@INCOLLECTION {vACW97a,
AUTHOR="P. Acworth and M. Broadie and P. Glasserman",
TITLE="A Comparison of Some {M}onte {C}arlo and
quasi-{M}onte {C}arlo Techniques for Option Pricing",
BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1996},
EDITOR = {P. Hellekalek and G. Larcher and H. Niederreiter
and P. Zinterhof},
PUBLISHER={Springer-Verlag},
ADDRESS={New York},
SERIES={Lecture Notes in Statistics},
VOLUME={127},
YEAR={1998},
PAGES={1--18} }
@ARTICLE {vAHA06a,
AUTHOR={I. Ahamed and V. S. Borkar and S. Juneja},
YEAR={2006},
TITLE="Adaptive Importance Sampling for {M}arkov Chains using Stochastic Approximation",
JOURNAL={Operations Research},
VOLUME={54},
NUMBER={3},
PAGES={489--504} }
@INPROCEEDINGS {vAKI01a,
AUTHOR="O. Akin and J. K. Townsend",
TITLE="Efficient Simulation of {TCP/IP} Networks Characterized by
Non-Rare Events Using {DPR}-Based Splitting",
PAGES = {1734--1740},
BOOKTITLE={Proceedings of {IEEE Globecom}},
YEAR={2001} }
@Article{vALE92a,
author = {C. Alexopoulos and G. S. Fishman},
title = {Capacity Expansion in Stochastic Flow Networks},
journal = {Probability in the Engineering and Informational Sciences},
year = {1992},
volume = {6},
number = {},
pages = {99--118}
}
@Article{vALE93a,
author = {C. Alexopoulos and G. S. Fishman},
title = {Sensitivity Analysis in Stochastic Flow Networks Using the {M}onte {C}arlo method},
journal = {Networks},
year = {1993},
volume = {23},
number = {},
pages = {605--621}
}
@ARTICLE {vALE01a,
AUTHOR="C. Alexopoulos and B. C. Shultes",
YEAR={2001},
TITLE="Estimating Reliability Measures for Highly-Dependable
{M}arkov Systems, Using Balanced Likelihood Ratios",
JOURNAL={{IEEE} Transactions on reliability},
VOLUME={50},
NUMBER = {3},
PAGES={265--280} }
@ARTICLE {vALQ93a,
AUTHOR="W. A. Al-Qaq and M Devetsikiotis and K. R. Townsend",
YEAR={1993},
TITLE="Importance Sampling Methodologies for Simulation of
Communication Systems with Adaptive Equalizers and
Time-Varying Channels",
JOURNAL={IEEE Journal on Selected Areas in Communications},
VOLUME={11},
PAGES={317--327} }
@article{vAMR11a,
author = {M. Amrein and H. K\"unsch},
title = {A Variant of Importance Splitting for Rare Event Estimation:
Fixed Number of Successes},
pages = {Article 12},
year = {2011},
volume = {21},
number = {2},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
}
@ARTICLE {vANA92a,
AUTHOR="V. Anantharam",
YEAR={1992},
TITLE="On Fast Simulation of the Time to Saturation of
Slotted {ALOHA}",
JOURNAL={Journal of Applied Probability},
VOLUME={29},
PAGES={682--690} }
@TechReport{vAND72a,
author = {I. J. Andr\'easson and G. Dahlquist},
title = {Groups of antithetic transformations in simulation},
institution = {Royal Institute of Technology},
year = {1972},
address = {Stockholm, Sweden},
note = {Technical Report NA 72.57},
OPTannote = {}
}
@TechReport{vAND72b,
author = {I. J. Andr\'easson},
title = {Combinations of antithetic methods in simulation},
institution = {Royal Institute of Technology},
year = {1972},
address = {Stockholm, Sweden},
note = {Technical Report NA 72.49},
OPTannote = {}
}
@ARTICLE {vAND93a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
YEAR={1993},
TITLE="Variance Reduction Through Smoothing and Control Variates
for {M}arkov Chain Simulations",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={167--189} }
@ARTICLE {vAND95a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
YEAR={1995},
