IDEAS home Printed from https://ideas.repec.org/a/inm/oropre/v36y1988i1p137-144.html
   My bibliography  Save this article

A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

Author

Listed:
  • Loren K. Platzman

    (Georgia Institute of Technology, Atlanta, Georgia)

  • Jane C. Ammons

    (Georgia Institute of Technology, Atlanta, Georgia)

  • John J. Bartholdi

    (Georgia Institute of Technology, Atlanta, Georgia)

Abstract

We present an algorithm to approximately compute the “tail” probability that a random variable exceeds a specified number, given only an expression for its transform. We also show that the problem is #P-hard (more difficult than NP-hard), suggesting that no efficient procedure can solve it exactly. Our method consists essentially of summing a power series, and thus is easy to perform and requires little memory. Furthermore, its computational effort is nearly linear in the reciprocal of a prespecified worst-case error bound.

Suggested Citation

  • Loren K. Platzman & Jane C. Ammons & John J. Bartholdi, 1988. "A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms," Operations Research, INFORMS, vol. 36(1), pages 137-144, February.
    • Handle: RePEc:inm:oropre:v:36:y:1988:i:1:p:137-144
    DOI: 10.1287/opre.36.1.137
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/opre.36.1.137
    Download Restriction: no
    File URL: https://libkey.io/10.1287/opre.36.1.137?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roberto Cominetti & José R. Correa & Thomas Rothvoß & Jaime San Martín, 2010. "Optimal Selection of Customers for a Last-Minute Offer," Operations Research, INFORMS, vol. 58(4-part-1), pages 878-888, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:oropre:v:36:y:1988:i:1:p:137-144. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.