Bio


Peter W. Glynn is the current Chair of the Department of Management Science and Engineering at Stanford University. 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. He is now the Thomas Ford Professor of Engineering in the Department of Management Science and Engineering, and also holds a courtesy appointment in the Department of Electrical Engineering. 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 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 interests lie in simulation, computational probability, queueing theory, statistical inference for stochastic processes, and stochastic modeling.

Academic Appointments


Administrative Appointments


  • Chair, Department of Management Science and Engineering, Stanford University (2011 - Present)
  • Director, Institute for Computational and Mathematical Engineering, Stanford University (2006 - 2010)

Honors & Awards


  • Member, National Academy of Engineering (2012)
  • John von Neumann Theory Prize, INFORMS (2010)
  • Winner, Best Publication Award (for period 2007-09), INFORMS Applied Probability Society (2009)
  • Winner, Outstanding Simulation Publication Award (for period 2006-08), INFORMS Simulation Society (2008)
  • Winner, Outstanding Simulation Publication Award (for period 1991-93), INFORMS Simulation Society (1993)
  • Fellow, Institute of Mathematical Statistics (1998)
  • Fellow, Institute for Operations Research and the Management Sciences (INFORMS) (2007)
  • Medallion Lecturer, Institute of Mathematical Statistics (1995)
  • Eugene L. Grant Award for Excellence in Undergraduate Teaching, Stanford University (2008)

Boards, Advisory Committees, Professional Organizations


  • Trustee, Applied Probability Trust (2014 - Present)
  • Member, Engineering Systems Division Visiting Committee, MIT (2013 - Present)
  • Member, Advisory Board, Dept. of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology (2012 - Present)
  • Member, Committee on Special Lectures, Institute of Mathematical Statistics (2011 - Present)
  • Member, Scientific Advisory Board, Banff International Research Station (2011 - Present)
  • Advisory Board, Queueing Systems: Theory and Applications (2009 - Present)
  • Founding Editor-in-Chief, Stochastic Systems (2009 - Present)
  • Associate Editor, Journal of Applied Probability, Advances in Applied Probability (2005 - Present)
  • Principal Co-Organizer, Thematic Programme in Stochastic Processes in the Communications Sciences, Isaac Newton Institute, University of Cambridge (2010 - 2010)
  • Associate Editor, Mathematics of Operations Research (2005 - 2009)
  • Co-Organizer, INFORMS Applied Probability Conference (2005 - 2005)
  • Chair, INFORMS Applied Probability Society (2004 - 2006)
  • Co-Organizer, 2004 Stochastic Networks Conference, Montreal, Canada (2004 - 2004)
  • Council Member, INFORMS Applied Probability Society (2002 - 2010)
  • Area Editor, Mathematics of Operations Research (2002 - 2005)
  • Co-organizer, 2002 Stochastic Networks Conference, Stanford, CA (2002 - 2002)
  • Co-Editor, Journal of Computational Finance (1997 - 2001)
  • Associate Editor, Mathematics of Operations Research (1996 - 2001)
  • Associate Editor, Annals of Applied Probability (1994 - 2003)
  • Principal Organizer, SIAM Meeting on Simulation and Monte Carlo Methods, San Francisco, CA (1993 - 1993)
  • Associate Editor, Management Science (1988 - 1997)
  • Member, Editorial Board, Stochastic Models (1987 - 1998)
  • Co-Organizer, 1987 Stochastic Networks Conference, Madison, WI (1987 - 1987)

Professional Education


  • PhD, Stanford University, Operations Research (1982)
  • B.Sc (Hon), Carleton University, Mathematics (1978)

Current Research and Scholarly Interests


Stochastic modeling; statistics; simulation; finance

2013-14 Courses


Journal Articles


  • Asymptotic Simulation Efficiency Based on Large Deviations ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION Glynn, P. W., Juneja, S. 2013; 23 (3)
  • Zero-Variance Importance Sampling Estimators for Markov Process Expectations MATHEMATICS OF OPERATIONS RESEARCH Awad, H. P., Glynn, P. W., Rubinstein, R. Y. 2013; 38 (2): 358-388
  • Large deviations for the empirical mean of an queue QUEUEING SYSTEMS Blanchet, J., Glynn, P., Meyn, S. 2013; 73 (4): 425-446
  • Simulation-based confidence bounds for two-stage stochastic programs MATHEMATICAL PROGRAMMING Glynn, P. W., Infanger, G. 2013; 138 (1-2): 15-42
  • On the Convergence of Finite Order Approximations of Stationary Time Series Journal of Multivariate Analysis Gupta, S., D., Mazumdar, R., R., Glynn, P., W. 2013; 121: 1-21
  • Empirical Analysis of a Stochastic Approximation Approach for Computing Quasi-stationary Distributions EVOLVE - A BRIDGE BETWEEN PROBABILITY, SET ORIENTED NUMERICS, AND EVOLUTIONARY COMPUTATION II Blanchet, J., Glynn, P., Zheng, S. 2013; 175: 19-37
  • On the Dynamics of Semimartingales with Two Reflecting Barriers Journal of Applied Probability Philsgard, M., Glynn, P., W. 2013; 50: 671-685
  • Large Deviations for the Empirical Mean of an M/M/1 Queue Queueing Systems: Theory and Applications Blanchet, J., Glynn, P., W., Meyn, S. 2013; 73 (4): 425-446
  • FRACTIONAL BROWNIAN MOTION WITH H < 1/2 AS A LIMIT OF SCHEDULED TRAFFIC JOURNAL OF APPLIED PROBABILITY Araman, V. F., Glynn, P. W. 2012; 49 (3): 710-718
  • On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION Blanchet, J., Glynn, P., Leder, K. 2012; 22 (3)
  • ON SIMULATION OF NON-MARKOVIAN STOCHASTIC PETRI NETS WITH HEAVY-TAILED FIRING TIMES 2012 WINTER SIMULATION CONFERENCE (WSC) Glynn, P. W., Haas, P. J. 2012
  • Consistency of Multidimensional Convex Regression OPERATIONS RESEARCH Lim, E., Glynn, P. W. 2012; 60 (1): 196-208
  • On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling ACM Transactions on Modeling and Computer Simulation, Article No. 13 Blanchet, J., Glynn, P., W., Leder, K. 2012; 22 (13)
  • Consistency of Multi-dimensional Convex Regression Operations Research Lim, E., Glynn, P., W. 2012; 60: 196-208
  • A new proof of convergence of MCMC via the ergodic theorem STATISTICS & PROBABILITY LETTERS Asmussen, S., Glynn, P. W. 2011; 81 (10): 1482-1485
  • Wide-sense regeneration for Harris recurrent Markov processes: an open problem QUEUEING SYSTEMS Glynn, P. W. 2011; 68 (3-4): 305-311
  • A Complementarity Framework for Forward Contracting Under Uncertainty OPERATIONS RESEARCH Shanbhag, U. V., Infanger, G., Glynn, P. W. 2011; 59 (4): 810-834
  • Uniform approximations for the M/G/1 queue with subexponential processing times QUEUEING SYSTEMS Olvera-Cravioto, M., Glynn, P. W. 2011; 68 (1): 1-50
  • ON THE TRANSITION FROM HEAVY TRAFFIC TO HEAVY TAILS FOR THE M/G/1 QUEUE: THE REGULARLY VARYING CASE ANNALS OF APPLIED PROBABILITY Olvera-Cravioto, M., Blanchet, J., Glynn, P. 2011; 21 (2): 645-668

