a permutation of {x1, . . . , xn}. Hence, the estimate of the
Define λ̂ as the estimates of λ and substitute equation (20)
into (16) giving the new objective function
m  2
X
d̂(λ̂) = F̂ (xk ) − F̃ (xk , λ̂) . (21)
k=1
Minimizing this objective function produces the estimates λ̂.
D. Estimation of π from statistical data
In the preceding section, a method was developed for deter-
mining estimates of λ given an estimate for the cdf. A naive
approach to attaining values for π is to exploit equation (12).
However, due to the nature of the hyperexponential density and
the equations involved, the values for the vector a cannot be
estimated accurately enough from data for computing π. The
values attained for π from equation (12) are very sensitive to
the values derived for λ̃. This means that small inaccuracies
in λ̃ translate into large errors in π. This is mainly due to
the inability of â to estimate a with sufficient accuracy. In
contrast, the estimate for the cdf F̂ (x) from cdf provides a very
accurate representation of the exact cdf. This is yet another
(17)
The cdf of the hyperexponential density is linear in π. In
addition, the estimated cdf can be expressed in terms of the
(18)
estimates for λ̂ and the unknown parameters π as follows,
M
X
π̂k e−λ̂k x = 1 − F̂ (x), (22)
k=1
for all 0 < x < ∞. Let z = {z1, . . . , zS } be an arbitrary set
of positive, real constants such that
inf zi = inf xj and (23)
1≤i≤S 1≤j≤M
sup zi = sup xj . (24)
1≤j≤M
Define F̂(z) = [F̂ (z1 ), . . . , F̂ (zS )]T and π̂ = [π̂1, . . . , π̂M ]T .
Let Ĉ be the S × M matrix with Ĉij = e−λ̂j zi being the
element at the ith row and j th column. From these definitions,
equation (22) can be written using matrix notation as
Ĉπ̂ = 1 − F̂(z), (25)
leading to the following theorem.
Theorem 1: Equation (25) has a unique solution for the
mixing proportions, given that the component means are
known.
Proof: Equation (25) can be solved using linear least
squares regression analysis, and is also a convex function.
Therefore, this function has a global minimizer and has a
unique solution for π.
From this theorem, π̃ is obtained by solving equation (25)
using linear least squares regression analysis.

E. Summary of Algorithm 1
The following presents a summary of Algorithm 1, for
obtaining estimates of the parameters for the hyperexponential
density, given n samples of data.
1) Choose values for α such that each αi is distinct and
positive.
2) Obtain an initial estimate for λ̂.
3) Compute â using α and the samples of data.
4) Minimize d̂(λ̂) to obtain a new estimate for λ̂.
5) Using the new estimate of λ̂, compute C and using
linear least squares regression, obtain an estimate for
π.
III. A LGORITHM 2
The second algorithm developed is similar to Algorithm 1
of the previous section. The essential difference in Algorithm
2 is that 2M parameters are estimated from the developed
objective function. In the following subsection, the required
objective function is developed.
A. Development of the objective function
As in the previous section, an approximate cdf is constructed
as follows
M the estimates of γ and introduce the new objective function
X
F̃ (x, λ̃, π̃) = 1− π̃k e−λ̃k x . (26)
k=1
Notice that this cdf has three arguments as opposed to two, and
that π̃ is no longer described as a function of λ̃. Following,
the procedure of the previous section, the error of fit of this
candidate function is expressed as
(F (x) − F̃ (x, λ̃, π̃))2 . (27)
Similarly, the approximate total error of the fit is denoted
m  2
X
d(λ̃, π̃) = F (x) − F̃ (xk , λ̃, π̃) dx, (28)
k=1
where m ≥ M . The function d(λ̂, π̂) has similar properties
as d(λ̂), in that d(λ̂, π̂) ≥ 0 for all λ̂i > 0 and 1 ≤ i ≤
M . Hence, d(λ̂, π̂) is also bounded below and has a global
minimizer.
The required parameters are obtained by minimizing the
objective function in equation (28). As in the previous section,
this is a constrained nonlinear optimization problem. The
constraints are the same, i.e. that the component means are
positive and that the mixing proportions are valid probabilities.
The latter constraint can, however, be relaxed by introducing
the softmax function (Bishop [18]). Let γ = {γ1 , . . . , γM } be
a vector of real constants, and hence,
e γi
πi(γ) = PM , (29)
γj
j=1 e
for all 1 ≤ i ≤ M . The number of free parameters can be
further reduced to 2M − 1 by fixing one the γi to an arbitrary
constant. For instance, let γM = 0, and now the values for
the remaining γi will be translated appropriately. Using this
definition for πi ensures that the constraints of the mixing
5
3
actual pdf
algorithm 1/2 pdf
em pdf
2.5
2
f(x)
1.5
1
0.5
0
0 0.5 1 1.5 2 2.5 3 3.5 4
x
Fig. 1. Sample plot of pdf generated from Algorithm 1 using 100 samples
of data and after 10-20 iterations.
proportions are met. Thus, the only applicable constraint is that
λi > 0, for all 1 ≤ i ≤ M . Observe that the hyperexponential
cdf is strictly monotonic, and thus, the value of the objective
function will be large if any λi becomes negative. Therefore,
the constraint that λi > 0 is implicitly enforced and we have
an unconstrained nonlinear optimization problem. Let γ̂ be
defined as
Xm  2
d̂u(λ̂, γ̂) = F̂ (x) − F̂ (xk , λ̂, π̂(γ̂)) dx, (30)
k=1
It is worth noticing that (30) is not a convex function of λ̂
and γ̂, so the Newton method for optimization cannot be
applied. Instead, the minimization should be performed using
either quasi-Newton methods with the BFGS update method
and inexact line searches, or using the Levenberg-Marquardt
method for nonlinear regression analysis [19].
