Simulating multivariate nonhomogeneous Poisson processes using projections

Simulating multivariate nonhomogeneous Poisson processes using projections. Saltzman, E. A., Drew, J. H., Leemis, L. M., & Henderson, S. G. ACM Transactions on Modeling and Computer Simulation, 22(3):Article 15, 2012.

Paper abstract bibtex

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.

@article{saletal11,
	abstract = {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.},
	annote = {pubs/NHPPprojection.pdf},
	author = {Evan A. Saltzman and John H. Drew and Lawrence M. Leemis and Shane G. Henderson},
	date-added = {2016-01-10 16:07:54 +0000},
	date-modified = {2018-07-16 17:46:17 +0000},
	journal = {ACM Transactions on Modeling and Computer Simulation},
	number = {3},
	pages = {Article 15},
	title = {Simulating multivariate nonhomogeneous {P}oisson processes using projections},
	url_paper = {https://dl.acm.org/authorize?N654076},
	volume = {22},
	year = {2012}}

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