The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider...

In this paper we describe a Sequential Importance Sampling (SIS) procedure for counting the number of vertex covers in general graphs. The performance of SIS depends heavily on how close the SIS proposal distribution is to a uniform one over a suitably restricted set. The proposed algorithm...

A portable package for uniform random number generation is proposed, based on a backbone generator with period length near 2121, which combines four linear congruential generators. The package provides for multiple (virtual) generators evolving in parallel. Each generator has many disjoint...

We examine and compare simulation-based algorithms for solving the agent scheduling problem in a multiskill call center. This problem consists in minimizing the total costs of agents under constraints on the expected service level per call type, per period, and aggregated. We propose a solution...

We develop and study efficient Monte Carlo algorithms for pricing path-dependent options with the variance gamma model. The key ingredient is difference-of-gamma bridge sampling, based on the representation of a variance gamma process as the difference of two increasing gamma processes. For...

Approaches like finite differences with common random numbers, infinitesimal perturbation analysis, and the likelihood ratio method have drawn a great deal of attention recently as ways of estimating the gradient of a performance measure with respect to continuous parameters in a dynamic...

Pricing European-style Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for which no easily computable analytical solution is available. Pricing their American-style counterparts, which provide early...

We study an iterative cutting-plane algorithm on an integer program for minimizing the staffing costs of a multiskill call center subject to service-level requirements that are estimated by simulation. We solve a sample average version of the problem, where the service levels are expressed as...