Simulating Multivariate Nonhomogeneous Poisson Processes Using Projections

✍ Scribed by Saltzman, Evan A.; Drew, John H.; Leemis, Lawrence M.; Henderson, Shane G.

• Book ID: 121675331
• Publisher: Association for Computing Machinery
• Year: 2012
• Tongue: English
• Weight: 190 KB
• Volume: 22
• Category: Article
• ISSN: 1049-3301
• DOI: 10.1145/2331140.2331143

✦ Synopsis

Established techniques for generating an instance of a multivariate NonHomogeneous Poisson Process (NHPP) such as thinning can become highly inefficient as the dimensionality of the process is increased, particularly if the defining intensity (or rate) function has a pronounced peak. To overcome this inefficiency, we propose an alternative approach where one first generates a projection of the NHPP onto a lower-dimensional space, and then extends the generated points to points in the original space by generating from appropriate conditional distributions. One version of this algorithm replaces a high-dimensional problem with a series of one-dimensional problems. Several examples are presented.