TITLE="On the Choice of Alternative Measures in
Importance Sampling with {M}arkov Chains",
JOURNAL={Operations Research},
VOLUME={43},
NUMBER={3},
PAGES={509--519} }
@ARTICLE{vAND95b,
AUTHOR = {S. Andrad\'ottir and J. M. Calvin and P. W. Glynn},
TITLE = {Accelerated regeneration for {M}arkov chain simulations},
YEAR = {1995},
JOURNAL = {Probability in the Engineering and Informational Sciences},
VOLUME = {9},
PAGES = {497-523} }
@ARTICLE {vAND96a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
TITLE="Potentially Unlimited Variance Reduction
in Importance Sampling of {M}arkov Chains",
JOURNAL={Advances in Applied Probability},
YEAR={1996},
VOLUME = {28},
PAGES = {166-188} }
@inproceedings{vAND09a,
author = {C. Andrieu, A. Doucet and R. Holenstein},
title = {Particle {M}arkov Chain {M}onte {C}arlo for Efficient Numerical Simulation},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {45--60},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vARV82a,
AUTHOR="N. I. Arvidsen and T. Johnsson",
YEAR={1982},
TITLE="Variance Reduction Through Negative Correlation,
a Simulation Study",
JOURNAL={Journal of Statistical and Computer Simulation},
VOLUME={15},
PAGES={119--127} }
@ARTICLE {vASM90a,
AUTHOR="S. Asmussen",
YEAR={1990},
TITLE="Exponential Families and Regression in the {M}onte {C}arlo
Study of Queues and Random Walks",
JOURNAL={Annals of Statistics},
VOLUME={18},
PAGES={1851--1867} }
@ARTICLE {vASM94a,
AUTHOR="S. Asmussen",
YEAR={1994},
TITLE="Busy Period Analysis, Rare Events, and Transient
Behaviour in Fluid Models",
JOURNAL={Journal of Applied Mathematics and Stochastic Analysis},
NOTE={To appear} }
@Article{vASM94b,
author = {S. Asmussen and R. Y. Rubinstein and C. L. Wang},
title = {Regenerative Rare Events Simulation via Likelihood Ratios},
journal = {Journal of Applied Probability},
year = {1994},
volume = {31},
pages = {797--815},
OPTannote = {}
}
@InCollection{vASM95a,
author = {S. Asmussen and R. Rubinstein},
title = {Complexity Properties of Steady-State Rare Events
Simulation in Queueing Models},
booktitle = {Advances in Queueing: Theory, Methods, and Open Problems},
publisher = {CRC Press},
year = {1995},
editor = {J. Dshalalow},
OPTaddress = {},
pages = {429--462},
OPTannote = {}
}
@incollection {vASM96a,
author = {S. Asmussen},
title = {Rare Events in the Presence of Heavy Tails},
booktitle = {Stochastic Networks: Stability and Rare Events},
editor = {P. Glasserman, K. Sigman, and D. D. Yao},
publisher = {Springer-Verlag},
address = {New York},
volume = {117},
pages = {197--214},
year = {1996},
series = {Lecture Notes in Statistics}
}
@Article{vASM97a,
author = {S. Asmussen and K. Binswanger},
title = {Simulation of ruin probabilities for subexponential claims},
journal = {{ASTIN} Bulletin},
year = {1997},
volume = {27},
number = {2},
pages = {297--318},
}
@Article{vASM00a,
author = {S. Asmussen and K. Binswanger and B. H{\o}jgaard},
title = {Rare events simulations for heavy-tailed distributions},
journal = {Bernoulli},
year = {2000},
volume = {6},
OPTnumber = {},
pages = {303--322},
}
@inproceedings {vASM02a,
AUTHOR = "S. Asmussen",
TITLE = {Large Deviations in Rare Events Simulation:
Examples, Counterexamples, and Alternatives},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {1--9},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vAVR91a,
AUTHOR="A. N. Avramidis and K. W. {Bauer Jr.} and J. R. Wilson",
YEAR={1991},
