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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
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Tail Distribution of the Maximum of Correlated Gaussian Random Variables
Botev, Zdravko I. - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10013010233
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Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models
Haurie, Alain; L'Ecuyer, Pierre; Van Delft, Christian - 1993
Persistent link: https://www.econbiz.de/10000874785
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Approximating zero-variance importance sampling in a reliability setting
L'Ecuyer, Pierre; Tuffin, Bruno - 2011
Persistent link: https://www.econbiz.de/10009305691
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Efficient jump ahead for F 2 -linear random number generators
Haramoto, Hiroshi; Matsumoto, Makoto; Nishimura, Takuji; … - In: INFORMS journal on computing : JOC 20 (2008) 3, pp. 385-390
Persistent link: https://www.econbiz.de/10003770169
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Rate-based daily arrival process models with application to call centers
Oreshkin, Boris N.; Réegnard, Nazim; L'Ecuyer, Pierre - In: Operations research 64 (2016) 2, pp. 510-527
Persistent link: https://www.econbiz.de/10011485622
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Dynamic call center routing policies using call waiting and agent idle times
Chan, Wyean; Koole, Ger M.; L'Ecuyer, Pierre - In: Manufacturing & service operations management : M & SOM 16 (2014) 4, pp. 544-560
Persistent link: https://www.econbiz.de/10010526446
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Modeling and forecasting call center arrivals : a literature survey and a case study
Ibrahim, Rouba; Ye, Han; L'Ecuyer, Pierre; Shen, Haipeng - In: International journal of forecasting 32 (2016) 3, pp. 865-874
Persistent link: https://www.econbiz.de/10011621847
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A simulation-based decomposition approach for two-stage staffing optimization in call centers under arrival rate uncertainty
Thuy Anh Ta; Chan, Wyean; Bastin, Fabian; L'Ecuyer, Pierre - In: European journal of operational research : EJOR 293 (2021) 3, pp. 966-979
Persistent link: https://www.econbiz.de/10012533794
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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