Generating Homogeneous Poisson Processes
Published Online: 14 JAN 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Pasupathy, R. 2011. Generating Homogeneous Poisson Processes. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 14 JAN 2011
We present an overview of existing methods to generate pseudorandom numbers from a nonhomogeneous Poisson process. We start with various definitions of the nonhomogeneous Poisson process, present theoretical results (sometimes with a proof) that form the basis of existing generation algorithms, and provide algorithm listings. Whenever available, we also provide links to sources containing computer codes. With the intent of guiding users seeking an appropriate algorithm for a given setting, we emphasize computationally burdensome operations within each algorithm. Our treatment includes both one-dimensional and two-dimensional Poisson processes.
- random process generation;
- Poisson processes