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Zero-variance importance sampling estimators for Markov process expectations

Awad, Hernan P.; Glynn, Peter W.; Rubinstein, Reuven Y. - In: Mathematics of operations research 38 (2013) 2, pp. 358-388

Persistent link: https://www.econbiz.de/10009751518

Simulation and the Monte Carlo Method

Rubinstein, Reuven Y. - 1981

Persistent link: https://www.econbiz.de/10013490116

Simulation algorithms for regenerative processes

Glynn, Peter W. - In: Simulation, (pp. 477-500). 2006

Persistent link: https://www.econbiz.de/10003588034

Optimization and sensitivity analysis of computer simulation models by the score function method

Kleijnen, Jack P. C.; Rubinstein, Reuven Y. - 1995

Persistent link: https://www.econbiz.de/10000912240

Efficiency of multivariate control variates in Monte Carlo simulation

Rubinstein, Reuven Y. - In: Operations research 33 (1985) 3, pp. 661-677

Persistent link: https://www.econbiz.de/10001019493

Monte Carlo methods for simulation, optimization, and counting (in honor of Reuven Rubinstein's 70th birthday)

Kroese, Dirk P. (contributor); … - 2011

Persistent link: https://www.econbiz.de/10009626242

Limit Theory for Performance Modeling of Future Event Set Algorithms

Damerdji, Halim; Glynn, Peter W. - In: Management Science 44 (1998) 12-Part-1, pp. 1709-1722

In a discrete-event simulation, the information related to the events scheduled to occur in the future is kept in a data structure called the future event set (FES). In this paper, we study the interaction hold model, a popular stochastic model for FES performance analysis, corresponding to the...

Persistent link: https://www.econbiz.de/10009209109

Stochastic optimization by simulation : convergence proofs for the GI/G/1 queue in steady-state

L'Ecuyer, Pierre - In: Management science : journal of the Institute for … 40 (1994) 11, pp. 1562-1578

Persistent link: https://www.econbiz.de/10001176000

Asymptotic validity of batch means steady-state confidence intervals

Glynn, Peter W.; Lim, Eunji - In: Advancing the frontiers of simulation : a Festschrift …, (pp. 87-104). 2009

Persistent link: https://www.econbiz.de/10003918941

Affine point processes : approximation and efficient simulation

Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, … - In: Mathematics of operations research 40 (2015) 4, pp. 797-819

Persistent link: https://www.econbiz.de/10011408901