A softmax-plus-squared-rates reparameterization turns PH moment fitting into unconstrained optimization, achieving sub-percent fits for up to 20 moments with up to 100 phases.
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An Unconstrained Optimization Approach to Moment Fitting with Phase Type Distributions
A softmax-plus-squared-rates reparameterization turns PH moment fitting into unconstrained optimization, achieving sub-percent fits for up to 20 moments with up to 100 phases.