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Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods.
- Published in:
- Journal of Management Science & Engineering, 2022, v. 7, n. 4, p. 550, doi. 10.1016/j.jmse.2022.02.002
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- Publication type:
- Article
Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods.
- Published in:
- Journal of Management Science & Engineering, 2022, v. 7, n. 4, p. 550, doi. 10.1016/j.jmse.2022.02.002
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- Publication type:
- Article
Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning.
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- INFORMS Journal on Computing, 2022, v. 34, n. 3, p. 1729, doi. 10.1287/ijoc.2021.1135
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- Article
On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling.
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- Mathematical Programming, 2021, v. 190, n. 1/2, p. 1, doi. 10.1007/s10107-020-01518-w
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- Publication type:
- Article
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks.
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- Bulletin of Mathematical Biology, 2021, v. 83, n. 8, p. 1, doi. 10.1007/s11538-021-00920-5
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- Article
Sampling Conditionally on a Rare Event via Generalized Splitting.
- Published in:
- INFORMS Journal on Computing, 2020, v. 32, n. 4, p. 986, doi. 10.1287/ijoc.2019.0936
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- Article
Spectral Analysis of the MIXMAX Random Number Generators.
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- INFORMS Journal on Computing, 2020, v. 32, n. 1, p. 135, doi. 10.1287/ijoc.2018.0878
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- Article
Revenue-Maximizing Rankings for Online Platforms with Quality-Sensitive Consumers.
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- Operations Research, 2017, v. 65, n. 2, p. 408, doi. 10.1287/opre.2016.1569
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- Publication type:
- Article
Rate-Based Daily Arrival Process Models with Application to Call Centers.
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- Operations Research, 2016, v. 64, n. 2, p. 510, doi. 10.1287/opre.2016.1484
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- Publication type:
- Article
Dynamic Call Center Routing Policies Using Call Waiting and Agent Idle Times.
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- M&SOM: Manufacturing & Service Operations Management, 2014, v. 16, n. 4, p. 544, doi. 10.1287/msom.2014.0493
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- Publication type:
- Article
On the Lattice Structure of a Special Class of Multiple Recursive Random Number Generators.
- Published in:
- INFORMS Journal on Computing, 2014, v. 26, n. 3, p. 449, doi. 10.1287/ijoc.2013.0576
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- Publication type:
- Article
Static Network Reliability Estimation via Generalized Splitting.
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- INFORMS Journal on Computing, 2013, v. 25, n. 1, p. 56, doi. 10.1287/ijoc.1110.0493
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- Publication type:
- Article
Forecasting Call Center Arrivals: Fixed-Effects, Mixed-Effects, and Bivariate Models.
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- M&SOM: Manufacturing & Service Operations Management, 2013, v. 15, n. 1, p. 72, doi. 10.1287/msom.1120.0405
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- Publication type:
- Article
A normal copula model for the arrival process in a call center.
- Published in:
- International Transactions in Operational Research, 2012, v. 19, n. 6, p. 771, doi. 10.1111/j.1475-3995.2012.00845.x
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- Publication type:
- Article
Approximating zero-variance importance sampling in a reliability setting.
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- Annals of Operations Research, 2011, v. 189, n. 1, p. 277, doi. 10.1007/s10479-009-0532-5
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- Publication type:
- Article
Quasi-Monte Carlo methods with applications in finance.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 3, p. 307, doi. 10.1007/s00780-009-0095-y
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- Article
Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence.
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- INFORMS Journal on Computing, 2009, v. 21, n. 1, p. 88, doi. 10.1287/ijoc.1080.0281
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- Publication type:
- Article
Efficient Jump Ahead for F<sub>2</sub>-Linear Random Number Generators.
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- INFORMS Journal on Computing, 2008, v. 20, n. 3, p. 385, doi. 10.1287/ijoc.1070.0251
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- Article
A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains.
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- Operations Research, 2008, v. 56, n. 4, p. 958, doi. 10.1287/opre.1080.0556
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- Publication type:
- Article
Staffing Multiskill Call Centers via Linear Programming and Simulation.
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- Management Science, 2008, v. 54, n. 2, p. 310, doi. 10.1287/mnsc.1070.0824
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- Publication type:
- Article
The application of forecasting techniques to modeling emergency medical system calls in Calgary, Alberta.
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- 2007
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- Publication type:
- journal article
Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model.
- Published in:
- Management Science, 2006, v. 52, n. 12, p. 1930, doi. 10.1287/mnsc.1060.0575
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- Publication type:
- Article
Combination of General Antithetic Transformations and Control Variables.
- Published in:
- Mathematics of Operations Research, 2004, v. 29, n. 4, p. 946, doi. 10.1287/moor.1040.0101
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- Article
Modeling Daily Arrivals to a Telephone Call Center.
