Peter Glynn
Thomas W. Ford Professor in the School of Engineering and Professor, by courtesy, of Electrical Engineering
Management Science and Engineering
Bio
Peter W. Glynn is the Thomas Ford Professor in the Department of Management Science and Engineering (MS&E) at Stanford University, and also holds a courtesy appointment in the Department of Electrical Engineering.. He received his Ph.D in Operations Research from Stanford University in 1982. He then joined the faculty of the University of Wisconsin at Madison, where he held a joint appointment between the Industrial Engineering Department and Mathematics Research Center, and courtesy appointments in Computer Science and Mathematics. In 1987, he returned to Stanford, where he joined the Department of Operations Research. From 1999 to 2005, he served as Deputy Chair of the Department of Management Science and Engineering, and was Director of Stanford's Institute for Computational and Mathematical Engineering from 2006 until 2010. He served as Chair of MS&E from 2011 through 2015. He is a Fellow of INFORMS and a Fellow of the Institute of Mathematical Statistics, has been co-winner of Best Publication Awards from the INFORMS Simulation Society in 1993 and 2008, was a co-winner of the Best (Biannual) Publication Award from the INFORMS Applied Probability Society in 2009, and was the co-winner of the John von Neumann Theory Prize from INFORMS in 2010. In 2012, he was elected to the National Academy of Engineering.
His research centers on computational algorithms, mathematical approximations, statistical methodology, and optimization methods for the analysis of systems in which uncertainty is present. He has developed algorithms that are widely used across the field of Monte Carlo simulation. Applications include financial risk management, service systems engineering, logistics, and retail operations.
Academic Appointments
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Professor, Management Science and Engineering
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Professor (By courtesy), Electrical Engineering
Administrative Appointments
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Director, Institute for Computational and Mathematical Engineering, Stanford University (2006 - 2010)
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Chair, Department of Management Science and Engineering, Stanford University (2011 - 2015)
Honors & Awards
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Winner, Outstanding Simulation Publication Award (for period 1991-93), INFORMS Simulation Society (1993)
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Medallion Lecturer, Institute of Mathematical Statistics (1995)
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Fellow, Institute of Mathematical Statistics (1998)
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Fellow, Institute for Operations Research and the Management Sciences (INFORMS) (2007)
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Eugene L. Grant Award for Excellence in Undergraduate Teaching, Stanford University (2008)
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Winner, Outstanding Simulation Publication Award (for period 2006-08), INFORMS Simulation Society (2008)
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Winner, Best Publication Award (for period 2007-09), INFORMS Applied Probability Society (2009)
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John von Neumann Theory Prize, INFORMS (2010)
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Member, National Academy of Engineering (2012)
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Markov Lecturer, INFORMS Applied Probability Society (2014)
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Winner, Outstanding Simulation Publication Award (for period 2013-2015), INFORMS Simulation Society (2016)
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Philip McCord Morse Lecturer, INFORMS (2020)
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Lifetime Professional Achievement Award, INFORMS Simulation Society (2021)
Boards, Advisory Committees, Professional Organizations
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Advisory Board, Operations Research Letters (2021 - Present)
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Advisory Board, Stochastic Systems (2016 - Present)
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Member, Advisory Board, Intractable Likelihood Research Centre, Warwick University (2016 - Present)
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Editor-in-Chief, Journal of Applied Probability; Advances in Applied Probability (2016 - 2019)
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Member, Scientific Advisory Board, NETWORKS Research Center, The Netherlands (2015 - Present)
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Trustee, Applied Probability Trust (2014 - Present)
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Member, Census Scientific Advisory Committee (2014 - 2020)
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Member, Institute for Data, Systems, and Society Visiting Committee, MIT (2013 - 2022)
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Member, Advisory Board, Dept. of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology (2012 - Present)
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Member, Scientific Advisory Board, Banff International Research Station (2011 - 2016)
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Member, Committee on Special Lectures, Institute of Mathematical Statistics (2011 - 2014)
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Principal Co-Organizer, Thematic Programme in Stochastic Processes in the Communications Sciences, Isaac Newton Institute, University of Cambridge (2010 - 2010)
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Advisory Board, Queueing Systems: Theory and Applications (2009 - Present)
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Founding Editor-in-Chief, Stochastic Systems (2009 - 2014)
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Associate Editor, Journal of Applied Probability, Advances in Applied Probability (2005 - 2015)
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Associate Editor, Mathematics of Operations Research (2005 - 2009)
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Co-Organizer, INFORMS Applied Probability Conference (2005 - 2005)
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Chair, INFORMS Applied Probability Society (2004 - 2006)
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Co-Organizer, 2004 Stochastic Networks Conference, Montreal, Canada (2004 - 2004)
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Council Member, INFORMS Applied Probability Society (2002 - 2010)
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Area Editor, Mathematics of Operations Research (2002 - 2005)
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Co-organizer, 2002 Stochastic Networks Conference, Stanford, CA (2002 - 2002)
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Co-Editor, Journal of Computational Finance (1997 - 2001)
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Associate Editor, Mathematics of Operations Research (1996 - 2001)
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Associate Editor, Annals of Applied Probability (1994 - 2003)
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Principal Organizer, SIAM Meeting on Simulation and Monte Carlo Methods, San Francisco, CA (1993 - 1993)
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Associate Editor, Management Science (1988 - 1997)
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Member, Editorial Board, Stochastic Models (1987 - 1998)
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Co-Organizer, 1987 Stochastic Networks Conference, Madison, WI (1987 - 1987)
Professional Education
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PhD, Stanford University, Operations Research (1982)
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B.Sc (Hon), Carleton University, Mathematics (1978)
Current Research and Scholarly Interests
Stochastic modeling; statistics; simulation; finance
2024-25 Courses
- Stochastic Methods in Engineering
CME 308, MATH 228, MS&E 324 (Spr) - Stochastic Modeling
MS&E 221 (Spr) -
Independent Studies (2)
- Directed Reading and Research
MS&E 408 (Aut, Win, Spr) - Master's Research
CME 291 (Aut, Win, Spr)
- Directed Reading and Research
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Prior Year Courses
2023-24 Courses
- Stochastic Methods in Engineering
CME 308, MATH 228, MS&E 324 (Spr) - Stochastic Modeling
MS&E 221 (Spr) - Stochastic Simulation
MS&E 323 (Win)
2022-23 Courses
- Stochastic Calculus and Control
MS&E 322 (Win) - Stochastic Methods in Engineering
CME 308, MATH 228, MS&E 324 (Win) - Stochastic Modeling
MS&E 221 (Spr)
2021-22 Courses
- Stochastic Methods in Engineering
CME 308, MATH 228, MS&E 324 (Spr) - Stochastic Modeling
MS&E 221 (Spr)
- Stochastic Methods in Engineering
Stanford Advisees
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Doctoral Dissertation Advisor (AC)
Monte Fischer, Saied Mahdian, Shengbo Wang, Haoran Xu -
Master's Program Advisor
Katie Chang, Catherine Harbour, Abhinav Jha, Kabir Jolly, Tyler Juffernbruch, Gian-Louis L., Liem Nguyen, Richa Upadhyay -
Doctoral Dissertation Co-Advisor (AC)
Sirui Lin -
Doctoral (Program)
Hao Liu, Lezhi Tan, Joyee Wang
All Publications
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Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
ASSOC COMPUTING MACHINERY. 2024
View details for DOI 10.1145/3649437
View details for Web of Science ID 001229273100006
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Refined behaviour of a conditioned random walk in the large deviations regime
BERNOULLI
2024; 30 (1): 371-387
View details for DOI 10.3150/23-BEJ1601
View details for Web of Science ID 001171838900005
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Power distribution in developing countries - Planning for effectiveness and equity*