    View details for DOI 10.1214/10-AAP707

    View details for Web of Science ID 000289268100007

  • SIMULATION-BASED COMPUTATION OF THE WORKLOAD CORRELATION FUNCTION IN A LEVY-DRIVEN QUEUE JOURNAL OF APPLIED PROBABILITY Glynn, P. W., Mandjes, M. 2011; 48 (1): 114-130
  • On the dynamics of a finite buffer queue conditioned on the amount of loss QUEUEING SYSTEMS Zhang, X., Glynn, P. 2011; 67 (2): 91-110
  • On the Transition from Heavy Traffic to Heavy Tails for the M/G/1 Queue: The Regularly Varying Case Annals of Applied Probability Olvera-Cravioto, M., Blanchet, J., H., Glynn, P., W. 2011; 2 (21): 654-668 
  • ON EXPONENTIAL LIMIT LAWS FOR HITTING TIMES OF RARE SETS FOR HARRIS CHAINS AND PROCESSES JOURNAL OF APPLIED PROBABILITY Glynn, P. W. 2011; 48A: 319-326
  • SOREN ASMUSSEN JOURNAL OF APPLIED PROBABILITY Glynn, P., Mikosch, T., Rolski, T., Rubinstein, R. 2011; 48A: VII-IX
  • A COMPARISON OF CROSS-ENTROPY AND VARIANCE MINIMIZATION STRATEGIES JOURNAL OF APPLIED PROBABILITY Chan, J. C., Glynn, P. W., Kroese, D. P. 2011; 48A: 183-194
  • BROWNIAN BRIDGE HYPOTHESIS TESTING FOR THE INITIAL TRANSIENT PROBLEM PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC) Glynn, P. W., Lim, E. 2011: 481-487
  • ORDINAL OPTIMIZATION: A NONPARAMETRIC FRAMEWORK PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC) Glynn, P. W., Juneja, S. 2011: 4057-4064
  • A New Proof of Convergence of MCMC via the Ergodic Theorem Statistics and Probability Letters Asmussen, S., Glynn, P., W. 2011; 81: 1482–1485
  • How to Generate Uniform Samples on Discrete Sets Using the Splitting Method Probability in the Engineering and Information Sciences Glynn, P., W., Dolgin, A., Rubinstein, R., Y., Vaisman, R. 2010; 24: 405-422
  • Asymptotic Robustness of Estimators in Rare-Event Simulation ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION L'Ecuyer, P., Blanchet, J. H., Tuffin, B., Glynn, P. W. 2010; 20 (1)
  • A REGENERATIVE BOOTSTRAP APPROACH TO ESTIMATING THE INITIAL TRANSIENT PROCEEDINGS OF THE 2010 WINTER SIMULATION CONFERENCE Glynn, P. W., Zhang, X. 2010: 965-970
  • Asymptotic Robustness of Estimators in Rare-Event Simulation ACM Transactions on Modeling and Computer Simulation, Article 6 L'Ecuyer, P., Blanchet, J., H., Tuffin, B., Glynn, P., W. 2010; 20 (1): 1-41
  • CONDITIONAL LIMIT THEOREMS FOR REGULATED FRACTIONAL BROWNIAN MOTION ANNALS OF APPLIED PROBABILITY Awad, H., Glynn, P. 2009; 19 (6): 2102-2136

    View details for DOI 10.1214/09-AAP605

    View details for Web of Science ID 000283529200004

  • ON CONVERGENCE TO STATIONARITY OF FRACTIONAL BROWNIAN STORAGE ANNALS OF APPLIED PROBABILITY Mandjes, M., Norros, I., Glynn, P. 2009; 19 (4): 1385-1403

    View details for DOI 10.1214/08-AAP578

    View details for Web of Science ID 000283529000006

  • HOW TO DEAL WITH THE CURSE OF DIMENSIONALITY OF LIKELIHOOD RATIOS IN MONTE CARLO SIMULATION STOCHASTIC MODELS Rubinstein, R. Y., Glynn, P. W. 2009; 25 (4): 547-568
  • EFFICIENT RARE EVENT SIMULATION OF CONTINUOUS TIME MARKOVIAN PERPETUITIES PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4 Blanchet, J., Glynn, P. 2009: 405-412
  • Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune ... MONTE CARLO AND QUASI-MONTE CARLO METHODS 2008 Blanchet, J. H., Leder, K., Glynn, P. W. 2009: 227-248
  • NEW ESTIMATORS FOR PARALLEL STEADY-STATE SIMULATIONS PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4 Hsieh, M., Glynn, P. W. 2009: 461-466
  • RARE EVENT SIMULATION FOR A GENERALIZED HAWKES PROCESS PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4 Zhang, X., Glynn, P. W., Giesecke, K., Blanchet, J. 2009: 1271-1278
  • SIMULATION-BASED COMPUTATION OF THE WORKLOAD CORRELATION FUNCTION IN A LEVY-DRIVEN QUEUE PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4 Glynn, P. W., Mandjes, M. 2009: 1135-1146
  • Performance evaluation methodologies and tools PERFORMANCE EVALUATION Tuffin, B., Glynn, P. W. 2008; 65 (11-12): 787-788
  • Efficient rare-event simulation for the maximum of heavy-tailed random walks ANNALS OF APPLIED PROBABILITY Blanchet, J., Glynn, P. 2008; 18 (4): 1351-1378

    View details for DOI 10.1214/07-AAP485

    View details for Web of Science ID 000258418800003

  • A LARGE DEVIATIONS VIEW OF ASYMPTOTIC EFFICIENCY FOR SIMULATION ESTIMATORS 2008 WINTER SIMULATION CONFERENCE, VOLS 1-5 Glynn, P. W., Juneja, S. 2008: 396-406
  • MONTE CARLO SIMULATION OF DIFFUSIONS 2008 WINTER SIMULATION CONFERENCE, VOLS 1-5 Glynn, P. W. 2008: 556-559
  • Uniform renewal theory with applications to expansions of random geometric sums ADVANCES IN APPLIED PROBABILITY Blanchet, J., Glynn, P. 2007; 39 (4): 1070-1097
  • Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue QUEUEING SYSTEMS Blanchet, J., Glynn, P., Liu, C. 2007; 57 (2-3): 99-113
  • Perwez Shahabuddin, 1962-2005: A professional appreciation ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION Andradottir, S., Glasserman, P., Glynn, P. W., Heidelberger, P., Juneja, S. 2007; 17 (2)
  • A natural history model of stage progression applied to breast cancer STATISTICS IN MEDICINE Plevritis, S. K., Salzman, P., Sigal, B. M., Glynn, P. W. 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 Web of Science ID 000243511400009

    View details for PubMedID 16598706

  • Stochastic Simulation: Algorithms and Analysis Springer Asmussen, S., Glynn, P., W. 2007
  • On the theoretical comparison of low-bias steady-state estimators ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION Awad, H. P., Glynn, P. W. 2007; 17 (1)
  • Efficient suboptimal rare-event simulation PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5 Zhang, X., Blanchet, J., Glynn, P. W. 2007: 368-373
  • On the Theoretical Comparison of Low-Bias Steady-State Estimators ACM Transactions on Modeling and Computer Simulation Awad, H., Glynn, P., W. 2007: 1-30
  • Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue Queueing Systems: Theory and Applications Blanchet, J., Glynn, P., W., Liu, J. 2007; 57: 99-113
  • Perwez Shahabuddin, 1962-2005: A Professional Appreciation ACM TOMAC Andradóttir, S., Glasserman, P., Glynn, P., W., Heidelberger, P., Juneja, S. 2007; 2 (17): 1-11.
  • Tail asymptotics for the maximum of perturbed random walk ANNALS OF APPLIED PROBABILITY Araman, V. F., Glynn, P. W. 2006; 16 (3): 1411-1431
  • The semi-regenerative method of simulation output analysis ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION Calvin, J. M., Glynn, P. W., Nakayama, M. K. 2006; 16 (3): 280-315
  • Complete corrected diffusion approximations for the maximum of a random walk ANNALS OF APPLIED PROBABILITY Blanchet, J., Glynn, P. 2006; 16 (2): 951-983
  • On an initial transient deletion rule with rigorous theoretical support PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5 Awad, H. P., Glynn, P. W. 2006: 186-191
  • A stochastic simulation model of U.S. breast cancer mortality trends from 1975 to 2000. Journal of the National Cancer Institute. Monographs Plevritis, S. K., Sigal, B. M., Salzman, P., Rosenberg, J., Glynn, P. 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

