Jose H. Blanchet
Professor of Management Science and Engineering
Web page: http://web.stanford.edu/people/jblanche
Bio
Jose Blanchet is a Professor of Management Science and Engineering (MS&E) at Stanford. Prior to joining MS&E, he was a professor at Columbia (Industrial Engineering and Operations Research, and Statistics, 2008-2017), and before that he taught at Harvard (Statistics, 2004-2008). Jose is a recipient of the 2010 Erlang Prize and several best publication awards in areas such as applied probability, simulation, operations management, and revenue management. He also received a Presidential Early Career Award for Scientists and Engineers in 2010. He worked as an analyst in Protego Financial Advisors, a leading investment bank in Mexico. He has research interests in applied probability and Monte Carlo methods. He is the Area Editor of Stochastic Models in Mathematics of Operations Research. He has served on the editorial board of Advances in Applied Probability, Bernoulli, Extremes, Insurance: Mathematics and Economics, Journal of Applied Probability, Queueing Systems: Theory and Applications, and Stochastic Systems, among others.
Academic Appointments
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Professor, Management Science and Engineering
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Member, Wu Tsai Neurosciences Institute
Honors & Awards
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Biennial Best Publication Award in Applied Probability Award, INFORMS Applied Probability Society (2023)
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Outstanding Simulation Publication Award, INFORMS Simulation Society (2021)
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Revenue Management and Pricing Section Best Publication Award, INFORMS Revenue Management and Pricing Section (2021)
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Best Contributed Theory Paper Award for the Winter Simulation Conference, INFORMS Simulation Society (2019)
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Best OM Paper in Operations Research, INFORMS MSOM Society (2019)
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William H. Keck Scholar, Stanford University (2017)
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Professional Merit Award, ITAM, Mexico (2012)
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Distinguished Alumni Scholar Lecture, Stanford University (2012)
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Kavli Fellow, Kavli Foundation and National Academies (2013)
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Biennial Best Publication in Applied Probability Award, INFORMS Applied Probability Society (2009)
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Erlang Prize, INFORMS Applied Probability Society (2010)
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NSF Career Award, NSF (2008)
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Presidential Early Career Awards for Scientists and Engineers, White House (2009)
Boards, Advisory Committees, Professional Organizations
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Area Editor, Mathematics of Operations Research (2020 - Present)
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President, INFORMS Applied Probability Society (2020 - 2022)
Professional Education
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PhD, Stanford University, Management Science and Engineering (2004)
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MS, Stanford University, Engineering Economic Systems and Operations Research (2002)
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Licenciado, Instituto Technologico Autonomo de Mexico, Applied Mathematics (2000)
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Licenciado, Instituto Technologico Autonomo de Mexico, Actuarial Science (2000)
2024-25 Courses
- Optimal Transport in Operations Research, Statistics, and Economics
MS&E 325 (Aut) -
Independent Studies (3)
- Directed Reading and Research
MS&E 408 (Aut, Win, Spr) - Ph.D. Research
CME 400 (Aut, Win, Spr) - Ph.D. Research Rotation
CME 391 (Aut, Win, Spr)
- Directed Reading and Research
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Prior Year Courses
2023-24 Courses
- Introduction to Stochastic Modeling
MS&E 121 (Win) - Simulation
MS&E 223 (Spr) - Stochastic Systems
MS&E 321 (Spr)
2022-23 Courses
- Introduction to Stochastic Modeling
MS&E 121 (Win) - Simulation
MS&E 223 (Spr) - Stochastic Systems
MS&E 321 (Spr)
2021-22 Courses
- Introduction to Stochastic Modeling
MS&E 121 (Win) - Simulation
MS&E 223 (Spr) - Stochastic Systems
MS&E 321 (Spr)
- Introduction to Stochastic Modeling
Stanford Advisees
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Doctoral Dissertation Reader (AC)
Enrica Archetti, Sergio Camelo Gomez, Greg Zanotti -
Postdoctoral Faculty Sponsor
Anna Winnicki, Wenhao Yang -
Doctoral Dissertation Advisor (AC)
Sirui Lin, Kyriakos Lotidis, Anish Senapati, Zhenyuan Zhang -
Master's Program Advisor
Ethan Hill, Gizem Incesu, Mark Khalil, Aviad Lengo, Antra Nakhasi -
Doctoral Dissertation Co-Advisor (AC)
Shengbo Wang -
Doctoral (Program)
Lukas Fiechtner, Hao Liu, Miao Lu, Jason Meng, Jiyuan Tan, Joyee Wang, Erica Zhang
All Publications
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Modeling shortest paths in polymeric networks using spatial branching processes
JOURNAL OF THE MECHANICS AND PHYSICS OF SOLIDS
2024; 187
View details for DOI 10.1016/j.jmps.2024.105636
View details for Web of Science ID 001231186600001
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Sample-Path Large Deviations for Unbounded Additive Functionals of the Reflected Random Walk
MATHEMATICS OF OPERATIONS RESEARCH
2024
View details for DOI 10.1287/moor.2020.0094
View details for Web of Science ID 001195788800001
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Is a high-throughput experimental dataset large enough to accurately estimate a statistic?