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE
2024; 123
View details for DOI 10.1016/j.omega.2023.102976
View details for Web of Science ID 001103767800001
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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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Unsupervised Classification under Uncertainty: The Distance-Based Algorithm
MATHEMATICS
2023; 11 (23)
View details for DOI 10.3390/math11234784
View details for Web of Science ID 001116587000001
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A heavy-traffic perspective on departure process variability
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2023; 166
View details for DOI 10.1016/j.spa.2023.01.002
View details for Web of Science ID 001113105200001
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Risk-sensitive Markov decision processes with long-run CVaR criterion
PRODUCTION AND OPERATIONS MANAGEMENT
2023
View details for DOI 10.1111/poms.14077
View details for Web of Science ID 001071097100001
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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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Gaussian limits for scheduled traffic with super-heavy tailed perturbations
QUEUEING SYSTEMS
2023
View details for DOI 10.1007/s11134-023-09884-w
View details for Web of Science ID 001049772500001
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On a New Characterization of Harris Recurrence for Markov Chains and Processes
MATHEMATICS
2023; 11 (9)
View details for DOI 10.3390/math11092165
View details for Web of Science ID 000987774800001
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Unlocking demand response in commercial buildings: Empirical response of commercial buildings to daily cooling set point adjustments
ENERGY AND BUILDINGS
2023; 278
View details for DOI 10.1016/j.enbuild.2022.112599
View details for Web of Science ID 000894967000001
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Lyapunov Conditions for Differentiability of Markov Chain Expectations
MATHEMATICS OF OPERATIONS RESEARCH
2022
View details for DOI 10.1287/moor.2022.1328
View details for Web of Science ID 000954108500001
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Approximations for the distribution of perpetuities with small discount rates
NAVAL RESEARCH LOGISTICS
2022
View details for DOI 10.1002/nav.22058
View details for Web of Science ID 000796863900001
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Queueing theory: past, present, and future
QUEUEING SYSTEMS
2022
View details for DOI 10.1007/s11134-022-09785-4
View details for Web of Science ID 000779864000004
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Methods Simulation-Based Prediction
OPERATIONS RESEARCH
2022
View details for DOI 10.1287/opre.2021.2229
View details for Web of Science ID 000750753200001
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On a single server queue fed by scheduled traffic with Pareto perturbations
QUEUEING SYSTEMS
2022
View details for DOI 10.1007/s11134-021-09732-9
View details for Web of Science ID 000744786900001
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COMBINING NUMERICAL LINEAR ALGEBRA WITH SIMULATION TO COMPUTE STATIONARY DISTRIBUTIONS
IEEE. 2022: 2342-2353
View details for DOI 10.1109/WSC57314.2022.10015514
View details for Web of Science ID 000991872902031
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A probabilistic proof of the Perron-Frobenius theorem
NAVAL RESEARCH LOGISTICS
2021
View details for DOI 10.1002/nav.22042
View details for Web of Science ID 000736698500001
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Distributed Stochastic Optimization with Large Delays
MATHEMATICS OF OPERATIONS RESEARCH
2021
View details for DOI 10.1287/moor.2021.1200
View details for Web of Science ID 000731960500001
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Technical Note-Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates
OPERATIONS RESEARCH
2021; 69 (5): 1566-1574
View details for DOI 10.1287/opre.2020.2031
View details for Web of Science ID 000709734600012
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Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach
MATHEMATICS OF OPERATIONS RESEARCH
2021; 46 (3): 946-969
View details for DOI 10.1287/moor.2020.1085
View details for Web of Science ID 000686221800006
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On incorporating forecasts into linear state space model Markov decision processes.
Philosophical transactions. Series A, Mathematical, physical, and engineering sciences
2021; 379 (2202): 20190430
Abstract
Weather forecast information will very likely find increasing application in the control of future energy systems. In this paper, we introduce an augmented state space model formulation with linear dynamics, within which one can incorporate forecast information that is dynamically revealed alongside the evolution of the underlying state variable. We use the martingale model for forecast evolution (MMFE) to enforce the necessary consistency properties that must govern the joint evolution of forecasts with the underlying state. The formulation also generates jointly Markovian dynamics that give rise to Markov decision processes (MDPs) that remain computationally tractable. This paper is the first to enforce MMFE consistency requirements within an MDP formulation that preserves tractability. This article is part of the theme issue 'The mathematics of energy systems'.
View details for DOI 10.1098/rsta.2019.0430
View details for PubMedID 34092099
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The development and deployment of a model for hospital-level COVID-19 associated patient demand intervals from consistent estimators (DICE).
Health care management science
2021
Abstract
Hospitals commonly project demand for their services by combining their historical share of regional demand with forecasts of total regional demand. Hospital-specific forecasts of demand that provide prediction intervals, rather than point estimates, may facilitate better managerial decisions, especially when demand overage and underage are associated with high, asymmetric costs. Regional point forecasts of patient demand are commonly available, e.g., for the number of people requiring hospitalization due to an epidemic such as COVID-19. However, even in this common setting, no probabilistic, consistent, computationally tractable forecast is available for the fraction of patients in a region that a particular institution should expect. We introduce such a forecast, DICE (Demand Intervals from Consistent Estimators). We describe its development and deployment at an academic medical center in California during the 'second wave' of COVID-19 in the Unite States. We show that DICE is consistent under mild assumptions and suitable for use with perfect, biased and unbiased regional forecasts. We evaluate its performance on empirical data from a large academic medical center as well as on synthetic data.
View details for DOI 10.1007/s10729-021-09555-3
View details for PubMedID 33751281
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Computing Sensitivities for Distortion Risk Measures
INFORMS JOURNAL ON COMPUTING
2021
View details for DOI 10.1287/ijoc.2020.1016
View details for Web of Science ID 000708961300001
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Robust Power Management via Learning and Game Design
OPERATIONS RESEARCH
2021; 69 (1): 331–45
View details for DOI 10.1287/opre.2020.1996
View details for Web of Science ID 000615320600021
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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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On the spectral radius and stiffness of Markov jump process rate matrices
STOCHASTIC MODELS
2020
View details for DOI 10.1080/15326349.2020.1815546
View details for Web of Science ID 000573643600001
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Technical Note-Central Limit Theorems for Estimated Functions at Estimated Points
OPERATIONS RESEARCH
2020; 68 (5): 1557–63
View details for DOI 10.1287/opre.2019.1922
View details for Web of Science ID 000574409100015
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Relining the garbage can of organizational decision-making: modeling the arrival of problems and solutions as queues
INDUSTRIAL AND CORPORATE CHANGE
2020; 29 (1): 125–42
View details for DOI 10.1093/icc/dtz069
View details for Web of Science ID 000525930700008
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ON THE CONVERGENCE OF MIRROR DESCENT BEYOND STOCHASTIC CONVEX PROGRAMMING
SIAM JOURNAL ON OPTIMIZATION
2020; 30 (1): 687–716
View details for DOI 10.1137/17M1134925
View details for Web of Science ID 000546998300026
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COMPARING REGENERATIVE-SIMULATION-BASED ESTIMATORS OF THE DISTRIBUTION OF THE HITTING TIME TO A RARELY VISITED SET
IEEE. 2020: 421-432
View details for DOI 10.1109/WSC48552.2020.9383896
View details for Web of Science ID 000679196300035
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Adaptive Experimental Design with Temporal Interference: A Maximum Likelihood Approach
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2020
View details for Web of Science ID 000627697000035
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JOINT RESOURCE ALLOCATION FOR INPUT DATA COLLECTION AND SIMULATION
IEEE. 2020: 2126-2137
View details for DOI 10.1109/WSC48552.2020.9384050
View details for Web of Science ID 000679196302014
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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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Dynamic Credit-Collections Optimization
MANAGEMENT SCIENCE
2019; 65 (6): 2737–69
View details for DOI 10.1287/mnsc.2018.3070
View details for Web of Science ID 000470112100015
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City-scale decarbonization experiments with integrated energy systems