For Algorithm 2, the only quantity that needs to be esti-
mated is the cdf. The approach for estimating the cdf is the
same in both algorithms 1 and 2. In the next subsection, a
summary of the algorithm is presented.
B. Summary of Algorithm 2
The following presents a summary of of Algorithm 2.
Estimates of the parameters of the hyperexponential density
are obtained, given n samples of data.
1) Obtain an initial estimate for λ̂ and π̂.
2) Minimize d̂u(λ̂, γ̂) to give new estimates for λ̂ and π̂.
IV. S UMMARY OF S IMULATION E XPERIMENTS AND
R ESULTS
The algorithms discussed in the previous sections were
implemented and tested through simulation using different
values for M , λ and π. A subset of the simulation trials is
discussed here. Both algorithms were tested on a four compo-
nent hyperexponential density using synthetically generated iid
mixture samples. In addition, results of both algorithms were
compared to the basic implementation of the EM algorithm.

Evaluation of the objective function d̂(λ̂) was performed
by evaluating the approximate total error for equally spaced
points over a meaningful domain. In Algorithm 1, the first
phase of estimating λ̂ is accomplished through the use of
quasi-Newton methods with the BFGS method for Hessian
update and safeguarded mixed quadratic and cubic polynomial
interpolation and extrapolation method for line searches. The
implementation chosen is the fminunc MATLAB function [20].
For the second phase of Algorithm 2, constrained linear
regression was performed using SQP methods and specifically
the lsqlin MATLAB function.
Sample results of the three algorithms are given in figure 1.
The pdf’s generated by both Algorithm 1 and 2 were very
similar, so only one plot is shown. Each figure compares
the generated pdf of the corresponding algorithm to the
actual pdf. Synthetic data having the following characteristics
was generated and used for each of the algorithms λ =
[1.0, 2.0, 3.0, 4.0] and P = [0.28, 0.14, 0.38, 0.2]. For each
algorithm, starting points for λ̂ were chosen randomly in the
range [0.5, 4.5]. Algorithm 1 was executed using 100 data
samples, and terminated after 10 − 20 iterations for all the
simulation runs. Algorithm 2 was executed using 1000 data
samples and terminated after a maximum of 100 iterations.
The EM algorithm was performed on 1000 data samples and
terminated after 250 iterations. From the simulation results, it
is evident that algorithms 1 and 2 produce similar quality of
results. Our results for the basic EM algorithm are not very
accurate unless the starting point is quite close to the solutions.
Algorithm 1 appears to be superior to algorithm 2 since it uses
much less data — 10% of Algorithm 2 — and terminates in
far less iterations — 10%-20% of the iterations required for
Algorithm 2.
Since Algorithm 1 has M unknown parameters, versus 2M
parameters in Algorithm 2, it is expected that that more solu-
tions that are minimums of the corresponding object function
will exist. This explains why more data samples are required in
Algorithm 2 for a sufficiently accurate solution. Realize also
that the computations for Algorithm 1 are somewhat more
complex than those of Algorithm 2, and there are two distinct
steps versus one in Algorithm 1 as opposed to Algorithm 2.
So the iterations of Algorithm 1 are slightly more expensive in
terms of computation time than those of Algorithm 2. There
is no simulation evidence to suggest that there are operating
regions in which one algorithm is superior to the other, given
the current approaches taken for optimization. The general
manifestation is that Algorithm 1 is better than algorithm 2 in
terms of computation expense and accuracy of solution, given
that all input parameters to both algorithms are identical.
V. C ONCLUSION
The major contributions presented here are algorithms for
computing the parameters of a hyperexponential density. Our
algorithms are easily implemented yet computationally very
efficient. There are numerous potential applications of this
algorithm particularly in the areas of network traffic modeling
and queuing theory. In addition, evidence is presented to
suggest that the algorithms presented are superior to the
6
EM algorithm in terms of robustness and computation speed.
Algorithm 1 appears to be superior to Algorithm 1 in terms
of computation speed and number of data samples that are
required. However, Algorithm 2 is somewhat conceptually
simpler to implement and execute. Nevertheless, both algo-
rithms are efficient and easily implemented using standard
tools of numerical optimization. In addition, simulation results
indicate that both of the algorithms give remarkably accurate
estimates of the hyperexponential pdf.
There are possible areas for improvement of the algorithm
presented here under certain conditions. The use of simulated
annealing may overcome the need for initial estimates for the
component means, and may also allow for obtaining a global
minimum to the objective function. Boras [14] demonstrates
techniques for improving on the numerical precision of the
task of finding the inverse of a Cauchy matrix. These tech-
niques may improve the accuracy and quality of the estimates.
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