JOURNAL OF THE MECHANICS AND PHYSICS OF SOLIDS
2024; 183
View details for DOI 10.1016/j.jmps.2023.105521
View details for Web of Science ID 001138452300001
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Towards optimal running timesfor optimal transport
OPERATIONS RESEARCH LETTERS
2024; 52
View details for DOI 10.1016/j.orl.2023.11.007
View details for Web of Science ID 001139143900001
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Unbiased Optimal Stopping via the MUSE
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2023; 166
View details for DOI 10.1016/j.spa.2022.12.007
View details for Web of Science ID 001113111000001
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Surgical scheduling via optimization and machine learning with long-tailed data : Health care management science, in press.
Health care management science
2023
Abstract
Using data from cardiovascular surgery patients with long and highly variable post-surgical lengths of stay (LOS), we develop a modeling framework to reduce recovery unit congestion. We estimate the LOS and its probability distribution using machine learning models, schedule procedures on a rolling basis using a variety of optimization models, and estimate performance with simulation. The machine learning models achieved only modest LOS prediction accuracy, despite access to a very rich set of patient characteristics. Compared to the current paper-based system used in the hospital, most optimization models failed to reduce congestion without increasing wait times for surgery. A conservative stochastic optimization with sufficient sampling to capture the long tail of the LOS distribution outperformed the current manual process and other stochastic and robust optimization approaches. These results highlight the perils of using oversimplified distributional models of LOS for scheduling procedures and the importance of using optimization methods well-suited to dealing with long-tailed behavior.
View details for DOI 10.1007/s10729-023-09649-0
View details for PubMedID 37665543
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Neural network accelerated process design of polycrystalline microstructures
MATERIALS TODAY COMMUNICATIONS
2023; 36
View details for DOI 10.1016/j.mtcomm.2023.106884
View details for Web of Science ID 001121948700001
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Distributionally Robust Batch Contextual Bandits
MANAGEMENT SCIENCE
2023
View details for DOI 10.1287/mnsc.2023.4678
View details for Web of Science ID 000966787900001
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Delay-Adaptive Learning in Generalized Linear Contextual Bandits
MATHEMATICS OF OPERATIONS RESEARCH
2023
View details for DOI 10.1287/moor.2023.1358
View details for Web of Science ID 000955959600001
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Dropout Training is Distributionally Robust Optimal
JOURNAL OF MACHINE LEARNING RESEARCH
2023; 24
View details for Web of Science ID 001111687900001
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Some open problems in exact simulation of stochastic differential equations
QUEUEING SYSTEMS
2022
View details for DOI 10.1007/s11134-022-09835-x
View details for Web of Science ID 000798100700001
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Article High-throughput experiments for rare-event rupture of materials
MATTER
2022; 5 (2): 654-665
View details for DOI 10.1016/j.matt.2021.12.017
View details for Web of Science ID 000755412800008
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Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities
OPERATIONS RESEARCH
2022
View details for DOI 10.1287/opre.2021.2186
View details for Web of Science ID 000746377200001
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A Class of Geometric Structures in Transfer Learning: Minimax Bounds and Optimality
JMLR-JOURNAL MACHINE LEARNING RESEARCH. 2022
View details for Web of Science ID 000828072703039
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Distributionally Robust Q-Learning
JMLR-JOURNAL MACHINE LEARNING RESEARCH. 2022
View details for Web of Science ID 000900064903035
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HUMAN IMPERCEPTIBLE ATTACKS AND APPLICATIONS TO IMPROVE FAIRNESS
IEEE. 2022: 2641-2652