ENERGY & ENVIRONMENTAL SCIENCE
2019; 12 (5): 1695–1707
View details for DOI 10.1039/c8ee03706j
View details for Web of Science ID 000473083100018
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On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
QUEUEING SYSTEMS
2019; 91 (1-2): 1–14
View details for DOI 10.1007/s11134-018-9591-0
View details for Web of Science ID 000458560700001
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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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THE ASYMPTOTIC VALIDITY OF SEQUENTIAL STOPPING RULES FOR CONFIDENCE INTERVAL CONSTRUCTION USING STANDARDIZED TIME SERIES
IEEE. 2019: 332–43
View details for Web of Science ID 000529791400027
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ESTIMATION AND INFERENCE FOR NON-STATIONARY ARRIVAL MODELS WITH A LINEAR TREND
IEEE. 2019: 3764–73
View details for Web of Science ID 000529791403054
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Deterministic and Stochastic Wireless Network Games: Equilibrium, Dynamics, and Price of Anarchy
OPERATIONS RESEARCH
2018; 66 (6): 1498–1516
View details for DOI 10.1287/opre.2018.1747
View details for Web of Science ID 000454514500004
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A Flexible Temporal Velocity Model for Fast Contaminant Transport Simulations in Porous Media
WATER RESOURCES RESEARCH
2018; 54 (10): 8500–8513
View details for DOI 10.1029/2018WR023607
View details for Web of Science ID 000450726000074
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On the rate of convergence to equilibrium for reflected Brownian motion
QUEUEING SYSTEMS
2018; 89 (1-2): 165–97
View details for DOI 10.1007/s11134-018-9574-1
View details for Web of Science ID 000432744700007
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ON SAMPLING RATES IN SIMULATION-BASED RECURSIONS
SIAM JOURNAL ON OPTIMIZATION
2018; 28 (1): 45–73
View details for DOI 10.1137/140951679
View details for Web of Science ID 000424527900003
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An Accelerated Approach to Safely and Efficiently Test Pre-Production Autonomous Vehicles on Public Streets
IEEE. 2018: 2006–11
View details for Web of Science ID 000457881302002
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USING REGENERATIVE SIMULATION TO CALIBRATE EXPONENTIAL APPROXIMATIONS TO RISK MEASURES OF HITTING TIMES TO RARELY VISITED SETS
IEEE. 2018: 1802–13
View details for Web of Science ID 000461414102001
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CONSTRUCTING SIMULATION OUTPUT INTERVALS UNDER INPUT UNCERTAINTY VIA DATA SECTIONING
IEEE. 2018: 1551–62
View details for Web of Science ID 000461414101064
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Learning in Games with Lossy Feedback
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2018
View details for Web of Science ID 000461823305017
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An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments
QUEUEING SYSTEMS
2017; 86 (1-2): 141-212
View details for DOI 10.1007/s11134-017-9521-6
View details for Web of Science ID 000400402900005
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RECURRENCE CLASSIFICATION FOR A FAMILY OF NON-LINEAR STORAGE MODELS
PROBABILITY AND MATHEMATICAL STATISTICS-POLAND
2017; 37 (2): 337–53
View details for DOI 10.19195/0208-4147.37.2.8
View details for Web of Science ID 000418894800008
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ON THE ASYMPTOTIC ANALYSIS OF QUANTILE SENSITIVITY ESTIMATION BY MONTE CARLO SIMULATION
IEEE. 2017: 2336–47
View details for Web of Science ID 000427768602047
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ON THE ESTIMATION OF THE MEAN TIME TO FAILURE BY SIMULATION
IEEE. 2017: 1844–55
View details for Web of Science ID 000427768602004
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FITTING CONTINUOUS PIECEWISE LINEAR POISSON INTENSITIES VIA MAXIMUM LIKELIHOOD AND LEAST SQUARES
IEEE. 2017: 1740–49
View details for Web of Science ID 000427768601078
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Stochastic Mirror Descent in Variationally Coherent Optimization Problems
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2017
View details for Web of Science ID 000452649407013
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Countering Feedback Delays in Multi-Agent Learning
NEURAL INFORMATION PROCESSING SYSTEMS (NIPS). 2017
View details for Web of Science ID 000452649406024
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Stable Power Control in Wireless Networks via Dual Averaging
IEEE. 2017
View details for Web of Science ID 000428054303078
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Mirror Descent Learning in Continuous Games
IEEE. 2017
View details for Web of Science ID 000424696905090
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On the Marginal Standard Error Rule and the Testing of Initial Transient Deletion Methods
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2016; 27 (1)
View details for DOI 10.1145/2961052
View details for Web of Science ID 000391566100001
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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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Computing Bayesian Means Using Simulation
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2016; 26 (2)
View details for DOI 10.1145/2735631
View details for Web of Science ID 000370562400002
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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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On Transience and Recurrence in Irreducible Finite-State Stochastic Systems
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2015; 25 (4)
View details for DOI 10.1145/2699721
View details for Web of Science ID 000367932100005
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Unbiased Estimation with Square Root Convergence for SDE Models
OPERATIONS RESEARCH
2015; 63 (5): 1026-1043
View details for DOI 10.1287/opre.2015.1404
View details for Web of Science ID 000364162300003
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Levy Processes with Two-Sided Reflection
LEVY MATTERS V: FUNCTIONALS OF LEVY PROCESSES
2015; 2149: 67-182
View details for DOI 10.1007/978-3-319-23138-9_2
View details for Web of Science ID 000368687700005
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On the convergence of the spectrum of finite order approximations of stationary time series
JOURNAL OF MULTIVARIATE ANALYSIS
2013; 121: 1-21
View details for DOI 10.1016/j.jmva.2013.05.003
View details for Web of Science ID 000323584100001
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ON THE DYNAMICS OF SEMIMARTINGALES WITH TWO REFLECTING BARRIERS
JOURNAL OF APPLIED PROBABILITY
2013; 50 (3): 671-685
View details for Web of Science ID 000325057600006
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Asymptotic Simulation Efficiency Based on Large Deviations
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2013; 23 (3)
View details for DOI 10.1145/2499913.2499919
View details for Web of Science ID 000322829500006
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Limit Theorems for Simulation-Based Optimization via Random Search
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2013; 23 (3)
View details for DOI 10.1145/2499913.2499915
View details for Web of Science ID 000322829500002
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Zero-Variance Importance Sampling Estimators for Markov Process Expectations
MATHEMATICS OF OPERATIONS RESEARCH
2013; 38 (2): 358-388
View details for DOI 10.1287/moor.1120.0569
View details for Web of Science ID 000319096000007
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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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Simulation-based confidence bounds for two-stage stochastic programs
MATHEMATICAL PROGRAMMING
2013; 138 (1-2): 15-42
View details for DOI 10.1007/s10107-012-0621-0
View details for Web of Science ID 000316639000002
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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
- On the Dynamics of Semimartingales with Two Reflecting Barriers Journal of Applied Probability 2013; 50: 671-685
- Large Deviations for the Empirical Mean of an M/M/1 Queue Queueing Systems: Theory and Applications 2013; 73 (4): 425-446
- The Cross-Entropy Method for Estimation Handbook of Statistics 2013: 1
- On the Convergence of Finite Order Approximations of Stationary Time Series Journal of Multivariate Analysis 2013; 121: 1-21
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FRACTIONAL BROWNIAN MOTION WITH H < 1/2 AS A LIMIT OF SCHEDULED TRAFFIC
JOURNAL OF APPLIED PROBABILITY
2012; 49 (3): 710-718
View details for Web of Science ID 000309151100009
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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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Consistency of Multidimensional Convex Regression
OPERATIONS RESEARCH
2012; 60 (1): 196-208
View details for DOI 10.1287/opre.1110.1007
View details for Web of Science ID 000302113900016
- On Simulation of Non-Markovian Stochastic Petri Nets with Heavy-Tailed Firing Times 2012
- On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling ACM Transactions on Modeling and Computer Simulation, Article No. 13 2012; 22 (13)
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A NEW APPROACH TO UNBIASED ESTIMATION FOR SDE'S
Winter Simulation Conference (WSC)
IEEE. 2012
View details for Web of Science ID 000319225502031
- Consistency of Multi-dimensional Convex Regression Operations Research 2012; 60: 196-208
- A New Approach to Unbiased Estimation for SDEs 2012
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ON SIMULATION OF NON-MARKOVIAN STOCHASTIC PETRI NETS WITH HEAVY-TAILED FIRING TIMES
Winter Simulation Conference (WSC)
IEEE. 2012
View details for Web of Science ID 000319225503032