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- Management Science, 2004, v. 50, n. 7, p. 896, doi. 10.1287/mnsc.1040.0236
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- Publication type:
- Article
AN OBJECT-ORIENTED RANDOM-NUMBER PACKAGE WITH MANY LONG STREAMS AND SUBSTREAMS.
- Published in:
- Operations Research, 2002, v. 50, n. 6, p. 1073, doi. 10.1287/opre.50.6.1073.358
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- Publication type:
- Article
A Dynamic Programming Procedure for Pricing American-Style Asian Options.
- Published in:
- Management Science, 2002, v. 48, n. 5, p. 625, doi. 10.1287/mnsc.48.5.625.7803
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- Publication type:
- Article
GLOBAL STOCHASTIC OPTIMIZATION WITH LOW-DISPERSION POINT SETS.
- Published in:
- Operations Research, 2000, v. 48, n. 6, p. 939, doi. 10.1287/opre.48.6.939.12393
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- Publication type:
- Article
Variance Reduction via Lattice Rules.
- Published in:
- Management Science, 2000, v. 46, n. 9, p. 1214, doi. 10.1287/mnsc.46.9.1214.12231
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- Publication type:
- Article
CLOSE-POINT SPATIAL TESTS AND THEIR APPLICATION TO RANDOM NUMBER GENERATORS.
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- Operations Research, 2000, v. 48, n. 2, p. 308
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- Publication type:
- Article
GOOD PARAMETERS AND IMPLEMENTATIONS FOR COMBINED MULTIPLE RECURSIVE RANDOM NUMBER GENERATORS.
- Published in:
- Operations Research, 1999, v. 47, n. 1, p. 159, doi. 10.1287/opre.47.1.159
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- Publication type:
- Article
An Implementation of the Lattice and Spectral Tests for Multiple Recursive Linear Random Number Generators.
- Published in:
- INFORMS Journal on Computing, 1997, v. 9, n. 2, p. 206, doi. 10.1287/ijoc.9.2.206
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- Publication type:
- Article
Bad Lattice Structures for Vectors of Nonsuccesive Values Produced by Some Linear Recurrences.
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- INFORMS Journal on Computing, 1997, v. 9, n. 1, p. 57, doi. 10.1287/ijoc.9.1.57
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- Publication type:
- Article
Combined multiple recursive random number generators.
- Published in:
- Operations Research, 1996, v. 44, n. 5, p. 816, doi. 10.1287/opre.44.5.816
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- Publication type:
- Article
Simulation of Algorithms for Performance Analysis.
- Published in:
- INFORMS Journal on Computing, 1996, v. 8, n. 1, p. 16, doi. 10.1287/ijoc.8.1.16
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- Publication type:
- Article
Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators.
- Published in:
- Management Science, 1995, v. 41, n. 4, p. 738, doi. 10.1287/mnsc.41.4.738
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- Publication type:
- Article
Stochastic Optimization by Simulation: Convergence Proofs for GI/G/1 Queue in Steady-State.
- Published in:
- Management Science, 1994, v. 40, n. 11, p. 1562, doi. 10.1287/mnsc.40.11.1562
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- Article
Uniform random number generation.
- Published in:
- Annals of Operations Research, 1994, v. 53, n. 1-4, p. 77, doi. 10.1007/BF02136827
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- Publication type:
- Article
Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State.
- Published in:
- Management Science, 1994, v. 40, n. 10, p. 1245, doi. 10.1287/mnsc.40.10.1245
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- Publication type:
- Article
On the convergence rates of IPA and FDC derivative estimators.
- Published in:
- Operations Research, 1994, v. 42, n. 4, p. 643, doi. 10.1287/opre.42.4.643
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- Publication type:
- Article
Gradient estimation via perturbation analysis, by Paul Glasserman, Kluwer, Boston. MA, 1991, 221 pp.
- Published in:
- Networks, 1994, v. 24, n. 2, p. 127, doi. 10.1002/net.3230240217
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- Article
CONVERGENCE RATES FOR STEADY-STATE DERIVATIVE ESTIMATORS.
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- Annals of Operations Research, 1992, v. 39, n. 1-4, p. 121, doi. 10.1007/BF02060938
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- Publication type:
- Article
A UNIFIED VIEW OF THE IPA, SF, AND LR GRADIENT ESTIMATION TECHNIQUES.
- Published in:
- Management Science, 1990, v. 36, n. 11, p. 1364, doi. 10.1287/mnsc.36.11.1364
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- Publication type:
- Article
DISCRETE EVENT DYNAMIC PROGRAMMING WITH SIMULTANEOUS EVENTS.
- Published in:
- Mathematics of Operations Research, 1988, v. 13, n. 1, p. 152, doi. 10.1287/moor.13.1.152
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- Publication type:
- Article
The Repair VS. Replacement problem: A stochastic control approach.
- Published in:
- Optimal Control - Applications & Methods, 1987, v. 8, n. 3, p. 219, doi. 10.1002/oca.4660080304
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- Publication type:
- Article