View details for DOI 10.1109/WSC57314.2022.10015376
View details for Web of Science ID 000991872902057
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No Weighted-Regret Learning in Adversarial Bandits with Delays
JOURNAL OF MACHINE LEARNING RESEARCH
2022; 23
View details for Web of Science ID 001003361900001
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Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes
MATHEMATICS OF OPERATIONS RESEARCH
2021
View details for DOI 10.1287/moor.2021.1178
View details for Web of Science ID 000731977500001
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Sample Out-of-Sample Inference Based on Wasserstein Distance
OPERATIONS RESEARCH
2021; 69 (3): 985-1013
View details for DOI 10.1287/opre.2020.2028
View details for Web of Science ID 000664386400016
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Confidence regions in Wasserstein distributionally robust estimation
BIOMETRIKA
2021
View details for DOI 10.1093/biomet/asab026
View details for Web of Science ID 000761379200001
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Finite-Sample Regret Bound for Distributionally Robust Offline Tabular Reinforcement Learning
MICROTOME PUBLISHING. 2021
View details for Web of Science ID 000659893804005
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Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts
JMLR-JOURNAL MACHINE LEARNING RESEARCH. 2021: 7168-7179
View details for Web of Science ID 000768182700016
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EXACT SIMULATION FOR MULTIVARIATE ITO DIFFUSIONS
ADVANCES IN APPLIED PROBABILITY
2020; 52 (4): 1003–34
View details for DOI 10.1017/apr.2020.39
View details for Web of Science ID 000596036700001
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SAMPLE PATH LARGE DEVIATIONS FOR LEVY PROCESSES AND RANDOM WALKS WITH WEIBULL INCREMENTS
ANNALS OF APPLIED PROBABILITY
2020; 30 (6): 2695–2739
View details for DOI 10.1214/20-AAP1570
View details for Web of Science ID 000598914200006
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On distributionally robust extreme value analysis
EXTREMES
2020; 23 (2): 317–47
View details for DOI 10.1007/s10687-019-00371-1
View details for Web of Science ID 000534882500005
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Rates of Convergence to Stationarity for Reflected Brownian Motion
MATHEMATICS OF OPERATIONS RESEARCH
2020; 45 (2): 660–81
View details for DOI 10.1287/moor.2019.1006
View details for Web of Science ID 000531094600012
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A CLASS OF OPTIMAL TRANSPORT REGULARIZED FORMULATIONS WITH APPLICATIONS TO WASSERSTEIN GANS
IEEE. 2020: 433-444
View details for DOI 10.1109/WSC48552.2020.9383959
View details for Web of Science ID 000679196300036
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EXACT SAMPLING FOR SOME MULTI-DIMENSIONAL QUEUEING MODELS WITH RENEWAL INPUT
ADVANCES IN APPLIED PROBABILITY
2019; 51 (4): 1179–1208
View details for DOI 10.1017/apr.2019.45
View details for Web of Science ID 000496968500008
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Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times
QUEUEING SYSTEMS
2019
View details for DOI 10.1007/s11134-019-09640-z
View details for Web of Science ID 000495406500001
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SAMPLE PATH LARGE DEVIATIONS FOR LEVY PROCESSES AND RANDOM WALKS WITH REGULARLY VARYING INCREMENTS
ANNALS OF PROBABILITY
2019; 47 (6): 3551–3605
View details for DOI 10.1214/18-AOP1319
View details for Web of Science ID 000500553400003
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Optimal uncertainty size in distributionally robust inverse covariance estimation
OPERATIONS RESEARCH LETTERS
2019; 47 (6070): 618–21
View details for DOI 10.1016/j.orl.2019.10.005
View details for Web of Science ID 000500037400026
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On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
BERNOULLI
2019; 25 (4A): 2949–81
View details for DOI 10.3150/18-BEJ1076
View details for Web of Science ID 000485825100018
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ROBUST WASSERSTEIN PROFILE INFERENCE AND APPLICATIONS TO MACHINE LEARNING
JOURNAL OF APPLIED PROBABILITY
2019; 56 (3): 830–57
View details for DOI 10.1017/jpr.2019.49