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A new proof of convergence of MCMC via the ergodic theorem
STATISTICS & PROBABILITY LETTERS
2011; 81 (10): 1482-1485
View details for DOI 10.1016/j.spl.2011.05.004
View details for Web of Science ID 000293485100003
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Wide-sense regeneration for Harris recurrent Markov processes: an open problem
QUEUEING SYSTEMS
2011; 68 (3-4): 305-311
View details for DOI 10.1007/s11134-011-9238-x
View details for Web of Science ID 000294348600011
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A Complementarity Framework for Forward Contracting Under Uncertainty
OPERATIONS RESEARCH
2011; 59 (4): 810-834
View details for DOI 10.1287/opre.1110.0947
View details for Web of Science ID 000295030200002
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Uniform approximations for the M/G/1 queue with subexponential processing times
QUEUEING SYSTEMS
2011; 68 (1): 1-50
View details for DOI 10.1007/s11134-011-9224-3
View details for Web of Science ID 000292931100001
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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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SIMULATION-BASED COMPUTATION OF THE WORKLOAD CORRELATION FUNCTION IN A LEVY-DRIVEN QUEUE
JOURNAL OF APPLIED PROBABILITY
2011; 48 (1): 114-130
View details for Web of Science ID 000289317500008
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On the dynamics of a finite buffer queue conditioned on the amount of loss
QUEUEING SYSTEMS
2011; 67 (2): 91-110
View details for DOI 10.1007/s11134-010-9204-z
View details for Web of Science ID 000286674300001
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BROWNIAN BRIDGE HYPOTHESIS TESTING FOR THE INITIAL TRANSIENT PROBLEM
Winter Simulation Conference (WSC)/Conference on Modeling and Analysis for Semiconductor Manufacturing (MASM)
IEEE. 2011: 481–487
View details for Web of Science ID 000300520800043
- A New Proof of Convergence of MCMC via the Ergodic Theorem Statistics and Probability Letters 2011; 81: 1482–1485
- On the Transition from Heavy Traffic to Heavy Tails for the M/G/1 Queue: The Regularly Varying Case Annals of Applied Probability 2011; 2 (21): 654-668
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ORDINAL OPTIMIZATION: A NONPARAMETRIC FRAMEWORK
Winter Simulation Conference (WSC)/Conference on Modeling and Analysis for Semiconductor Manufacturing (MASM)
IEEE. 2011: 4057–4064
View details for Web of Science ID 000300520804034
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A COMPARISON OF CROSS-ENTROPY AND VARIANCE MINIMIZATION STRATEGIES
JOURNAL OF APPLIED PROBABILITY
2011; 48A: 183-194
View details for Web of Science ID 000311870100015
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SOREN ASMUSSEN
JOURNAL OF APPLIED PROBABILITY
2011; 48A: VII-IX
View details for Web of Science ID 000311870100001
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ON EXPONENTIAL LIMIT LAWS FOR HITTING TIMES OF RARE SETS FOR HARRIS CHAINS AND PROCESSES
JOURNAL OF APPLIED PROBABILITY
2011; 48A: 319-326
View details for Web of Science ID 000311870100025
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A REGENERATIVE BOOTSTRAP APPROACH TO ESTIMATING THE INITIAL TRANSIENT
2010 Winter Simulation Conference
IEEE. 2010: 965–970
View details for Web of Science ID 000287976701018
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HOW TO GENERATE UNIFORM SAMPLES ON DISCRETE SETS USING THE SPLITTING METHOD
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
2010; 24 (3): 405-422
View details for DOI 10.1017/S0269964810000057
View details for Web of Science ID 000278879000005
- Asymptotic Robustness of Estimators in Rare-Event Simulation ACM Transactions on Modeling and Computer Simulation, Article 6 2010; 20 (1): 1-41
- How to Generate Uniform Samples on Discrete Sets Using the Splitting Method Probability in the Engineering and Information Sciences 2010; 24: 405-422
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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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CONDITIONAL LIMIT THEOREMS FOR REGULATED FRACTIONAL BROWNIAN MOTION
ANNALS OF APPLIED PROBABILITY
2009; 19 (6): 2102-2136
View details for DOI 10.1214/09-AAP605
View details for Web of Science ID 000283529200004
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ON CONVERGENCE TO STATIONARITY OF FRACTIONAL BROWNIAN STORAGE
ANNALS OF APPLIED PROBABILITY
2009; 19 (4): 1385-1403
View details for DOI 10.1214/08-AAP578
View details for Web of Science ID 000283529000006
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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
- Asymptotic Validity of Batch Means Steady-State Confidence Intervals Advancing the Frontiers of Simulation: Festschrift in Honor of George S. Fishman edited by Goldsman, D., Wilson, James, R. Springer-Verlag, New York. 2009: 87–104
- Strongly Efficent Algorithms for Light-tailed Random Walks: An Old Folk Song Sung to a Faster New Tune Monte Carlo and Quasi-Monte Carlo Methods 2008 edited by L’Ecuyer, P., Owen, A. Springer. 2009: 227–248
- Book chapter in Rare Event Analysis Using Monte Carlo Methods Robustness Properties and Confidence Interval Reliability edited by Rubino, G., Tuffin, B. John Wiley. 2009: 1
- Rare Event Simulation for a Generalized Hawkes Process 2009
- New Estimators for Parallel Steady-State Simulations 2009
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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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NEW ESTIMATORS FOR PARALLEL STEADY-STATE SIMULATIONS
Winter Simulation Conference 2009
IEEE. 2009: 461–466
View details for Web of Science ID 000289492500044
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SIMULATION-BASED COMPUTATION OF THE WORKLOAD CORRELATION FUNCTION IN A LEVY-DRIVEN QUEUE
Winter Simulation Conference 2009
IEEE. 2009: 1135–1146
View details for Web of Science ID 000289492500107
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HOW TO DEAL WITH THE CURSE OF DIMENSIONALITY OF LIKELIHOOD RATIOS IN MONTE CARLO SIMULATION
STOCHASTIC MODELS
2009; 25 (4): 547-568
View details for DOI 10.1080/15326340903291248
View details for Web of Science ID 000274741500001
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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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Performance evaluation methodologies and tools
PERFORMANCE EVALUATION
2008; 65 (11-12): 787-788
View details for DOI 10.1016/j.peva.2008.09.001
View details for Web of Science ID 000261022800001
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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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A LARGE DEVIATIONS VIEW OF ASYMPTOTIC EFFICIENCY FOR SIMULATION ESTIMATORS
2008 Winter Simulation Conference
IEEE. 2008: 396–406
View details for Web of Science ID 000274496200044
- Performance Evaluation Methodologies and Tools: Selected papers from ValueTools 2007 edited by Glynn, P., W., Tuffin, B. Performance Evaluation. 2008
- Bounding Stationary Expectations of Markov Processes Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz edited by Ethier, S., Feng, J., Stockbridge, R. Institute of Mathematical Statistics. 2008: 215–234
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MONTE CARLO SIMULATION OF DIFFUSIONS
2008 Winter Simulation Conference
IEEE. 2008: 556–559
View details for Web of Science ID 000274496200064
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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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Perwez Shahabuddin, 1962-2005: A professional appreciation
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2007; 17 (2)
View details for DOI 10.1145/1225275.1225277
View details for Web of Science ID 000246069500002
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A natural history model of stage progression applied to breast cancer
STATISTICS IN MEDICINE
2007; 26 (3): 581-595
Abstract
Invasive breast cancer is commonly staged as local, regional or distant disease. We present a stochastic model of the natural history of invasive breast cancer that quantifies (1) the relative rate that the disease transitions from the local, regional to distant stages, (2) the tumour volume at the stage transitions and (3) the impact of symptom-prompted detection on the tumour size and stage of invasive breast cancer in a population not screened by mammography. By symptom-prompted detection, we refer to tumour detection that results when symptoms appear that prompt the patient to seek clinical care. The model assumes exponential tumour growth and volume-dependent hazard functions for the times to symptomatic detection and stage transitions. Maximum likelihood parameter estimates are obtained based on SEER data on the tumour size and stage of invasive breast cancer from patients who were symptomatically detected in the absence of screening mammography. Our results indicate that the rate of symptom-prompted detection is similar to the rate of transition from the local to regional stage and an order of magnitude larger than the rate of transition from the regional to distant stage. We demonstrate that, in the even absence of screening mammography, symptom-prompted detection has a large effect on reducing the occurrence of distant staged disease at initial diagnosis.
View details for DOI 10.1002/sim.2550
View details for PubMedID 16598706
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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
- Efficient Sub-Optimal Rare-Event Simulation 2007
- On the Theoretical Comparison of Low-Bias Steady-State Estimators ACM Transactions on Modeling and Computer Simulation 2007: 1-30
- Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue Queueing Systems: Theory and Applications 2007; 57: 99-113
- Perwez Shahabuddin, 1962-2005: A Professional Appreciation ACM TOMAC 2007; 2 (17): 1-11.