TITLE="Simulation of Stochastic Activity Networks Using
Path Control Variates",
JOURNAL={Journal of Naval Research},
VOLUME={38},
PAGES={183--201} }
@ARTICLE {vAVR93a,
AUTHOR="A. N. Avramidis and J. R. Wilson",
YEAR={1993},
TITLE="A Splitting Scheme for Control Variates",
JOURNAL={Operations Research Letters},
VOLUME={14},
PAGES={187--198} }
@ARTICLE {vAVR96a,
ex = "vAVR94a",
AUTHOR="A. N. Avramidis and J. R. Wilson",
TITLE="Integrated Variance Reduction Strategies for Simulation",
JOURNAL={Operations Research},
YEAR = {1996},
VOLUME = {44},
PAGES = {327-346} }
@ARTICLE {vAVR98a,
AUTHOR="A. N. Avramidis and J. R. Wilson",
TITLE="Correlation-Induction Techniques for Estimating Quantiles
in Simulation Experiments",
JOURNAL={Operations Research},
YEAR = {1998},
VOLUME = {46},
number = {4},
PAGES = {574--591} }
@ARTICLE {vBAG00a,
AUTHOR="K. Baggerly and D. Cox and R. Picard",
TITLE="Exponential Convergence of Adaptive Importance Sampling for {M}arkov Chains",
JOURNAL={Journal of Applied Probability},
YEAR = {2000},
VOLUME = {37},
number = {2},
PAGES = {342--358} }
@Article{vBAR95a,
author = {J. Barraquand},
title = {Numerical Valuation of High-Dimensional Multivariate
{E}uropean Securities},
journal = {Management Science},
year = {1995},
OPTkey = {},
volume = {41},
OPTnumber = {},
OPTmonth = {},
pages = {1882--1891},
OPTnote = {},
OPTannote = {}
}
@inproceedings{vBAR09a,
author = {O. Bardou and N. Frikha and G. Pag\`es},
title = {Recursive Computation of Value-at-Risk and Conditional
Value-at-Risk using {MC} and {QMC}},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {193--208},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@PHDTHESIS {vBAU87a,
AUTHOR="K. W. {Bauer Jr.}",
YEAR={1987},
TITLE="Control-Variate Selection for Multiresponse Simulation",
SCHOOL={School of Industrial Engineering, Purdue University},
ADDRESS={West Lafayette, Indiana} }
@ARTICLE {vBAU92a,
AUTHOR="K. W. {Bauer Jr.} and J. R. Wilson",
YEAR={1992},
TITLE="Control-Variate Selection Criteria",
JOURNAL={Naval Research Logistics},
VOLUME={39},
PAGES={307--321} }
@ARTICLE {vBAY72a,
AUTHOR="A. J. Bayes",
YEAR={1972},
TITLE="A Minimum Variance Technique for Simulation Models",
JOURNAL={Journal of the {ACM}},
VOLUME={19},
PAGES={734--741} }
@ARTICLE {vBEC99a,
AUTHOR = {B. Beck and A. R. Dabrowski and D. R. McDonald},
TITLE = {A Unified Approach to Fast Teller Queues and {ATM}},
YEAR = {1999},
JOURNAL = {Journal of Applied Probability},
VOLUME = {31},
PAGES = {758-787} }
@Article{vBEN95a,
author = {K. {Ben Letaief}},
title = {Performance Analysis of Digital Lightwave Systems
Using Efficient Computer Simulation Techniques},
journal = {{IEEE} Transactions on Communications},
year = {1995},
volume = {43},
pages = {240--251},
OPTannote = {}
}
@Article{vBEN04a,
old = {vBEN03a},
author = {H. Ben-Ameur and P. L'Ecuyer and C. Lemieux},
title = {Combination of General Antithetic Transformations
and Control Variables},
journal = {Mathematics of Operations Research},
year = {2004},
volume = {29},
number = {4},
pages = {946--960},
OPTannote = {}
}
@Article{vBER98a,
author = {L. Berman},
title = {Accelerating {M}onte {C}arlo: Quasirandom
Sequences and Variance Reduction},
journal = {The Journal of Computational Finance},
year = {1998},
volume = {1},
number = {2},
pages = {79--95},
OPTannote = {}
}
@inproceedings{vBHA09a,
author = {K. Bhan and R. Kong and J. Spanier},