  • Simulation-based response surface computation in the presence of monotonicity PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5 Lim, E., Glynn, P. W. 2006: 264-271
  • A nonparametric approach to multiproduct pricing OPERATIONS RESEARCH Rusmevichientong, P., Van Roy, B., Glynn, P. W. 2006; 54 (1): 82-98
  • Laws of large numbers and functional central limit theorems for generalized semi-Markov processes STOCHASTIC MODELS Glynn, P. W., Haas, P. J. 2006; 22 (2): 201-231
  • A Stochastic Simulation Model of US Breast Cancer Mortality Trends from 1975 to 2000 Journal of the National Cancer Institute Monograph Plevritis, S., Sigal, B., Salzman, P., Rosenberg, J., Glynn, P., W. 2006; 36: 86-95
  • Opportunities and Challenges in Using Online Preference Data for Vehicle Pricing: A Case Study at General Motors Journal of Revenue and Pricing Managemen Ruusmevichientong, P., Salisbury, J., A., Truss, L., T., Roy, B., Van, Glynn, P., W. 2006; 1 (5): 45-61
  • Introduction to Special Issue on Stochastic Networks QUEUEING SYSTEMS Glynn, P. 2005; 51 (3-4): 197-198
  • Diffusion approximations for the maximum of a perturbed random walk ADVANCES IN APPLIED PROBABILITY Araman, V. F., Glynn, P. W. 2005; 37 (3): 663-680
  • A diffusion approximation for a GI/GI/1 queue with balking or reneging QUEUEING SYSTEMS Ward, A. R., Glynn, P. W. 2005; 50 (4): 371-400
  • Shannon meets Lyapunov: Connections between information theory and dynamical systems 2005 44TH IEEE CONFERENCE ON DECISION AND CONTROL & EUROPEAN CONTROL CONFERENCE, VOLS 1-8 Holliday, T., Glynn, P., Goldsmith, A. 2005: 1756-1763
  • Initial transient problem for steady-state output analysis PROCEEDINGS OF THE 2005 WINTER SIMULATION CONFERENCE, VOLS 1-4 Glynn, P. W. 2005: 739-740
  • Interaction Value Analysis: When Structured Communication Benefits Organizations Organization Science Nasrallah, W., Levitt, R., Glynn, P., W. 2005: 541-557
  • A Diffusion Approximation with a GIGI1 Queue with Balking or Reneging Queueing Systems: Theory and Applications Ward, A., Glynn, P., W. 2005: 371-400
  • Dynamic modeling of the tradeoff between productivity and safety in critical engineering systems RELIABILITY ENGINEERING & SYSTEM SAFETY Cowing, M. M., Pate-Cornell, M. E., Glynn, P. W. 2004; 86 (3): 269-284
  • Estimation of continuous-time Markov processes sampled at random time intervals ECONOMETRICA Duffie, D., Glynn, P. 2004; 72 (6): 1773-1808
  • Recurrence properties of autoregressive processes with super-heavy-tailed innovations JOURNAL OF APPLIED PROBABILITY Zeevi, A., Glynn, P. W. 2004; 41 (3): 639-653
  • Estimating tail decay for stationary sequences via extreme values ADVANCES IN APPLIED PROBABILITY Zeevi, A., Glynn, P. W. 2004; 36 (1): 198-226
  • On functional central limit theorems for semi-Markov and related processes COMMUNICATIONS IN STATISTICS-THEORY AND METHODS Glynn, P. W., Haas, P. J. 2004; 33 (3): 487-506
  • The mean, number-in-system vector range for multiclass queueing networks MATHEMATICS OF OPERATIONS RESEARCH Eaves, B. C., Glynn, P. W., Rothblum, U. G. 2004; 29 (1): 182-190
  • Empirical Performance of Bias-reducing Estimators for Regenerative Steady-State Simulations ACM Transactions on Modeling and Computer Simulation Hsieh, M., Iglehart, D., Glynn, P., W. 2004: 328-343
  • Distributed power and admission control for time varying wireless networks GLOBECOM '04: IEEE GLOBAL TELECOMMUNICATIONS CONFERENCE, VOLS 1-6 Holliday, T., GOLDSMITH, A., Glynn, P., Bambos, N. 2004: 768-774
  • A large deviations perspective on ordinal optimization PROCEEDINGS OF THE 2004 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Glynn, P., Juneja, S. 2004: 577-585
  • Distributed power and admission control for time-varying wireless networks 2004 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY, PROCEEDINGS Holliday, T., Goldsmith, A., Bambos, N., Glynn, P. 2004: 351-351
  • Managing power consumption in networks on chips IEEE TRANSACTIONS ON VERY LARGE SCALE INTEGRATION (VLSI) SYSTEMS Simunic, T., Boyd, S. P., Glynn, P. 2004; 12 (1): 96-107
  • Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration STATISTICAL METHODS IN MEDICAL RESEARCH Chia, Y. L., Salzman, P., Plevritis, S. K., Glynn, P. W. 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 Web of Science ID 000225102100006