- Stochastic Simulation: Algorithms and Analysis Springer 2007
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On the theoretical comparison of low-bias steady-state estimators
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2007; 17 (1)
View details for DOI 10.1145/1177357.1183274
View details for Web of Science ID 000243874400004
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Capacity of finite state channels based on Lyapunov exponents of random matrices
IEEE International Symposium on Information Theory
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC. 2006: 3509–32
View details for DOI 10.1109/TIT.2006.878230
View details for Web of Science ID 000239408700008
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Tail asymptotics for the maximum of perturbed random walk
ANNALS OF APPLIED PROBABILITY
2006; 16 (3): 1411-1431
View details for DOI 10.1214/105051606000000268
View details for Web of Science ID 000241428300012
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The semi-regenerative method of simulation output analysis
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
2006; 16 (3): 280-315
View details for Web of Science ID 000242845200004
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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
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A nonparametric approach to multiproduct pricing
OPERATIONS RESEARCH
2006; 54 (1): 82-98
View details for DOI 10.1287/opre.1050.0252
View details for Web of Science ID 000235596200008
- Simulation-based Response Surface Estimation in the Presence of Monotonicity 2006
- A Stochastic Simulation Model of US Breast Cancer Mortality Trends from 1975 to 2000 Journal of the National Cancer Institute Monograph 2006; 36: 86-95
- On an Initial Transient Deletion Rule with Rigorous Theoretical Support 2006
- Book chapter in Handbook in Operations Research and Management Science: Simulation Simulation Algorithms for Regenerative Processes edited by Henderson, S., Nelson, B. 2006: 77–500
- Opportunities and Challenges in Using Online Preference Data for Vehicle Pricing: A Case Study at General Motors Journal of Revenue and Pricing Managemen 2006; 1 (5): 45-61
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On an initial transient deletion rule with rigorous theoretical support
2006 Winter Simulation Conference
IEEE. 2006: 186–191
View details for Web of Science ID 000246261200020
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Laws of large numbers and functional central limit theorems for generalized semi-Markov processes
STOCHASTIC MODELS
2006; 22 (2): 201-231
View details for DOI 10.1080/15326340600648997
View details for Web of Science ID 000237606500002
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A stochastic simulation model of U.S. breast cancer mortality trends from 1975 to 2000.
Journal of the National Cancer Institute. Monographs
2006: 86-95
Abstract
We present a simulation model that predicts U.S. breast cancer mortality trends from 1975 to 2000 and quantifies the impact of screening mammography and adjuvant therapy on these trends. This model was developed within the Cancer Intervention and Surveillance Network (CISNET) consortium.A Monte Carlo simulation is developed to generate the life history of individual breast cancer patients by using CISNET base case inputs that describe the secular trend in breast cancer risk, dissemination patterns for screening mammography and adjuvant treatment, and death from causes other than breast cancer. The model generates the patient's age, tumor size and stage at detection, mode of detection, age at death, and cause of death (breast cancer versus other) based in part on assumptions on the natural history of breast cancer. Outcomes from multiple birth cohorts are summarized in terms of breast cancer mortality rates by calendar year.Predicted breast cancer mortality rates follow the general shape of U.S. breast cancer mortality rates from 1975 to 1995 but level off after 1995 as opposed to following an observed decline. Sensitivity analysis revealed that the impact adjuvant treatment may be underestimated given the lack of data on temporal variation in treatment efficacy.We developed a simulation model that uses CISNET base case inputs and closely, but not exactly, reproduces U.S. breast cancer mortality rates. Screening mammography and adjuvant therapy are shown to have both contributed to a decline in U.S. breast cancer mortality.
View details for PubMedID 17032898
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Simulation-based response surface computation in the presence of monotonicity
2006 Winter Simulation Conference
IEEE. 2006: 264–271
View details for Web of Science ID 000246261200030
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Introduction to Special Issue on Stochastic Networks
QUEUEING SYSTEMS
2005; 51 (3-4): 197-198
View details for DOI 10.1007/s11134-005-5219-2
View details for Web of Science ID 000234025400001
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Diffusion approximations for the maximum of a perturbed random walk
ADVANCES IN APPLIED PROBABILITY
2005; 37 (3): 663-680
View details for Web of Science ID 000232558300005
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A diffusion approximation for a GI/GI/1 queue with balking or reneging
QUEUEING SYSTEMS
2005; 50 (4): 371-400
View details for DOI 10.1007/s11134-005-3282-3
View details for Web of Science ID 000231760600002
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Initial transient problem for steady-state output analysis
2005 Winter Simulation Conference (WSC 05)
IEEE. 2005: 739–740
View details for Web of Science ID 000236253401009
- Interaction Value Analysis: When Structured Communication Benefits Organizations Organization Science 2005: 541-557
- A Diffusion Approximation with a GIGI1 Queue with Balking or Reneging Queueing Systems: Theory and Applications 2005: 371-400
- The Initial Transient Problem for Steady-State Output Analysis 2005
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Shannon meets Lyapunov: Connections between information theory and dynamical systems
44th IEEE Conference on Decision Control/European Control Conference (CCD-ECC)
IEEE. 2005: 1756–1763
View details for Web of Science ID 000240653701125
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Dynamic modeling of the tradeoff between productivity and safety in critical engineering systems
RELIABILITY ENGINEERING & SYSTEM SAFETY
2004; 86 (3): 269-284
View details for DOI 10.1016/j.ress.2004.02.003
View details for Web of Science ID 000224648300008
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Estimation of continuous-time Markov processes sampled at random time intervals
ECONOMETRICA
2004; 72 (6): 1773-1808
View details for Web of Science ID 000224697000005
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Recurrence properties of autoregressive processes with super-heavy-tailed innovations
JOURNAL OF APPLIED PROBABILITY
2004; 41 (3): 639-653
View details for Web of Science ID 000223706000003
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Limit theory for taboo-regenerative processes
International Seminar on Applied Stochastic Models and Information Processes
SPRINGER. 2004: 271–94
View details for Web of Science ID 000221461500005
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Estimating tail decay for stationary sequences via extreme values
ADVANCES IN APPLIED PROBABILITY
2004; 36 (1): 198-226
View details for Web of Science ID 000220201700010
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On functional central limit theorems for semi-Markov and related processes
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
2004; 33 (3): 487-506
View details for Web of Science ID 000220104900006
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The mean, number-in-system vector range for multiclass queueing networks
MATHEMATICS OF OPERATIONS RESEARCH
2004; 29 (1): 182-190
View details for DOI 10.1287/moor.1030.0067
View details for Web of Science ID 000189292100011
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Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration
STATISTICAL METHODS IN MEDICAL RESEARCH
2004; 13 (6): 507-524
Abstract
Simulation-based parameter estimation offers a powerful means of estimating parameters in complex stochastic models. We illustrate the application of these ideas in the setting of a natural history model for breast cancer. Our model assumes that the tumor growth process follows a geometric Brownian motion; parameters are estimated from the SEER registry. Our discussion focuses on the use of simulation for computing the maximum likelihood estimator for this class of models. The analysis shows that simulation provides a straightforward means of computing such estimators for models of substantial complexity.
