Application of deterministic annealing EM algorithm to MAP/PH parameter estimation

作者：Okamura Hiroyuki^*; Kishikawa Hidenari; Dohi Tadashi

来源：Telecommunication Systems, 2013, 54(1): 79-90.

DOI：10.1007/s11235-013-9717-y

• Markovian arrival process
• Phase-type distribution
• EM algorithm
• DAEM algorithm

This paper proposes a variant of EM (expectation-maximization) algorithm for Markovian arrival process (MAP) and phase-type distribution (PH) parameter estimation. Especially, we derive the deterministic annealing EM (DAEM) algorithm for MAP/PH parameter estimation. The DAEM algorithm is one of the methods to overcome a local maxima problem associated with the conventional EM algorithm. This paper derives concrete E- and M-step formulas for MAP parameter estimation from inter-arrival time data and PH parameter estimation from point samples in the framework of DAEM algorithm. Numerical examples demonstrate the DAEM algorithm for Markov-modulated Poisson process (MMPP) and several classes of PH distribution.

• 出版日期2013-9