    View details for PubMedID 15587436

  • Dynamic Modeling of the Trade-off Between Productivity and Safety in Critical Engineering Systems Reliability Engineering and System Safety Cowing, M., M., Pate-Cornell, M., E., Glynn, P., W. 2004: 269-284 
  • The Mean Number-in-System Vector Range for a Multi-Class Queueing Network Mathematics of Operations Research Eaves, B., C., Glynn, P., W., Rothblum, U., G. 2004: 182-190
  • Recurrence Properties of Autoregressive Processes with Super-Heavy-Tailed Innovations Advances in Applied Probability Zeevi, A., Glynn, P., W. 2004: 198-226
  • Estimating Tail Decay for Stationary Sequences via Extreme Values Journal of Applied Probability Zeevi, A., Glynn, P., W. 2004: 639-653 
  • Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals Econometrica Duffie, D., Glynn, P., W. 2004: 1809-1844 
  • Simulation-based Parameter Estimation for Complex Models: A Breast Cancer Natural History Modelling Illustration Stat. Method Res. Chia, Y., Salzman, P., Plevritis, S., Glynn, P., W. 2004: 507-24
  • Interaction value analysis: When structured communication benefits organizations ORGANIZATION SCIENCE Nasrallah, W., Levitt, R., Glynn, P. 2003; 14 (5): 541-557
  • Properties of the reflected Ornstein-Uhlenbeck process QUEUEING SYSTEMS Ward, A. R., Glynn, P. W. 2003; 44 (2): 109-123
  • Nonexistence of a class of variate generation schemes OPERATIONS RESEARCH LETTERS Henderson, S. G., Glynn, P. W. 2003; 31 (2): 83-89
  • A diffusion approximation for a Markovian queue with reneging QUEUEING SYSTEMS Ward, A. R., Glynn, P. W. 2003; 43 (1-2): 103-128
  • Optimal power control for CDMA systems in the wideband limit 2003 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY - PROCEEDINGS Holliday, T., Goldsmith, A., Glynn, P. 2003: 418-418
  • Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces ACM Transactions on Modeling and Computer Simulation Lee, S., H., Glynn, P., W. 2003: 238-258
  • Structural characterization of taboo stationarity for general processes in two-sided time STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P. W., Thorisson, H. 2002; 102 (2): 311-318
  • Kernel-based reinforcement learning in average-cost problems IEEE TRANSACTIONS ON AUTOMATIC CONTROL Ormoneit, D., Glynn, P. 2002; 47 (10): 1624-1636
  • Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes - Comment JOURNAL OF BUSINESS & ECONOMIC STATISTICS Glynn, P. 2002; 20 (3): 330-331
  • Additional perspectives on simulation for optimization INFORMS JOURNAL ON COMPUTING Glynn, P. W. 2002; 14 (3): 220-222
  • Approximating martingales for variance reduction in Markov process simulation MATHEMATICS OF OPERATIONS RESEARCH Henderson, S. G., Glynn, P. W. 2002; 27 (2): 253-271
  • Necessary conditions in limit theorems for cumulative processes STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P. W., Whitt, W. 2002; 98 (2): 199-209
  • Managing capacity and inventory jointly in manufacturing systems MANAGEMENT SCIENCE Bradley, J. R., Glynn, P. W. 2002; 48 (2): 273-288
  • Hoeffding's inequality for uniformly ergodic Markov chains STATISTICS & PROBABILITY LETTERS Glynn, P. W., Ormoneit, D. 2002; 56 (2): 143-146
  • Some new perspectives on the method of control variates MONTE CARLO AND QUASI-MONTE CARLO METHODS 2000 Glynn, P. W., Szechtman, R. 2002: 27-49
  • Confidence regions for stochastic approximation algorithms PROCEEDINGS OF THE 2002 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Hsieh, M. H., Glynn, P. W. 2002: 370-376
  • Optimal link adaptation in wideband CDMA systems GLOBECOM'02: IEEE GLOBAL TELECOMMUNICATIONS CONFERENCE, VOLS 1-3, CONFERENCE RECORDS Holliday, T., GOLDSMITH, A., Glynn, P. 2002: 721-726
  • Rare-event simulation for infinite server queues PROCEEDINGS OF THE 2002 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Szechtman, R., Glynn, P. W. 2002: 416-423
  • Optimal control of parallel queues with batch service PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES Xia, C. H., Michailidis, G., Bambos, N., Glynn, P. W. 2002; 16 (3): 289-307
  • Structural Characterization of Taboo-Stationarity for General Processes in Two-sided Time Stochastic Processes and their Applications. Glynn, P., W., Thorisson, H. 2002; 2 (102): 311-318
  • Hoeffding's Inequality for Uniformly Recurrent Markov Chains Statistics and Probability Letters. Glynn, P., W., Ormoneit, D. 2002; 2 (56): 143-146
  • On the Validity of Long-Run Estimation Methods for Discrete-Event Systems Performance Evaluation Review. Haas, P., J., Glynn, P., W. 2002; 30: 35-37
  • Event-driven power management IEEE TRANSACTIONS ON COMPUTER-AIDED DESIGN OF INTEGRATED CIRCUITS AND SYSTEMS Simunic, T., Benini, L., Glynn, P., De Micheli, G. 2001; 20 (7): 840-857
  • Computing densities for Markov chains via simulation MATHEMATICS OF OPERATIONS RESEARCH Henderson, S. G., Glynn, P. W. 2001; 26 (2): 375-400
  • Multivariate standardized time series for steady-state simulation output analysis OPERATIONS RESEARCH Munoz, D. F., Glynn, P. W. 2001; 49 (3): 413-422
  • Importance sampling using the semi-regenerative method WSC'01: PROCEEDINGS OF THE 2001 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Calvin, J. M., Glynn, P. W., Nakayama, M. K. 2001: 441-450
  • Dynamic voltage scaling and power management for portable systems 38TH DESIGN AUTOMATION CONFERENCE PROCEEDINGS 2001 Simunic, T., Benini, L., Acquaviva, A., Glynn, P., De Micheli, G. 2001: 524-529
  • Two-sided taboo limits for Markov processes and associated perfect simulation STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P. W., Thorisson, H. 2001; 91 (1): 1-20
  • Kernel-based reinforcement learning in average-cost problems: An application to optimal portfolio choice ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 13 Ormoneit, D., Glynn, P. 2001; 13: 1068-1074
  • A Markov chain perspective on adaptive Monte Carlo algorithms WSC'01: PROCEEDINGS OF THE 2001 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Desai, P. Y., Glynn, P. W. 2001: 379-384
  • Constrained Monte Carlo and the method of control variates WSC'01: PROCEEDINGS OF THE 2001 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 Szechtman, R., Glynn, P. W. 2001: 394-400
  • Regenerative Steady-State Simulation of Discrete-Event Systems Transactions on Computer Modeling and Simulation Henderson, S., G., Glynn, P., W. 2001; 11: 313-345
  • Dynamic Voltage Scaling for Portable Systems DAC Simunic, T., Benini, L., Acquaviva, A., Glynn, P., W., DeMicheli, G. 2001: 524-529
  • On the maximum workload of a queue fed by fractional Brownian motion ANNALS OF APPLIED PROBABILITY Zeevi, A. J., Glynn, P. W. 2000; 10 (4): 1084-1099
  • On the asymptotic optimality of the SPT rule for the flow shop average completion time problem OPERATIONS RESEARCH Xia, C. H., Shanthikumar, J. G., Glynn, P. W. 2000; 48 (4): 615-622
  • On the behaviour of a long cascade of linear reservoirs JOURNAL OF APPLIED PROBABILITY Glynn, J. E., Glynn, P. W. 2000; 37 (2): 417-428
  • Simulating the maximum of a random walk JOURNAL OF STATISTICAL PLANNING AND INFERENCE Ensor, K. B., Glynn, P. W. 2000; 85 (1-2): 127-135
  • On the Asymptotic Optimality of the SPT Rule for the Static Flow Shop Average Completion Time Problem Operations Research Xia, C., H., Shanthikumar, J., G., Glynn, P., W. 2000; 4 (48): 615-622 
  • Energy efficient design of portable wireless systems ISLPED '00: PROCEEDINGS OF THE 2000 INTERNATIONAL SYMPOSIUM ON LOW POWER ELECTRONICS AND DESIGN Simunic, T., Vikalo, H., Glynn, P., De Micheli, G. 2000: 49-54
  • Dynamic Power Management of Portable Systems MOBICOM Simunic, T., Benini, L., Glynn, P., W., DeMicheli, G. 2000: 11-19
  • Dynamic Power Management of Laptop Hard Disks DATE Simunic, T., Benini, L., Glynn, P., W., DeMicheli, G. 2000: 736
  • On the Behavior of a Long Cascade of Linear Reservoirs Journal of Applied Probability Glynn, J., E., Glynn, P., W. 2000; 37: 417-428
  • Derandomizing variance estimators OPERATIONS RESEARCH Henderson, S. G., Glynn, P. W. 1999; 47 (6): 907-916
  • Transient simulation via empirically based coupling PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES Wong, E. W., Glynn, P. W., Iglehart, D. L. 1999; 13 (2): 147-167
  • Transient Simulation via Empirically-Based Coupling Probability in the Engineering and Informational Sciences. Wong, E., W., Glynn, P., W., Iglehart, D., L. 1999; 13: 147 - 167
  • Limit theory for performance modeling of future event set algorithms MANAGEMENT SCIENCE Damerdji, H., Glynn, P. W. 1998; 44 (12): 1709-1722
  • Independent sampling of a stochastic process STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P., Sigman, K. 1998; 74 (2): 151-164