View details for DOI 10.1191/0962280204sm380ra
View details for PubMedID 15587436
- Dynamic Modeling of the Trade-off Between Productivity and Safety in Critical Engineering Systems Reliability Engineering and System Safety 2004: 269-284
- The Mean Number-in-System Vector Range for a Multi-Class Queueing Network Mathematics of Operations Research 2004: 182-190
- Distributed Power Control for Time-Varying Wireless Networks 2004
- A Large Deviations Perspective on Ordinal Optimization 2004
- Recurrence Properties of Autoregressive Processes with Super-Heavy-Tailed Innovations Advances in Applied Probability 2004: 198-226
- Estimating Tail Decay for Stationary Sequences via Extreme Values Journal of Applied Probability 2004: 639-653
- Simulation-based Parameter Estimation for Complex Models: A Breast Cancer Natural History Modelling Illustration Stat. Method Res. 2004: 507-24
- Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals Econometrica 2004: 1809-1844
- Empirical Performance of Bias-reducing Estimators for Regenerative Steady-State Simulations ACM Transactions on Modeling and Computer Simulation 2004: 328-343
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Distributed power and admission control for time varying wireless networks
IEEE Global Telecommunications Conference (GLOBECOM 04)
IEEE. 2004: 768–774
View details for Web of Science ID 000226689900147
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A large deviations perspective on ordinal optimization
Winter Simulation Conference 2004
IEEE. 2004: 577–585
View details for Web of Science ID 000226725600070
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Distributed power and admission control for time-varying wireless networks
IEEE International Symposium on Information Theory
IEEE. 2004: 351–351
View details for Web of Science ID 000223202600351
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Managing power consumption in networks on chips
IEEE TRANSACTIONS ON VERY LARGE SCALE INTEGRATION (VLSI) SYSTEMS
2004; 12 (1): 96-107
View details for DOI 10.1109/TVLSI.2003.820533
View details for Web of Science ID 000188735900007
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Interaction value analysis: When structured communication benefits organizations
ORGANIZATION SCIENCE
2003; 14 (5): 541-557
View details for Web of Science ID 000185615300006
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Properties of the reflected Ornstein-Uhlenbeck process
QUEUEING SYSTEMS
2003; 44 (2): 109-123
View details for Web of Science ID 000183769900001
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Nonexistence of a class of variate generation schemes
OPERATIONS RESEARCH LETTERS
2003; 31 (2): 83-89
View details for Web of Science ID 000181182300001
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Capacity of finite state Markov channels with general inputs
IEEE International Symposium on Information Theory
IEEE. 2003: 289–289
View details for Web of Science ID 000186112600289
- Capacity of Finite State Markov Channels with General Inputs 2003
- Optimal Power Control for CDMA Systems in the Wideband Limit 2003
- Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces ACM Transactions on Modeling and Computer Simulation 2003: 238-258
- Distributed Power Control for Time-Varying Wireless Networks: Optimality and Convergence 2003
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A diffusion approximation for a Markovian queue with reneging
QUEUEING SYSTEMS
2003; 43 (1-2): 103-128
View details for Web of Science ID 000180298000005
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Optimal power control for CDMA systems in the wideband limit
IEEE International Symposium on Information Theory
IEEE. 2003: 418–418
View details for Web of Science ID 000186112600418
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Structural characterization of taboo stationarity for general processes in two-sided time
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2002; 102 (2): 311-318
View details for Web of Science ID 000178897400008
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Kernel-based reinforcement learning in average-cost problems
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
2002; 47 (10): 1624-1636
View details for DOI 10.1109/TAC.2002.803530
View details for Web of Science ID 000178571500004
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Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes - Comment
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
2002; 20 (3): 330-331
View details for DOI 10.1198/073500102288618441
View details for Web of Science ID 000182731600006
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Additional perspectives on simulation for optimization
INFORMS JOURNAL ON COMPUTING
2002; 14 (3): 220-222
View details for Web of Science ID 000177537400004
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Approximating martingales for variance reduction in Markov process simulation
MATHEMATICS OF OPERATIONS RESEARCH
2002; 27 (2): 253-271
View details for Web of Science ID 000176534700001
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Necessary conditions in limit theorems for cumulative processes
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2002; 98 (2): 199-209
View details for Web of Science ID 000174407900002
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Managing capacity and inventory jointly in manufacturing systems
MANAGEMENT SCIENCE
2002; 48 (2): 273-288
View details for Web of Science ID 000174441600010
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Hoeffding's inequality for uniformly ergodic Markov chains
STATISTICS & PROBABILITY LETTERS
2002; 56 (2): 143-146
View details for Web of Science ID 000173230900004
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Some new perspectives on the method of control variates
4th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2000)
SPRINGER-VERLAG BERLIN. 2002: 27–49
View details for Web of Science ID 000175526000003
- Structural Characterization of Taboo-Stationarity for General Processes in Two-sided Time Stochastic Processes and their Applications. 2002; 2 (102): 311-318
- Hoeffding's Inequality for Uniformly Recurrent Markov Chains Statistics and Probability Letters. 2002; 2 (56): 143-146
- Entropy and Mutual Information for Markov Channels with General Inputs 2002
- On the Validity of Long-Run Estimation Methods for Discrete-Event Systems Performance Evaluation Review. 2002; 30: 35-37
- MonteCarlo and Quasi-Monte Carlo Methods 2000 Some New Perspectives on the Method of Control Variates Springer-Verlag, Berlin. 2002: 27–49
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Confidence regions for stochastic approximation algorithms
35th Winter Simulation Conference
IEEE. 2002: 370–376
View details for Web of Science ID 000180358500045
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Rare-event simulation for infinite server queues
35th Winter Simulation Conference
IEEE. 2002: 416–423
View details for Web of Science ID 000180358500051
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Optimal link adaptation in wideband CDMA systems
IEEE Global Telecommunications Conference (GLOBECOM 02)
IEEE. 2002: 721–726
View details for Web of Science ID 000182118500144
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Wireless link adaptation policies: QoS for deadline constrained traffic with imperfect channel estimates
IEEE International Conference on Communications
IEEE. 2002: 3366–3371
View details for Web of Science ID 000177818300640
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Optimal control of parallel queues with batch service
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
2002; 16 (3): 289-307
View details for Web of Science ID 000177330600002
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Event-driven power management
IEEE TRANSACTIONS ON COMPUTER-AIDED DESIGN OF INTEGRATED CIRCUITS AND SYSTEMS
2001; 20 (7): 840-857
View details for Web of Science ID 000169564000003
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Computing densities for Markov chains via simulation
MATHEMATICS OF OPERATIONS RESEARCH
2001; 26 (2): 375-400
View details for Web of Science ID 000169165900013
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Multivariate standardized time series for steady-state simulation output analysis
OPERATIONS RESEARCH
2001; 49 (3): 413-422
View details for Web of Science ID 000169449900007
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Constrained Monte Carlo and the method of control variates
Winter Simulation Conference (WSC 01)
IEEE. 2001: 394–400
View details for Web of Science ID 000178162700050
- Regenerative Steady-State Simulation of Discrete-Event Systems Transactions on Computer Modeling and Simulation 2001; 11: 313-345
- Dynamic Voltage Scaling for Portable Systems DAC 2001: 524-529
- Constrained Monte Carlo and the Method of Control Variates 2001
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Dynamic voltage scaling and power management for portable systems
38th Design Automation Conference (DAC)
ASSOC COMPUTING MACHINERY. 2001: 524–529
View details for Web of Science ID 000171225800094
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Kernel-based reinforcement learning in average-cost problems: An application to optimal portfolio choice
14th Annual Neural Information Processing Systems Conference (NIPS)
M I T PRESS. 2001: 1068–1074
View details for Web of Science ID 000171891800150
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A Markov chain perspective on adaptive Monte Carlo algorithms
Winter Simulation Conference (WSC 01)
IEEE. 2001: 379–384
View details for Web of Science ID 000178162700048
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Two-sided taboo limits for Markov processes and associated perfect simulation
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2001; 91 (1): 1-20
View details for Web of Science ID 000166441900001
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Importance sampling using the semi-regenerative method
Winter Simulation Conference (WSC 01)
IEEE. 2001: 441–450
View details for Web of Science ID 000178162700057
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On the maximum workload of a queue fed by fractional Brownian motion
ANNALS OF APPLIED PROBABILITY
2000; 10 (4): 1084-1099
View details for Web of Science ID 000167328500002
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On the asymptotic optimality of the SPT rule for the flow shop average completion time problem
OPERATIONS RESEARCH
2000; 48 (4): 615-622
View details for Web of Science ID 000088906700010
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On the behaviour of a long cascade of linear reservoirs
JOURNAL OF APPLIED PROBABILITY
2000; 37 (2): 417-428
View details for Web of Science ID 000088940500010
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Simulating the maximum of a random walk
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
2000; 85 (1-2): 127-135
View details for Web of Science ID 000085784400014
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Energy efficient design of portable wireless systems
2000 International Symposium on Low Power Electronics and Design
ASSOC COMPUTING MACHINERY. 2000: 49–54
View details for Web of Science ID 000089810800009
- Dynamic Power Management of Portable Systems MOBICOM 2000: 11-19
- Dynamic Power Management of Laptop Hard Disks DATE 2000: 736