title = {Adaptive {M}onte {C}arlo Algorithms Applied to
Heterogeneous Transport Problems},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {209--226},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vBLA06a,
old = {vBLA07c},
author = {J. H. Blanchet and P. W. Glynn},
title = {Strongly efficient estimators for light-tailed sums},
booktitle = {Proceedings of ValueTools 2006: International Conference on
Performance Evaluation Methodologies and Tools},
OPTpages = {? pages},
year = {2006},
address = {Pisa, Italy},
publisher = {{ACM} Publications},
}
@inproceedings{vBLA06b,
author = {J. H. Blanchet and P. W. Glynn and J. C. Liu},
title = {State-dependent importance sampling and large deviations},
booktitle = {Proceedings of the Sixth International Workshop on Rare Event Simulation},
pages = {154--161},
year = {2006},
editor = {W. Sandmann},
address = {Bamberg, Germany},
OPTpublisher = {},
}
@inproceedings{vBLA06c,
author = {J. H. Blanchet and C. Li},
title = {Notes on Importance Sampling for Geometric Sums},
booktitle = {Proceedings of the Sixth International Workshop on Rare Event Simulation},
pages = {172--181},
year = {2006},
editor = {W. Sandmann},
address = {Bamberg, Germany},
OPTpublisher = {},
}
@unpublished{vBLA07a,
author = {J. H. Blanchet and P. W. Glynn},
title = {Efficient rare-event simulation for the maximum of a
random walk with heavy-tailed increments},
note = {Manuscript},
year = {2007},
OPTaddress = {},
}
@unpublished{vBLA07b,
author = {J. H. Blanchet and K. Leder and P. W. Glynn},
title = {Efficient simulation of light-tailed sums:
an old folk song sung to a faster new tune},
note = {Manuscript},
year = {2008},
OPTaddress = {},
}
@unpublished{vBLA07c,
new = {vBLA06a},
author = {J. H. Blanchet and P. W. Glynn},
title = {Building Strongly Efficient Estimators for Light-Tailed Sums},
note = {Manuscript},
year = {2006},
OPTaddress = {},
}
@ARTICLE {vBLA07d,
author = {J. H. Blanchet and P. W. Glynn and J. C. Liu},
YEAR={2007},
TITLE="Fluid Heuristics, {L}yapunov Bounds, and Efficient Importance Sampling
for a Heavy-Tailed {$G/G/1$} Queue",
JOURNAL={Queueing Systems},
VOLUME={57},
PAGES={99--113} }
@INCOLLECTION {vBLA09a,
AUTHOR = {J. Blanchet and M. Mandjes},
TITLE={Rare Event Simulation for Queues},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 5},
PAGES = {87--124}
}
@INCOLLECTION {vBLA09b,
AUTHOR = {J. Blanchet and D. Rudoy},
TITLE={Rare Event Simulation and Counting Problems},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 8},
PAGES = {171--192}
}
@inproceedings{vBLA09c,
author = {J. H. Blanchet and K. Leder and P. W. Glynn},
title = {Efficient Simulation of Light-Tailed Sums:
an Old-Folk Song Sung to a Faster New Tune...},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {227--248},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vBLA11a,
author = {J. H. Blanchet and C. Li},
title = {Efficient Rare Event Simulation for Heavy-tailed Compound Sums},
pages = {Article 9},
year = {2011},
volume = {21},
number = {2},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
}
@InProceedings{vBLA11b,
author = "J. H. Blanchet and H. Lam",
title = "Rare Event Simulation Techniques",
booktitle = {Proceedings of the 2011 Winter Simulation Conference},
OPTeditor = {},
year = {2011},
publisher = {IEEE Press},
pages = {146--160},
OPTannote = {}
}
@article{vBLA12a,
author = {J. H. Blanchet and P. W. Glynn and K. Leder},