  • Strong approximations in queueing theory ASYMPTOTIC METHODS IN PROBABILITY AND STATISTICS Glynn, P. W. 1998: 135-150
  • Estimation of stationary densities for Markov chains 1998 WINTER SIMULATION CONFERENCE PROCEEDINGS, VOLS 1 AND 2 Glynn, P. W., Henderson, S. G. 1998: 647-652
  • Internet Service Performance Failure Detection Performance Evaluation Review Ward, A., Glynn, P., W., Richardson, K. 1998; 26 (3): 38-44
  • Limit Theory for Performance Modeling of Future Event Set Algorithms Management Science Damerdji, H., Glynn, P., W. 1998; 44: 1709-1722
  • A Family of Regenerative Moment Identities Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University Calvin, J., M., Glynn, P., W. 1998
  • Diversity and Popularity in Organizations and Communities Computational and Mathematical Organization Theory Nasrallah, W., Glynn, P., W., Levitt, R. 1998; 4 (3): 347-372
  • Approximations for steady-state measures in highly dependable systems with generally distributed component failure and repair times IEEE INTERNATIONAL COMPUTER PERFORMANCE AND DEPENDABILITY SYMPOSIUM -PROCEEDINGS Shahabuddin, P., Glynn, P. W. 1998: 238-248
  • Average case behavior of random search for the maximum JOURNAL OF APPLIED PROBABILITY Calvin, J. M., Glynn, P. W. 1997; 34 (3): 632-642
  • A batch means methodology for estimation of a nonlinear function of a steady-state mean MANAGEMENT SCIENCE Munoz, D. F., Glynn, P. W. 1997; 43 (8): 1121-1135
  • Computational efficiency evaluation in output analysis PROCEEDINGS OF THE 1997 WINTER SIMULATION CONFERENCE Damerdji, H., Henderson, S. G., Glynn, P. W. 1997: 208-215
  • The Covariance Function of a Regenerative Process Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University Glynn, P., W. 1997
  • Tightness for Non-irreducible Markov Chains Technical Report, Department of Engineering-Economic Systems and Operations Research, Stanford University Glynn, P., W., Meyn, S. 1997
  • A Liapounov bound for solutions of the Poisson equation ANNALS OF PROBABILITY Glynn, P. W., Meyn, S. P. 1996; 24 (2): 916-931
  • A diffusion approximation for a network of reservoirs with power law release rule STOCHASTIC HYDROLOGY AND HYDRAULICS Glynn, J. E., Glynn, P. W. 1996; 10 (1): 17-37
  • Efficient simulation via coupling PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES Glynn, P. W., Wong, E. W. 1996; 10 (2): 165-186
  • Special issue: Generalized semi-Markov processes - Foreword DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS Glynn, P. W. 1996; 6 (1): 7-8
  • Derandomizing and Rerandomizing Variance Estimators Technical Report, Department of Operations Research, Stanford University  Henderson, S., G., Glynn, P., W. 1996
  • A Liapunov Bound for Solutions of Poisson's Equation The Annals of Probability Glynn, P., W., Meyn, S. 1996: 916-931
  • Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions Stochastic Models Calvin, J., M., Glynn, P., W. 1996; 12 (3): 343-365
  • LIKELIHOOD RATIO GRADIENT ESTIMATION FOR STOCHASTIC RECURSIONS ADVANCES IN APPLIED PROBABILITY Glynn, P. W., LECUYER, P. 1995; 27 (4): 1019-1053
  • EFFICIENT MONTE CARLO SIMULATION OF SECURITY PRICES ANNALS OF APPLIED PROBABILITY Duffie, D., Glynn, P. 1995; 5 (4): 897-905
  • DISCRETIZATION ERROR IN SIMULATION OF ONE-DIMENSIONAL REFLECTING BROWNIAN MOTION ANNALS OF APPLIED PROBABILITY Asmussen, S., Glynn, P., Pitman, J. 1995; 5 (4): 875-896
  • Heavy-traffic extreme-value limits for queues OPERATIONS RESEARCH LETTERS Glynn, P. W., WHITT, W. 1995; 18 (3): 107-111
  • TRADING SECURITIES USING TRAILING STOPS MANAGEMENT SCIENCE Glynn, P. W., Iglehart, D. L. 1995; 41 (6): 1096-1106
  • NOTE - ON THE VALUE OF FUNCTION EVALUATION LOCATION INFORMATION IN MONTE-CARLO SIMULATION MANAGEMENT SCIENCE DiCiccio, T. J., Glynn, P. W. 1995; 41 (4): 733-737
  • A Martingale Approach to Regenerative Simulation Probability in the Engineering and Informational Sciences Glynn, P., W., Iglehart, D., L. 1995: 123-131
  • On the Value of Function Evaluation Location Information in Monte Carlo Simulation Management Science DiCiccio, T., J., Glynn, P., W. 1995; 41: 733-737 
  • Accelerated Regeneration for Markov Chain Simulations Probability in the Engineering and Informational Sciences Andradóttir, S., Calvin, J., M., Glynn, P., W. 1995: 497-523
  • POISSONS-EQUATION FOR THE RECURRENT M/G/1 QUEUE ADVANCES IN APPLIED PROBABILITY Glynn, P. W. 1994; 26 (4): 1044-1062
  • STOCHASTIC OPTIMIZATION BY SIMULATION - CONVERGENCE PROOFS FOR THE GI/G/1 QUEUE IN STEADY-STATE MANAGEMENT SCIENCE LECUYER, P., Glynn, P. W. 1994; 40 (11): 1562-1578
  • STOCHASTIC OPTIMIZATION BY SIMULATION - NUMERICAL EXPERIMENTS WITH THE M/M/1 QUEUE IN STEADY-STATE MANAGEMENT SCIENCE LECUYER, P., Giroux, N., Glynn, P. W. 1994; 40 (10): 1245-1261
  • LARGE DEVIATIONS BEHAVIOR OF COUNTING-PROCESSES AND THEIR INVERSES QUEUEING SYSTEMS Glynn, P. W., WHITT, W. 1994; 17 (1-2): 107-128
  • LIKELIHOOD RATIO SENSITIVITY ANALYSIS FOR MARKOVIAN MODELS OF HIGHLY DEPENDABLE SYSTEMS OPERATIONS RESEARCH Nakayama, M. K., Goyal, A., Glynn, P. W. 1994; 42 (1): 137-157
  • LOGARITHMIC ASYMPTOTICS FOR STEADY-STATE TAIL PROBABILITIES IN A SINGLE-SERVER QUEUE JOURNAL OF APPLIED PROBABILITY Glynn, P. W., WHITT, W. 1994; 31A: 131-156
  • Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State Management Science L'Ecuyer, P., Giroux, N., Glynn, P., W. 1994; 40: 1245-1261
  • Efficiency Improvement Techniques The Annals of Operations Research Glynn, P., W. 1994; 53: 175-198
  • Poisson's Equation for the Recurrent M/G/1 Queue Advances in Applied Probability Glynn, P., W. 1994; 26: 1044-1062
  • Large Deviations Behavior of Counting Processes and Their Inverses Queueing Systems:  Theory and Application Glynn, P., W., Whitt, W. 1994; 17: 107-128 
  • Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems Stochastic Models Nakayama, M., Goyal, A., Glynn, P., W. 1994; 10: 701-717
  • Importance Sampling for Markov Chains: Asymptotics for the Variance Stochastic Models Glynn, P., W. 1994; 10: 701-717
  • Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State Management Science L'Ecuyer, P., Glynn, P., W. 1994; 40: 1562-1578
  • NOTES - CONDITIONS FOR THE APPLICABILITY OF THE REGENERATIVE METHOD MANAGEMENT SCIENCE Glynn, P. W., Iglehart, D. L. 1993; 39 (9): 1108-1111
  • LIMIT-THEOREMS FOR CUMULATIVE PROCESSES STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P. W., WHITT, W. 1993; 47 (2): 299-314
  • ESTIMATING CUSTOMER AND TIME AVERAGES OPERATIONS RESEARCH Glynn, P. W., MELAMED, B., WHITT, W. 1993; 41 (2): 400-408
  • Limit Theorems for Cumulative Processes Stoch. Proc. Appl. Glynn, P., W., Whitt, W. 1993; 47: 299-314
  • Conditions for the Applicability of the Regenerative Method Management Science Glynn, P., W., Iglehart, D., L. 1993; 39: 1108-1111
  • PATHWISE CONVEXITY AND ITS RELATION TO CONVERGENCE OF TIME-AVERAGE DERIVATIVES MANAGEMENT SCIENCE Glynn, P. W. 1992; 38 (9): 1360-1366
  • ANALYSIS OF INITIAL TRANSIENT DELETION FOR PARALLEL STEADY-STATE SIMULATIONS SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING Glynn, P. W., Heidelberger, P. 1992; 13 (4): 904-922
  • THE ASYMPTOTIC EFFICIENCY OF SIMULATION ESTIMATORS OPERATIONS RESEARCH Glynn, P. W., WHITT, W. 1992; 40 (3): 505-520
  • EXPERIMENTS WITH INITIAL TRANSIENT DELETION FOR PARALLEL, REPLICATED STEADY-STATE SIMULATIONS MANAGEMENT SCIENCE Glynn, P. W., Heidelberger, P. 1992; 38 (3): 400-418
  • UNIFORM CESARO LIMIT-THEOREMS FOR SYNCHRONOUS PROCESSES WITH APPLICATIONS TO QUEUES STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P., Sigman, K. 1992; 40 (1): 29-43
  • A UNIFIED FRAMEWORK FOR SIMULATING MARKOVIAN MODELS OF HIGHLY DEPENDABLE SYSTEMS IEEE TRANSACTIONS ON COMPUTERS Goyal, A., Shahabuddin, P., Heidelberger, P., Nicola, V. F., Glynn, P. W. 1992; 41 (1): 36-51
  • EXPERIMENTAL RESULTS FOR GRADIENT ESTIMATION AND OPTIMIZATION OF A MARKOV-CHAIN IN STEADY-STATE SIMULATION AND OPTIMIZATION LECUYER, P., Giroux, N., Glynn, P. W. 1992; 374: 14-23
  • Analysis if Initial Transient Deletion for Parallel Steady-State Simulations SIAM J. Scientific Stat. Computing Glynn, P., W., Heidelberger, P. 1992; 13: 904-922 
  • The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations Annals of Applied Probability Glynn, P., W., Whitt, W. 1992; 2: 180-198
  • Stationarity Detection in the Initial Transient Problem ORSA Journal on Computing Asmussen, S., Glynn, P., W., Thorisson, H. 1992; 4: 226-234
  • Jackknifing Under a Budget Constraint ORSA Journal on Computing Glynn, P., W., Heidelberger, P. 1992; 4: 226-234 
  • Uniform Cesaro Limit Theorems for Synchronous Processes with Applications to Queues Stochastic Processes and their Applications Glynn, P., W., Sigman, K. 1992; 40: 29-43