- Analysis of Communication Networks: Call Centres, Traffic, and Performance Fields Institute Communications Estimating Tail Probabilities in Queues via Extremal Statistics edited by McDonald, D., Turner, S. American Mathematical Society, Rhode Island. 2000: 135–158
- On the Behavior of a Long Cascade of Linear Reservoirs Journal of Applied Probability 2000; 37: 417-428
- On the Asymptotic Optimality of the SPT Rule for the Static Flow Shop Average Completion Time Problem Operations Research 2000; 4 (48): 615-622
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Derandomizing variance estimators
OPERATIONS RESEARCH
1999; 47 (6): 907-916
View details for Web of Science ID 000085423500011
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Transient simulation via empirically based coupling
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
1999; 13 (2): 147-167
View details for Web of Science ID 000079762200002
- On the Small-Sample Optimality of Multiple-Regeneration Estimators 1999
- Applied Probability and Stochastic Processes Winning the Hand of the Princess Saralinda Kluwer Academic Publishers, Boston. 1999: 231–246
- Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces 1999
- Can the Regenerative Method be Applied to Discrete-Event Simulations? 1999
- Transient Simulation via Empirically-Based Coupling Probability in the Engineering and Informational Sciences. 1999; 13: 147 - 167
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Limit theory for performance modeling of future event set algorithms
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1998; 44 (12): 1709-1722
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Independent sampling of a stochastic process
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1998; 74 (2): 151-164
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Estimation of stationary densities for Markov chains
1998 Winter Simulation Conference on Simulation in the 21st-Century (WSC 98)
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- DTMW: A New Congestion Control Scheme for Long-Range Dependent Traffic 1998
- Limit Theory for Performance Modeling of Future Event Set Algorithms Management Science 1998; 44: 1709-1722
- A Family of Regenerative Moment Identities Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University 1998
- Diversity and Popularity in Organizations and Communities Computational and Mathematical Organization Theory 1998; 4 (3): 347-372
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Approximations for steady-state measures in highly dependable systems with generally distributed component failure and repair times
IEEE International Computer Performance and Dependability Symposium (IPDS 98)
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Strong approximations in queueing theory
International Conference on Asymptotic Methods in Probability and Statistics
ELSEVIER SCIENCE PUBL B V. 1998: 135–150
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Average case behavior of random search for the maximum
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1997; 34 (3): 632-642
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A batch means methodology for estimation of a nonlinear function of a steady-state mean
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Computational efficiency evaluation in output analysis
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- In Lectures in Applied Mathematics, Mathematics of Stochastic Manufacturing Systems American Mathematical Society Stochastic Optimization via Grid Search edited by Yin, G., G., Zhang, Q. Providence, Rhode Island. 1997: 89–100
- The Covariance Function of a Regenerative Process Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University 1997
- Tightness for Non-irreducible Markov Chains Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University 1997
- Book chapter in Frontiers in Queueing: Models and Applicationsin Science and Engineering Parametric Estimation of Tail Probabilities for the Single-Server Queue edited by Dshalalow, J., H. CRC Press, New York. 1997: 449–462
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A Liapounov bound for solutions of the Poisson equation
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1996; 24 (2): 916-931
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A diffusion approximation for a network of reservoirs with power law release rule
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1996; 10 (1): 17-37
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Special issue: Generalized semi-Markov processes - Foreword
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- Derandomizing and Rerandomizing Variance Estimators Technical Report, Department of Operations Research, Stanford University 1996
- A Liapunov Bound for Solutions of Poisson's Equation The Annals of Probability 1996: 916-931
- Numerical Computation of Large Deviations Exponents via Simulation 1996
- Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions Stochastic Models 1996; 12 (3): 343-365
- Importance Sampling for Monte Carlo Estimation of Quantiles 1996
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Grid-based simulation and the method of conditional least squares
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IEEE. 1996: 325–331
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Selecting the best system in transient simulations with variances known
1996 Winter Simulation Conference (WSC 96)
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Nonparametric estimation of tail probabilities for the single-server queue
Workshop on Stochastic Networks - Stability and Rare Events
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Efficient simulation via coupling
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1996; 10 (2): 165-186
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LIKELIHOOD RATIO GRADIENT ESTIMATION FOR STOCHASTIC RECURSIONS
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1995; 27 (4): 1019-1053
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DISCRETIZATION ERROR IN SIMULATION OF ONE-DIMENSIONAL REFLECTING BROWNIAN MOTION
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1995; 5 (4): 875-896
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EFFICIENT MONTE CARLO SIMULATION OF SECURITY PRICES
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1995; 5 (4): 897-905
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Heavy-traffic extreme-value limits for queues
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1995; 18 (3): 107-111
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TRADING SECURITIES USING TRAILING STOPS
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1995; 41 (6): 1096-1106
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NOTE - ON THE VALUE OF FUNCTION EVALUATION LOCATION INFORMATION IN MONTE-CARLO SIMULATION
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1995; 41 (4): 733-737
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The interface between simulation output analysis research and practice
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- In Stochastic Networks, of Mathematics and its Applications Large Deviations for the Infinite Server Queue in Heavy Traffic edited by Kelly, F., P., Williams, R., J. 1995: 387–395
- Monte Carlo and Quasi-MonteCarlo Methods in Scientific Computing Two Approaches to the Initial Transient Problem edited by Niederreiter, H., Shuie, P. Lecture Notes in Statistics, Springer-Verlag, New York. 1995: 49–57
- A Martingale Approach to Regenerative Simulation Probability in the Engineering and Informational Sciences 1995: 123-131
- On the Value of Function Evaluation Location Information in Monte Carlo Simulation Management Science 1995; 41: 733-737
- Accelerated Regeneration for Markov Chain Simulations Probability in the Engineering and Informational Sciences 1995: 497-523
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Performance analysis of future event sets
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A set of extensions to the SIMAN/ARENA simulation environment
1995 Winter Simulation Conference
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Some new results on the initial transient problem
1995 Winter Simulation Conference
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POISSONS-EQUATION FOR THE RECURRENT M/G/1 QUEUE
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1994; 26 (4): 1044-1062
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STOCHASTIC OPTIMIZATION BY SIMULATION - CONVERGENCE PROOFS FOR THE GI/G/1 QUEUE IN STEADY-STATE
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1994; 40 (11): 1562-1578
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STOCHASTIC OPTIMIZATION BY SIMULATION - NUMERICAL EXPERIMENTS WITH THE M/M/1 QUEUE IN STEADY-STATE
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1994; 40 (10): 1245-1261
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SOME TOPICS IN REGENERATIVE STEADY-STATE SIMULATION
International Seminar on Coupling and Regeneration: Applications of Coupling and Regeneration
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LIKELIHOOD RATIO SENSITIVITY ANALYSIS FOR MARKOVIAN MODELS OF HIGHLY DEPENDABLE SYSTEMS
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1994; 42 (1): 137-157
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- Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State Management Science 1994; 40: 1245-1261
- Efficiency Improvement Techniques The Annals of Operations Research 1994; 53: 175-198
- Poisson's Equation for the Recurrent M/G/1 Queue Advances in Applied Probability 1994; 26: 1044-1062
- Large Deviations Behavior of Counting Processes and Their Inverses Queueing Systems: Theory and Application 1994; 17: 107-128
- On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions 1994
- Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems Stochastic Models 1994; 10: 701-717
- Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State Management Science 1994; 40: 1562-1578
- Importance Sampling for Markov Chains: Asymptotics for the Variance Stochastic Models 1994; 10: 701-717
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INCREASING THE FREQUENCY OF REGENERATION FOR MARKOV PROCESSES
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LARGE DEVIATIONS BEHAVIOR OF COUNTING-PROCESSES AND THEIR INVERSES
QUEUEING SYSTEMS
1994; 17 (1-2): 107-128
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LOGARITHMIC ASYMPTOTICS FOR STEADY-STATE TAIL PROBABILITIES IN A SINGLE-SERVER QUEUE
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1994; 31A: 131-156
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LIMIT-THEOREMS FOR CUMULATIVE PROCESSES
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1993; 47 (2): 299-314
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NOTES - CONDITIONS FOR THE APPLICABILITY OF THE REGENERATIVE METHOD
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1993; 39 (9): 1108-1111
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ESTIMATING CUSTOMER AND TIME AVERAGES
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1993; 41 (2): 400-408
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EFFICIENT ESTIMATION OF THE MEAN TIME BETWEEN FAILURES IN NON-REGENERATIVE DEPENDABILITY MODELS
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- Limit Theorems for Cumulative Processes Stoch. Proc. Appl. 1993; 47: 299-314
- Conditions for the Applicability of the Regenerative Method Management Science 1993; 39: 1108-1111
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FAST SIMULATION OF STEADY-STATE AVAILABILITY IN NON-MARKOVIAN HIGHLY DEPENDABLE SYSTEMS
