IEOR - Designing a More Efficient World

Simulating Nonstationary Spatio-Temporal Poisson Processes using the Inversion Method

Publication Date: July 27, 2020

Zhang, Haoting and Zheng, Zeyu, Simulating Nonstationary Spatio-Temporal Poisson Processes using the Inversion Method (July 27, 2020). Available at SSRN: https://ssrn.com/abstract=3661101 or http://dx.doi.org/10.2139/ssrn.3661101


Abstract: We study the problem of simulating a class of nonstationary spatio-temporal Poisson processes. The Poisson intensity function is non-stationary and piecewise linear in both the time dimension and the spatial location dimensions. We propose an exact simulation algorithm based on the inversion method. This simulation algorithm adopts three advantages. First, the entire procedure involves only closed-form computation with no need for numerical integration or numerical inversion of any function. Each step in the algorithm only requires exact arithmetic operations. Second, the proposed algorithm is sample efficient, especially compared to the thinning method when the maximum intensity value is much larger than the minimum intensity value. Third, the algorithm generates arrivals sequentially, one at a time in ascending order, so that they can be conveniently fed into real-time or online decision-making tools.