  • ANALYSIS OF INITIAL TRANSIENT DELETION FOR REPLICATED STEADY-STATE SIMULATIONS OPERATIONS RESEARCH LETTERS Glynn, P. W., Heidelberger, P. 1991; 10 (8): 437-443
  • ESTIMATING THE ASYMPTOTIC VARIANCE WITH BATCH MEANS OPERATIONS RESEARCH LETTERS Glynn, P. W., WHITT, W. 1991; 10 (8): 431-435
  • A NEW VIEW OF THE HEAVY-TRAFFIC LIMIT-THEOREM FOR INFINITE-SERVER QUEUES ADVANCES IN APPLIED PROBABILITY Glynn, P. W., WHITT, W. 1991; 23 (1): 188-209
  • Analysis of Parallel Replicated Simulations Under a Completion Time Constraint ACM Transactions on Modeling and Simulation Glynn, P., W., Heidelberger, P. 1991; 1: 3-23 
  • Queues with Negative Arrivals Journal of Applied Probability Gelenbe, E., Glynn, P., W., Sigman, K. 1991; 28: 245-250
  • A New View of the Heavy-Traffic Limit Theorem for Infinite-Server Queues Advances in Applied Probability Glynn, P., W., Whitt, W. 1991; 23: 188-209
  • Departures from Many Queues in Series Annals of Applied Probability Glynn, P., W., Whitt, W. 1991; 1: 546-572
  • LIKELIHOOD RATIO GRADIENT ESTIMATION FOR STOCHASTIC-SYSTEMS COMMUNICATIONS OF THE ACM Glynn, P. W. 1990; 33 (10): 75-84
  • DISCRETE-TIME CONVERSION FOR SIMULATING FINITE-HORIZON MARKOV-PROCESSES SIAM JOURNAL ON APPLIED MATHEMATICS Fox, B. L., Glynn, P. W. 1990; 50 (5): 1457-1473
  • BIAS PROPERTIES OF BUDGET CONSTRAINED SIMULATIONS OPERATIONS RESEARCH Glynn, P. W., Heidelberger, P. 1990; 38 (5): 801-814
  • SIMULATION OUTPUT ANALYSIS USING STANDARDIZED TIME-SERIES MATHEMATICS OF OPERATIONS RESEARCH Glynn, P. W., Iglehart, D. L. 1990; 15 (1): 1-16
  • Likelihood Ratio Gradient Estimation for Stochastic Systems Communications of the ACM Glynn, P., W. 1990; 33: 75-84
  • Parallel Processors for Planning Under Uncertainty Dantzig, G., B., Glynn, P., W. 1990
  • Discrete-time Conversion for Simulating Finite-Horizon Markov Processes SIAM J. Appl. Math. Fox, B., L., Glynn, P., W. 1990; 50: 1457-1473 
  • Bias Properties of Budget Constrained Monte Carlo Simulations Operations Research Glynn, P., W., Heidelberger, P. 1990; 38: 801-814
  • Simulation Output Analysis Using Standardized Time Series Mathematics of Operations Research Glynn, P., W., Iglehart, D., L. 1990; 15: 1-16
  • IMPORTANCE SAMPLING FOR STOCHASTIC SIMULATIONS MANAGEMENT SCIENCE Glynn, P. W., Iglehart, D. L. 1989; 35 (11): 1367-1392
  • SIMULATING DISCOUNTED COSTS MANAGEMENT SCIENCE Fox, B. L., Glynn, P. W. 1989; 35 (11): 1297-1315
  • THE OPTIMAL LINEAR COMBINATION OF CONTROL VARIATES IN THE PRESENCE OF ASYMPTOTICALLY NEGLIGIBLE BIAS NAVAL RESEARCH LOGISTICS Glynn, P. W., Iglehart, D. L. 1989; 36 (5): 683-692
  • EXTENSIONS OF THE QUEUING RELATIONS L = LAMBDA-W AND H = LAMBDA-G OPERATIONS RESEARCH Glynn, P. W., WHITT, W. 1989; 37 (4): 634-644
  • A GSMP FORMALISM FOR DISCRETE EVENT SYSTEMS PROCEEDINGS OF THE IEEE Glynn, P. W. 1989; 77 (1): 14-23
  • INDIRECT ESTIMATION VIA L = LAMBDA W OPERATIONS RESEARCH Glynn, P. W., WHITT, W. 1989; 37 (1): 82-103
  • Tightness of Synchronous Processes Technical Report, Department of Operations Research, Stanford University Glynn, P., W., Sigman, K. 1989
  • Replication Schemes for Limiting Expectations Probability in the Engineering and Informational Sciences Fox, B., L., Glynn, P., W. 1989; 3: 299-318 
  • Decomposition Techniques for Multi-Area Generation and Transmission Planning Under Uncertainty Electric Power Research Institute Report EL-6484 Dantzig, G., B., Glynn, P., W. 1989
  • Simulating Discounted Costs Management Science Fox, B., L., Glynn, P., W. 1989; 35: 1297-1325 
  • Indirect Estimation via L = λW Operations Research Glynn, P., W., Whitt, W. 1989; 37: 82-103
  • Extensions of the Queueing Relations L = λW and H = λG Operations Research Glynn, P., W., Whitt, W. 1989; 37: 634-644
  • Importance Sampling for Stochastic Simulation Management Science Glynn, P., W., Iglehart, D., L. 1989; 35: 1367-1392
  • ORDINARY CLT AND WLLN VERSIONS OF L=LAMBDA-W MATHEMATICS OF OPERATIONS RESEARCH Glynn, P. W., WHITT, W. 1988; 13 (4): 674-692
  • AN LIL VERSION OF L=LAMBDA-W MATHEMATICS OF OPERATIONS RESEARCH Glynn, P. W., WHITT, W. 1988; 13 (4): 693-710
  • A NEW CLASS OF STRONGLY CONSISTENT VARIANCE ESTIMATORS FOR STEADY-STATE SIMULATIONS STOCHASTIC PROCESSES AND THEIR APPLICATIONS Glynn, P. W., Iglehart, D. L. 1988; 28 (1): 71-80
  • COMPUTING POISSON PROBABILITIES COMMUNICATIONS OF THE ACM Fox, B. L., Glynn, P. W. 1988; 31 (4): 440-445
  • On the Valuation of Payoffs from a Geometric Random Walk of Oil Prices Pacific and Asian Journal of Energy Glynn, P., W., Manne, A., S. 1988; 1 (2): 47-48 
  • An LIL Version of L = λW Mathematics of Operations Research Glynn, P., W., Whitt, W. 1988; 13: 674-692
  • Ordinary CLT and WLLN Versions of L = λW Mathematics of Operations Research Glynn, P., W., Whitt, W. 1988; 13: 693-710
  • Operations Research: The Next Decade Glynn, P., W. 1988
  • Conditions under which a Markov Chain Converges to its Steady State in Finite Time Probability in the Engineering and Informational Sciences Glynn, P., W., Iglehart, D., L. 1988; 2: 377-382
  • Simulation Methods for Queues: An Overview Queueing Systems: Theory and Applications Glynn, P., W., Iglehart, D., L. 1988; 3: 221-256
  • On the Convergence of a Regenerative Process to its Steady-State Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W. 1987
  • A Joint Central Limit Theorem for the Sample Mean and Regenerative Variance Estimator Annals of Operations Research Glynn, P., W., Iglehart, D., L. 1987; 8: 41-55
  • Estimating Time Averages via Randomly-Spaced Observations SIAM Journal of Applied Mathematics Fox, B., L., Glynn, P., W. 1987; 47: 186-200
  • Limit Theorems for the Method of Replication Stochastic Models Glynn, P., W. 1987; 3: 343-355
  • Upper Bounds for Poisson Tail Probabilities Operations Research Letters Glynn, P., W. 1987; 6,: 4-19
  • Construction of Process Differentiable Representations for Parametric Families of Distributions Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W. 1987
  • ESTIMATION OF STEADY-STATE CENTRAL MOMENTS BY THE REGENERATIVE METHOD OF SIMULATION OPERATIONS RESEARCH LETTERS Glynn, P. W., Iglehart, D. L. 1986; 5 (6): 271-276
  • Sufficient Conditions for Functional Limit Theorem Versions of L = λW Queueing Systems Glynn, P., W., Whitt, W. 1986; 1: 279-287
  • Discrete-Time Conversion for Simulating Semi-Markov Processes Operations Research Letters Fox, B., L., Glynn, P., W. 1986; 5: 191-196
  • A Central-Limit-Theorem Version of L = λW Queueing Systems:  Theory and Applications Glynn, P., W., Whitt, W. 1986; 2: 191-215
  • Consequences of Uniform Integrability for Simulation Technical Report, Department of Operations Research, Stanford University Glynn, P., W., Iglehart, D., L. 1986
  • On the Range of a Regenerative Sequence Stochastic Processes and Their Applications Glynn, P., W. 1985; 20: 105-113
  • Regenerative Structure of Markov Chains Simulated via Common Random Numbers Operations Research Letters Glynn, P., W. 1985; 4: 49-53
  • Regenerative Processes and the ø-Mixing Property TIMS Simulation Newsletter Glynn, P., W. 1985
  • Equitable Assignment Rules Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W., Sanders, J., L. 1984
  • Some Asymptotic Formulas for Markov Chain with Applications to Simulation Journal of Statistical Computation and Simulation Glynn, P., W. 1984; 19: 97-112
  • On Confidence Intervals for Cyclic Regenerative Processes Operations Research Letters Glynn, P., W. 1983; 2: 66-71
  • Randomized Estimators for Time Integrals Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W. 1983
  • On ARMA Representations for White Noise in a Markovian Environment Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W. 1983
  • Regenerative Aspects of the Steady-State Simulation Problem for Markov Chains Technical Report, Department of Operations Research, Stanford University Glynn, P., W. 1982
  • A Low Bias Steady-State Estimator for Equilibrium Processes Technical Report, Mathematics Research Center, University of Wisconsin, Madison Glynn, P., W. 1982
  • On the Markov Property of the GI/G/infty Gaussian Limit Advances in Applied Probability Glynn, P., W. 1982; 14: 191-194
  • Regenerative Simulation of Harris Recurrent Markov Chains Technical Report, Department of Operations Research, Stanford University Glynn, P., W. 1982
  • Asymptotic Theory for Nonparametric Confidence Intervals Technical Report, Department of Operations Research, Stanford University Glynn, P., W. 1982
  • Some New Results in Regenerative Process Theory Technical Report, Department of Operations Research, Stanford University Glynn, P., W. 1982
  • ON THE MARKOV PROPERTY OF THE GI/G/INFINITY GAUSSIAN LIMIT ADVANCES IN APPLIED PROBABILITY Glynn, P. W. 1982; 14 (1): 191-194