View details for Web of Science ID 000488778100009
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Rare-Event Simulation for Distribution Networks
OPERATIONS RESEARCH
2019; 67 (5): 1383–96
View details for DOI 10.1287/opre.2019.1852
View details for Web of Science ID 000486622100011
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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
MATHEMATICS OF OPERATIONS RESEARCH
2019; 44 (3): 919–42
View details for DOI 10.1287/moor.2018.0950
View details for Web of Science ID 000481569800007
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Quantifying Distributional Model Risk via Optimal Transport
MATHEMATICS OF OPERATIONS RESEARCH
2019; 44 (2): 565–600
View details for DOI 10.1287/moor.2018.0936
View details for Web of Science ID 000468403700009
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Perfect Sampling of Generalized Jackson Networks
MATHEMATICS OF OPERATIONS RESEARCH
2019; 44 (2): 693–714
View details for DOI 10.1287/moor.2018.0941
View details for Web of Science ID 000468403700014
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EXACT SAMPLING OF THE INFINITE HORIZON MAXIMUM OF A RANDOM WALK OVER A NONLINEAR BOUNDARY
JOURNAL OF APPLIED PROBABILITY
2019; 56 (1): 116–38
View details for DOI 10.1017/jpr.2019.9
View details for Web of Science ID 000475365600008
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Robust Actuarial Risk Analysis
NORTH AMERICAN ACTUARIAL JOURNAL
2019; 23 (1): 33–63
View details for DOI 10.1080/10920277.2018.1504686
View details for Web of Science ID 000469954900004
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DATA-DRIVEN OPTIMAL TRANSPORT COST SELECTION FOR DISTRIBUTIONALLY ROBUST OPTIMIZATION
IEEE. 2019: 3740–51
View details for Web of Science ID 000529791403052
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A DISTRIBUTIONALLY ROBUST BOOSTING ALGORITHM
IEEE. 2019: 3728–39
View details for Web of Science ID 000529791403051
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Learning in Generalized Linear Contextual Bandits with Stochastic Delays
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2019
View details for Web of Science ID 000534424305022
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Semi-Parametric Dynamic Contextual Pricing
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2019
View details for Web of Science ID 000534424302037
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Multivariate Distributionally Robust Convex Regression under Absolute Error Loss
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2019
View details for Web of Science ID 000535866903043
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Online EXP3 Learning in Adversarial Bandits with Delayed Feedback
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2019
View details for Web of Science ID 000535866903003
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Queueing Theory-Based Perspective of the Kinetics of "Channeled" Enzyme Cascade Reactions
ACS CATALYSIS
2018; 8 (11): 10721–31
View details for DOI 10.1021/acscatal.8b02760
View details for Web of Science ID 000449723900086
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Perfect sampling of GI/GI/c queues
QUEUEING SYSTEMS
2018; 90 (1-2): 1–33
View details for DOI 10.1007/s11134-018-9573-2
View details for Web of Science ID 000443402800001
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EXACT SIMULATION OF MULTIDIMENSIONAL REFLECTED BROWNIAN MOTION
JOURNAL OF APPLIED PROBABILITY
2018; 55 (1): 137–56
View details for DOI 10.1017/jpr.2018.10
View details for Web of Science ID 000428631200010
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Bandit Learning with Positive Externalities
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2018
View details for Web of Science ID 000461823304089
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COMPUTING WORST-CASE EXPECTATIONS GIVEN MARGINALS VIA SIMULATION
IEEE. 2017: 2315–23
View details for Web of Science ID 000427768602045
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ANALYSIS OF A STOCHASTIC APPROXIMATION ALGORITHM FOR COMPUTING QUASI-STATIONARY DISTRIBUTIONS
ADVANCES IN APPLIED PROBABILITY
2016; 48 (3): 792-811
View details for DOI 10.1017/apr.2016.28
View details for Web of Science ID 000388297500009
