Efficient Computation of Probabilities of Events Described by Order Statistics and Application to a Problem of Queues
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OR-249-91.pdf
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476.07 KB
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Adobe PDF
Checksum (MD5)
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Author(s)
Jones, Lee K.
Larson, Richard C., 1943-
Date Issued
May 1991
Publisher
Massachusetts Institute of Technology, Operations Research Center
Series/Report no.
Operations Research Center Working Paper;OR 249-91
Abstract
Consider a set of N i.i.d. random variables in [0, 1]. When the experimental values of the random variables are arranged in ascending order from smallest to largest, one has the order statistics of the set of random variables. In this note an O(N3) algorithm is developed for computing the probability that the order statistics vector lies in a given rectangle. The new algorithm is then applied to a problem of statistical inference in queues. Illustrative computational results are included.
Subjects
Order statistics, queues, statistical inference, queue inference engine.
MIT Department
Massachusetts Institute of Technology. Operations Research Center
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