DMCA
MULTIVARIATE ARRIVAL RATE ESTIMATION USING SEMIDEFINITE PROGRAMMING
by
S. Jain
,
R. R. Creasey
,
J. Himmelspach
,
K. P. White
,
M. Fu
,
Farid Alizadeh
BibTeX
@MISC{Jain_multivariatearrival,
author = {S. Jain and R. R. Creasey and J. Himmelspach and K. P. White and M. Fu and Farid Alizadeh},
title = {MULTIVARIATE ARRIVAL RATE ESTIMATION USING SEMIDEFINITE PROGRAMMING},
year = {}
}
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Abstract
An efficient method for the smooth estimation of the arrival rate of non-homogeneous, multi-dimensional Poisson processes from inexact arrivals is presented. The method provides a piecewise polynomial spline estimator. It is easily parallelized, and it exploits the sparsity of the neighborhood structure of the underlying spline space; as a result, it is very efficient and scalable. Numerical illustration is included. 1