Books and Book Chapters


  • The Cross-Entropy Method for Estimation Handbook of Statistics Kroese, D., P., Rubinstein, R., Y., Glynn, P., W. 2013: 1
  • Asymptotic Validity of Batch Means Steady-State Confidence Intervals Advancing the Frontiers of Simulation: Festschrift in Honor of George S. Fishman  Glynn, P., W., Lim, E. 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 Blanchet, J., H., Leder, K., Glynn, P., W. 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 Glynn, P., W., Rubino, G., Tuffin, B. edited by Rubino, G., Tuffin, B. John Wiley. 2009: 1
  • 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 Glynn, P., W., Zeevi, A. edited by Ethier, S., Feng, J., Stockbridge, R. Institute of Mathematical Statistics. 2008: 215-234
  • Book chapter in Handbook in Operations Research and Management Science: Simulation Simulation Algorithms for Regenerative Processes Glynn, P., W. edited by Henderson, S., Nelson, B. 2006: 77-500
  • MonteCarlo and Quasi-Monte Carlo Methods 2000 Some New Perspectives on the Method of Control Variates Glynn, P., W., Szechtman, R. Springer-Verlag, Berlin. 2002: 27-49
  • Analysis of Communication Networks: Call Centres, Traffic, and Performance Fields Institute Communications Estimating Tail Probabilities in Queues via Extremal Statistics Glynn, P., W., Zeevi, A. edited by McDonald, D., Turner, S. American Mathematical Society, Rhode Island. 2000: 135-158
  • Applied Probability and Stochastic Processes Winning the Hand of the Princess Saralinda Glynn, P., W., Whitt, W.  Kluwer Academic Publishers, Boston. 1999: 231-246
  • In Lectures in Applied Mathematics, Mathematics of Stochastic Manufacturing Systems American Mathematical Society Stochastic Optimization via Grid Search Ensor, K., B., Glynn, P., W. edited by Yin, G., G., Zhang, Q.  Providence, Rhode Island. 1997: 89 – 100
  • Book chapter in Frontiers in Queueing:  Models and Applicationsin Science and Engineering Parametric Estimation of Tail Probabilities for the Single-Server Queue Glynn, P., W., Torres, M. edited by Dshalalow, J., H. CRC Press, New York. 1997: 449-462
  • In Stochastic Networks, of Mathematics and its Applications Large Deviations for the Infinite Server Queue in Heavy Traffic Glynn, P., W. 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 Glynn, P., W. edited by Niederreiter, H., Shuie, P. Lecture Notes in Statistics, Springer-Verlag, New York. 1995: 49-57
  • Discrete Event Dynamic Systems A GSMP Formalism for Discrete Event Systems Glynn, P., W. edited by Ho, Y. IEEE Press, Piscataway, NJ . 1992: 1
  • Chapter Stochastic Models:  Handbooks of OR & MS Diffusion Approximations Glynn, P., W. edited by Heyman, D., Sobel, M. Elsevier Science Publishers. Also translated into Japanese. 1990: 1
  • In Probability,Statistics, and Mathematics:  Papers in Honor of Samuel Karlin Smoothed Limit Theorems for Equilibrium Processes Glynn, P., W., Iglehart, D., L. edited by Anderson, T., W., Athreya, K., B.T., Iglehart, D.L. Academic Press, Boston. 1989: 89-102
  • Recursive Moment Formulas for the Regenerative Simulation Semi-Markov Models Glynn, P., W., Iglehart, D., L. edited by Janssen, J. Plenum Press, New York. 1986: 99-110