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Affine Point Processes: Approximation and Efficient Simulation
MATHEMATICS OF OPERATIONS RESEARCH
2015; 40 (4): 797-819
View details for DOI 10.1287/moor.2014.0696
View details for Web of Science ID 000367895700001
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UNBIASED MONTE CARLO FOR OPTIMIZATION AND FUNCTIONS OF EXPECTATIONS VIA MULTI-LEVEL RANDOMIZATION
IEEE. 2015: 3656–67
View details for Web of Science ID 000399133903071
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UNBIASED MONTE CARLO COMPUTATION OF SMOOTH FUNCTIONS OF EXPECTATIONS VIA TAYLOR EXPANSIONS
IEEE. 2015: 360–67
View details for Web of Science ID 000399133900030
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Large deviations for the empirical mean of an queue
QUEUEING SYSTEMS
2013; 73 (4): 425-446
View details for DOI 10.1007/s11134-013-9349-7
View details for Web of Science ID 000316819200004
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Empirical Analysis of a Stochastic Approximation Approach for Computing Quasi-stationary Distributions
EVOLVE 2012 International Conference
SPRINGER-VERLAG BERLIN. 2013: 19–37
View details for Web of Science ID 000312463200002
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On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2012; 22 (3)
View details for DOI 10.1145/2331140.2331141
View details for Web of Science ID 000308187000001
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ON THE TRANSITION FROM HEAVY TRAFFIC TO HEAVY TAILS FOR THE M/G/1 QUEUE: THE REGULARLY VARYING CASE
ANNALS OF APPLIED PROBABILITY
2011; 21 (2): 645-668
View details for DOI 10.1214/10-AAP707
View details for Web of Science ID 000289268100007
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Asymptotic Robustness of Estimators in Rare-Event Simulation
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2010; 20 (1)
View details for DOI 10.1145/1667072.1667078
View details for Web of Science ID 000274379300006
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Rare event simulation for a slotted time M/G/s model
Conference on 100 Years of Queueing - Erlang Centennials
SPRINGER. 2009: 33–57
View details for DOI 10.1007/s11134-009-9154-5
View details for Web of Science ID 000272576200004
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RARE EVENT SIMULATION FOR A GENERALIZED HAWKES PROCESS
Winter Simulation Conference 2009
IEEE. 2009: 1271–1278
View details for Web of Science ID 000289492500119
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EFFICIENT RARE EVENT SIMULATION OF CONTINUOUS TIME MARKOVIAN PERPETUITIES
Winter Simulation Conference 2009
IEEE. 2009: 405–412
View details for Web of Science ID 000289492500038
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Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune ...
8th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 08)
SPRINGER-VERLAG BERLIN. 2009: 227–248
View details for DOI 10.1007/978-3-642-04107-5_13
View details for Web of Science ID 000282063700013
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Efficient rare-event simulation for the maximum of heavy-tailed random walks
ANNALS OF APPLIED PROBABILITY
2008; 18 (4): 1351-1378
View details for DOI 10.1214/07-AAP485
View details for Web of Science ID 000258418800003
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Uniform renewal theory with applications to expansions of random geometric sums
ADVANCES IN APPLIED PROBABILITY
2007; 39 (4): 1070-1097
View details for Web of Science ID 000253218900013
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Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
QUEUEING SYSTEMS
2007; 57 (2-3): 99-113
View details for DOI 10.1007/s11134-007-9047-4
View details for Web of Science ID 000251373600005
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Efficient suboptimal rare-event simulation
2007 Winter Simulation Conference
IEEE. 2007: 368–373
View details for Web of Science ID 000256071800043
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Complete corrected diffusion approximations for the maximum of a random walk
ANNALS OF APPLIED PROBABILITY
2006; 16 (2): 951-983
View details for DOI 10.1214/10505160600000042
View details for Web of Science ID 000239158100016