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Semiparametric cross entropy for rare-event simulation

Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013

Persistent link: https://www.econbiz.de/10010191281

Fast and accurate computation of the distribution of sums of dependent log-normals

Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019

Persistent link: https://www.econbiz.de/10012116201

Quasi-Monte Carlo methods with applications in finance

L'Ecuyer, Pierre - In: Finance and stochastics 13 (2009) 3, pp. 307-349

Persistent link: https://www.econbiz.de/10003899308

Approximating zero-variance importance sampling in a reliability setting

L'Ecuyer, Pierre; Tuffin, Bruno - 2011

Persistent link: https://www.econbiz.de/10009305691

An adaptive zero-variance importance sampling approximation for static network dependability evaluation

Tuffin, Bruno; Saggadi, Samira; L'Ecuyer, Pierre - In: Computers & operations research : and their … 45 (2014), pp. 51-59

Persistent link: https://www.econbiz.de/10010251627

Monte carlo and quasi-Monte carlo density estimation via conditioning

L'Ecuyer, Pierre; Puchhammer, Florian; Ben Abdellah, Amal - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1729-1748

Persistent link: https://www.econbiz.de/10013361837

Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks

Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021

Persistent link: https://www.econbiz.de/10012599478

Construction-free median quasi-Monte Carlo rules for function spaces with unspecified smoothness and general weights

Goda, Takashi; L'Ecuyer, Pierre - 2022

Persistent link: https://www.econbiz.de/10013279838

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: Journal of management science and engineering 7 (2022) 4, pp. 550-577

The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...

Persistent link: https://www.econbiz.de/10014315671

Confidence intervals for randomized quasi-Monte Carlo estimators

L'Ecuyer, Pierre; Nakayama, Marvin K.; Owen, Art B.; … - 2023

Persistent link: https://www.econbiz.de/10014483197