Conference Proceedings


  • On Simulation of Non-Markovian Stochastic Petri Nets with Heavy-Tailed Firing Times Glynn, P., W., Haas, P., J. 2012
  • A New Approach to Unbiased Estimation for SDEs Rhee, C., Glynn, P., W. 2012
  • Rare event simulation for a slotted time M/G/s model Blanchet, J., Glynn, P., Lam, H. SPRINGER. 2009: 33-57
  • Rare Event Simulation for a Generalized Hawkes Process Zhang, X., Blanchet, J., H., Giesecke, K., Glynn, P., W. 2009
  • New Estimators for Parallel Steady-State Simulations Hsieh, M., Glynn, P., W. 2009
  • Efficient Sub-Optimal Rare-Event Simulation Zhang, X., Glynn, P., W., Blanchet, J. 2007
  • Capacity of finite state channels based on Lyapunov exponents of random matrices Holliday, T., Goldsmith, A., Glynn, P. IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC. 2006: 3509-3532
  • Simulation-based Response Surface Estimation in the Presence of Monotonicity Lim, E., Glynn, P., W. 2006
  • On an Initial Transient Deletion Rule with Rigorous Theoretical Support Awad, H., Glynn, P., W. 2006
  • The Initial Transient Problem for Steady-State Output Analysis Glynn, P., W. 2005
  • Limit theory for taboo-regenerative processes Glynn, P. W., Thorisson, H. SPRINGER. 2004: 271-294
  • Distributed Power Control for Time-Varying Wireless Networks Holliday, T., Goldsmith, A., Bambos, N., Glynn, P., W. 2004
  • A Large Deviations Perspective on Ordinal Optimization Glynn, P., W., Juneja, S. 2004
  • Distributed Power Control for Time-Varying Wireless Networks: Optimality and Convergence Holliday, T., Bambos, N., Glynn, P., W., Goldsmith, A. 2003
  • Capacity of finite state Markov channels with general inputs Holliday, T., Goldsmith, A., Glynn, P. IEEE. 2003: 289-289
  • Capacity of Finite State Markov Channels with General Inputs Holliday, T., Goldsmith, A., Glynn, P., W. 2003
  • Optimal Power Control for CDMA Systems in the Wideband Limit Holliday, T., Goldsmith, A., Glynn, P., W. 2003
  • Wireless link adaptation policies: QoS for deadline constrained traffic with imperfect channel estimates Holliday, T., GOLDSMITH, A., Glynn, P. IEEE. 2002: 3366-3371
  • Entropy and Mutual Information for Markov Channels with General Inputs Holliday, T., Goldsmith, A., Glynn, P., W. 2002
  • Constrained Monte Carlo and the Method of Control Variates Szechtman, R., Glynn, P., W. 2001
  • On the Small-Sample Optimality of Multiple-Regeneration Estimators Calvin, J., Glynn, P., W., Nakayama, M. 1999
  • Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces Lee, S., H., Glynn, P., W. 1999
  • Internet Service Performance Failure Detection Ward, A., Glynn, P., W., Richardson, K. 1999
  • Can the Regenerative Method be Applied to Discrete-Event Simulations? Henderson, S., G., Glynn, P., W. 1999
  • Independent Sampling of a Stochastic Process Glynn, P., W., Sigman, K. 1998
  • DTMW: A New Congestion Control Scheme for Long-Range Dependent Traffic Huang, C., Lambadaris, I., Devetsikiotis, M., Glynn, P., W., Kaye, A., R. 1998
  • Selecting the best system in transient simulations with variances known Damerdji, H., Glynn, P. W., Nakayama, M. K., Wilson, J. R. IEEE. 1996: 281-286
  • Nonparametric estimation of tail probabilities for the single-server queue Glynn, P. W., Torres, M. SPRINGER-VERLAG. 1996: 109-138
  • Numerical Computation of Large Deviations Exponents via Simulation Glynn, P., W. 1996
  • Importance Sampling for Monte Carlo Estimation of Quantiles Glynn, P., W. 1996
  • Grid-based simulation and the method of conditional least squares Ensor, K. B., Glynn, P. W. IEEE. 1996: 325-331
  • The interface between simulation output analysis research and practice Glynn, P. W., HENRIKSEN, J. O., PEGDEN, C. D., Schmeiser, B. W., Schruben, L. W. I E E E. 1995: 346-346
  • A set of extensions to the SIMAN/ARENA simulation environment Torres, M. J., Glynn, P. W. I E E E. 1995: 285-293
  • Some new results on the initial transient problem Glynn, P. W. I E E E. 1995: 165-170
  • Performance analysis of future event sets Damerdji, H., Glynn, P. W. I E E E. 1995: 316-321
  • SOME TOPICS IN REGENERATIVE STEADY-STATE SIMULATION Glynn, P. W. KLUWER ACADEMIC PUBL. 1994: 225-236
  • INCREASING THE FREQUENCY OF REGENERATION FOR MARKOV PROCESSES Andradottir, S., Calvin, J. M., Glynn, P. W. I E E E. 1994: 320-323
  • On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions Glynn, P., W., L'Ecuyer, P. 1994
  • EFFICIENT ESTIMATION OF THE MEAN TIME BETWEEN FAILURES IN NON-REGENERATIVE DEPENDABILITY MODELS Glynn, P. W., Heidelberger, P., Nicola, V. F., Shahabuddin, P. I E E E. 1993: 311-316
  • FAST SIMULATION OF STEADY-STATE AVAILABILITY IN NON-MARKOVIAN HIGHLY DEPENDABLE SYSTEMS Nicola, V. F., Shahabuddin, P., Heidelberger, P., Glynn, P. W. I E E E, COMPUTER SOC PRESS. 1993: 38-47
  • GRADIENT ESTIMATION FOR REGENERATIVE PROCESSES Glasserman, P., Glynn, P. W. I E E E. 1992: 280-288
  • Experimental Results for Gradient Estimation and Optimization of a Markov Chain in Steady-State L'Ecuyer, P., Giroux, N., Glynn, P., W. 1992
  • GRADIENT ESTIMATION FOR RATIOS Glynn, P. W., LECUYER, P., Ades, M. I E E E. 1991: 986-993
  • Decomposition and Parallel Processing Techniques for Large Scale Electric Power System Planning Under Uncertainty Avriel, M., Dantzig, G., B., Glynn, P., W. 1990
  • Optimization of Stochastic Systems via Simulation Glynn, P., W. 1989
  • Likelihood Ratio Derivative Estimators for Stochastic Systems Glynn, P., W. 1989
  • Computational and Statistical Issues in Discrete-Event Simulation Glynn, P., W., Iglehart, D., L. 1988
  • A Non-Rectangular Sampling Plan for Estimating Steady-State Means Glynn, P., W. 1988
  • Variance Reduction in Mean Time to Failure Simulations Shahabuddin, P., Nicola, V., Heidelberger, P., Goyal, A., Glynn, P., W. 1988
  • Likelihood Ratio Gradient Estimation: An Overview Glynn, P., W. 1987
  • A New Initial Bias Deletion Rule Glynn, P., W., Iglehart, D., L. 1987
  • Problems in Bayesian Analysis of Stochastic Simulation Glynn, P., W. 1986
  • Optimization of Stochastic Systems Glynn, P., W. 1986
  • Sensitivity Analysis for Stationary Probabilities of a Markov Chain Glynn, P., W. 1986
  • Monte Carlo Optimization of Stochastic Systems: Two New Approaches Glynn, P., W., Sanders, J., L. 1986
  • Stochastic Approximation for Monte Carlo Optimization Glynn, P., W. 1986
  • Large-Sample Theory for Standardized Times Series: An Overview Glynn, P., W., Iglehart, D., L. 1985
  • Steady-State Confidence Interval Methodology: Regenerative Methods Glynn, P., W., Iglehart, D., L. 1984
  • On the Role of Generalized Semi-Markov Processes in Simulation Output Analysis Glynn, P., W. 1983
  • Coverage Error for Confidence Intervals Arising in Simulation Output Analysis Glynn, P., W. 1982
  • Simulation Output Analysis for General State Space Markov Chains Glynn, P., W., Iglehart, D., L. 1982