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PATHWISE CONVEXITY AND ITS RELATION TO CONVERGENCE OF TIME-AVERAGE DERIVATIVES
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1992; 38 (9): 1360-1366
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ANALYSIS OF INITIAL TRANSIENT DELETION FOR PARALLEL STEADY-STATE SIMULATIONS
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1992; 13 (4): 904-922
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THE ASYMPTOTIC EFFICIENCY OF SIMULATION ESTIMATORS
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1992; 40 (3): 505-520
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EXPERIMENTS WITH INITIAL TRANSIENT DELETION FOR PARALLEL, REPLICATED STEADY-STATE SIMULATIONS
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1992; 38 (3): 400-418
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UNIFORM CESARO LIMIT-THEOREMS FOR SYNCHRONOUS PROCESSES WITH APPLICATIONS TO QUEUES
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EXPERIMENTAL RESULTS FOR GRADIENT ESTIMATION AND OPTIMIZATION OF A MARKOV-CHAIN IN STEADY-STATE
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1992; 374: 14-23
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EXPERIMENTAL RESULTS FOR GRADIENT ESTIMATION AND OPTIMIZATION OF A MARKOV-CHAIN IN STEADY-STATE
INTERNATIONAL WORKSHOP ON COMPUTATIONALLY INTENSIVE METHODS IN SIMULATION AND OPTIMIZATION
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- Analysis if Initial Transient Deletion for Parallel Steady-State Simulations SIAM J. Scientific Stat. Computing 1992; 13: 904-922
- The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations Annals of Applied Probability 1992; 2: 180-198
- Stationarity Detection in the Initial Transient Problem ORSA Journal on Computing 1992; 4: 226-234
- Experimental Results for Gradient Estimation and Optimization of a Markov Chain in Steady-State 1992
- Discrete Event Dynamic Systems A GSMP Formalism for Discrete Event Systems edited by Ho, Y. IEEE Press, Piscataway, NJ . 1992: 1
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- Uniform Cesaro Limit Theorems for Synchronous Processes with Applications to Queues Stochastic Processes and their Applications 1992; 40: 29-43
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GRADIENT ESTIMATION FOR REGENERATIVE PROCESSES
1992 WINTER SIMULATION CONF
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A UNIFIED FRAMEWORK FOR SIMULATING MARKOVIAN MODELS OF HIGHLY DEPENDABLE SYSTEMS
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ESTIMATING THE ASYMPTOTIC VARIANCE WITH BATCH MEANS
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1991; 10 (8): 431-435
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ANALYSIS OF INITIAL TRANSIENT DELETION FOR REPLICATED STEADY-STATE SIMULATIONS
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1991; 10 (8): 437-443
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A NEW VIEW OF THE HEAVY-TRAFFIC LIMIT-THEOREM FOR INFINITE-SERVER QUEUES
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GRADIENT ESTIMATION FOR RATIOS
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- Analysis of Parallel Replicated Simulations Under a Completion Time Constraint ACM Transactions on Modeling and Simulation 1991; 1: 3-23
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- Queues with Negative Arrivals Journal of Applied Probability 1991; 28: 245-250
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LIKELIHOOD RATIO GRADIENT ESTIMATION FOR STOCHASTIC-SYSTEMS
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DISCRETE-TIME CONVERSION FOR SIMULATING FINITE-HORIZON MARKOV-PROCESSES
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1990; 50 (5): 1457-1473
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BIAS PROPERTIES OF BUDGET CONSTRAINED SIMULATIONS
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1990; 38 (5): 801-814
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SIMULATION OUTPUT ANALYSIS USING STANDARDIZED TIME-SERIES
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1990; 15 (1): 1-16
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- Likelihood Ratio Gradient Estimation for Stochastic Systems Communications of the ACM 1990; 33: 75-84
- Parallel Processors for Planning Under Uncertainty 1990
- Decomposition and Parallel Processing Techniques for Large Scale Electric Power System Planning Under Uncertainty 1990
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- Bias Properties of Budget Constrained Monte Carlo Simulations Operations Research 1990; 38: 801-814
- Chapter Stochastic Models: Handbooks of OR & MS Diffusion Approximations edited by Heyman, D., Sobel, M. Elsevier Science Publishers. Also translated into Japanese. 1990: 1
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SIMULATING DISCOUNTED COSTS
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1989; 35 (11): 1297-1315
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IMPORTANCE SAMPLING FOR STOCHASTIC SIMULATIONS
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1989; 35 (11): 1367-1392
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THE OPTIMAL LINEAR COMBINATION OF CONTROL VARIATES IN THE PRESENCE OF ASYMPTOTICALLY NEGLIGIBLE BIAS
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1989; 36 (5): 683-692
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EXTENSIONS OF THE QUEUING RELATIONS L = LAMBDA-W AND H = LAMBDA-G
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INDIRECT ESTIMATION VIA L = LAMBDA W
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1989; 37 (1): 82-103
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- Tightness of Synchronous Processes Technical Report, Department of Operations Research, Stanford University 1989
- Replication Schemes for Limiting Expectations Probability in the Engineering and Informational Sciences 1989; 3: 299-318
- Likelihood Ratio Derivative Estimators for Stochastic Systems 1989
- In Probability,Statistics, and Mathematics: Papers in Honor of Samuel Karlin Smoothed Limit Theorems for Equilibrium Processes edited by Anderson, T., W., Athreya, K., B.T., Iglehart, D.L. Academic Press, Boston. 1989: 89–102
- Decomposition Techniques for Multi-Area Generation and Transmission Planning Under Uncertainty Electric Power Research Institute Report EL-6484 1989
- Simulating Discounted Costs Management Science 1989; 35: 1297-1325
- Indirect Estimation via L = λW Operations Research 1989; 37: 82-103
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- Importance Sampling for Stochastic Simulation Management Science 1989; 35: 1367-1392
- Optimization of Stochastic Systems via Simulation 1989
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A GSMP FORMALISM FOR DISCRETE EVENT SYSTEMS
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1989; 77 (1): 14-23
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AN LIL VERSION OF L=LAMBDA-W
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ORDINARY CLT AND WLLN VERSIONS OF L=LAMBDA-W
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A NEW CLASS OF STRONGLY CONSISTENT VARIANCE ESTIMATORS FOR STEADY-STATE SIMULATIONS
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COMPUTING POISSON PROBABILITIES
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- Conditions under which a Markov Chain Converges to its Steady State in Finite Time Probability in the Engineering and Informational Sciences 1988; 2: 377-382
- Simulation Methods for Queues: An Overview Queueing Systems: Theory and Applications 1988; 3: 221-256
- A Non-Rectangular Sampling Plan for Estimating Steady-State Means 1988
- Variance Reduction in Mean Time to Failure Simulations 1988
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ESTIMATING TIME AVERAGES VIA RANDOMLY-SPACED OBSERVATIONS
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1987; 47 (1): 186-200
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- Likelihood Ratio Gradient Estimation: An Overview 1987
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- A Joint Central Limit Theorem for the Sample Mean and Regenerative Variance Estimator Annals of Operations Research 1987; 8: 41-55
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ESTIMATION OF STEADY-STATE CENTRAL MOMENTS BY THE REGENERATIVE METHOD OF SIMULATION
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1986; 5 (6): 271-276
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DISCRETE-TIME CONVERSION FOR SIMULATING SEMI-MARKOV PROCESSES
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1986; 5 (4): 191-196
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- Sufficient Conditions for Functional Limit Theorem Versions of L = λW Queueing Systems 1986; 1: 279-287
- Problems in Bayesian Analysis of Stochastic Simulation 1986
- Recursive Moment Formulas for the Regenerative Simulation Semi-Markov Models edited by Janssen, J. Plenum Press, New York. 1986: 99–110
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- A Central-Limit-Theorem Version of L = λW Queueing Systems: Theory and Applications 1986; 2: 191-215
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- Consequences of Uniform Integrability for Simulation Technical Report, Department of Operations Research, Stanford University 1986
- On the Range of a Regenerative Sequence Stochastic Processes and Their Applications 1985; 20: 105-113
- Regenerative Structure of Markov Chains Simulated via Common Random Numbers Operations Research Letters 1985; 4: 49-53
- Large-Sample Theory for Standardized Times Series: An Overview 1985
- Regenerative Processes and the ø-Mixing Property TIMS Simulation Newsletter 1985
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- Equitable Assignment Rules Technical Report, Mathematics Research Center, University of Wisconsin, Madison 1984
- Some Asymptotic Formulas for Markov Chain with Applications to Simulation Journal of Statistical Computation and Simulation 1984; 19: 97-112
- On Confidence Intervals for Cyclic Regenerative Processes Operations Research Letters 1983; 2: 66-71
- Randomized Estimators for Time Integrals Technical Report, Mathematics Research Center, University of Wisconsin, Madison 1983
- On ARMA Representations for White Noise in a Markovian Environment Technical Report, Mathematics Research Center, University of Wisconsin, Madison 1983
- On the Role of Generalized Semi-Markov Processes in Simulation Output Analysis 1983
- On the Markov Property of the GI/G/infty Gaussian Limit Advances in Applied Probability 1982; 14: 191-194
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ON THE MARKOV PROPERTY OF THE GI/G/INFINITY GAUSSIAN LIMIT
ADVANCES IN APPLIED PROBABILITY
1982; 14 (1): 191-194
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- Regenerative Aspects of the Steady-State Simulation Problem for Markov Chains Technical Report, Department of Operations Research, Stanford University 1982
- A Low Bias Steady-State Estimator for Equilibrium Processes Technical Report, Mathematics Research Center, University of Wisconsin, Madison 1982
- Coverage Error for Confidence Intervals Arising in Simulation Output Analysis 1982
- Some New Results in Regenerative Process Theory Technical Report, Department of Operations Research, Stanford University 1982
- Regenerative Simulation of Harris Recurrent Markov Chains Technical Report, Department of Operations Research, Stanford University 1982
- Asymptotic Theory for Nonparametric Confidence Intervals Technical Report, Department of Operations Research, Stanford University 1982
- Simulation Output Analysis for General State Space Markov Chains 1982