title = {On {L}yapunov Inequalities and Subsolutions for Efficient Importance Sampling},
pages = {Article 13},
year = {2012},
volume = {22},
number = {3},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
OPTnote = {To appear},
}
@TECHREPORT{vBLO05a,
AUTHOR = {H. A. P. Blom and G. J. Bakker and J. Krystul and
M. H. C. Everdij and B. K. Obbink and M. B. Klompstra},
TITLE = {Sequential {M}onte {C}arlo simulation of collision risk
in free flight air traffic},
INSTITUTION = {Project {HYBRIDGE IST-2001-32460}},
xNOTE = {Deliverable 9.4, available at
\url{http://hosted.nlr.nl/public/hosted-sites/hybridge/}},
YEAR = {2005}
}
@INCOLLECTION {vBLO09a,
AUTHOR = {H. A. P. Blom and G. J. Bakker and J. Krystul},
TITLE={Rare Event Estimation for a Large-Scale Stochastic Hybrid
System with Air Traffic Application},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 9},
PAGES = {193--214}
}
@ARTICLE {vBOL02a,
AUTHOR={P. G. Bolhuis and D. Chandler and C. Dellago and P. L. Geissler},
YEAR={2002},
TITLE="Transition Path Sampling: Throwing Ropes Over Rough Mountain Passes, in the Dark",
JOURNAL={Annual Review of Physical Chemistry},
VOLUME={53},
PAGES={291--318} }
@InProceedings{vBOL04a,
author = {N. Bolia and S. Juneja and P. Glasserman},
title = {Function-approximation-based importance
sampling for pricing {A}merican options},
booktitle = {Proceedings of the 2004 Winter Simulation Conference},
year = {2004},
publisher = {IEEE Press},
address = {Piscataway, NJ},
pages = {604--611},
OPTannote = {}
}
@InProceedings{vBOL05a,
author = {N. Bolia and S. Juneja},
title = {Function-approximation-based perfect control variates for pricing {A}merican options},
booktitle = {Proceedings of the 2005 Winter Simulation Conference},
year = {2005},
publisher = {IEEE Press},
address = {Piscataway, NJ},
pages = {1876--1883},
OPTannote = {}
}
@mastersthesis {vBON96a,
AUTHOR="M.-C. Bonneau",
TITLE={Accelerated Simulation of a Leaky Bucket Controller},
school={Department of Mathematics and Statistics,
University of Ottawa},
xSCHOOL={Ottawa-Carleton Institute of Mathematics and Statistics},
xaddress = {Ottawa},
YEAR={1996} }
@article{vBOO82a,
author = "T. E. Booth",
title = "Automatic Importance Estimation in Forward {M}onte {C}arlo Calculations",
year = {1982},
journal = "Transactions of the American Nuclear Society",
volume = {41},
pages = {308--309}
}
@article{vBOO84a,
author = "T. E. Booth and J. S. Hendricks",
title = "Importance Estimation in Forward {M}onte {C}arlo Estimation",
year = {1984},
journal = "Nuclear Technology/Fusion",
volume = {5},
pages = {90--100}
}
@article{vBOO85a,
author = "T. E. Booth",
title = "{M}onte {C}arlo Variance Comparison for Expected-Value Versus
Sampled Splitting",
year = {1985},
journal = "Nuclear Science and Engineering",
volume = {89},
pages = {305--309}
}
@article{vBOO85b,
author = "T. E. Booth",
title = "Exponential Convergence for {M}onte {C}arlo Particle Transport?",
year = {1985},
journal = "Transactions of the American Nuclear Society",
volume = {50},
pages = {267--268}
}
@InProceedings{vBOO87a,
author = "T. E. Booth",
title = {Generalized Zero-Variance Solutions and Intelligent Random Numbers},
booktitle = {Proceedings of the 1987 Winter Simulation Conference},
OPTeditor = {},
year = {1987},
publisher = {IEEE Press},
pages = {445--451},
OPTannote = {}
}
@article{vBOO92a,
author = "T. E. Booth and S. P. Pederson",
title = "Unbiased Combinations of Nonanalog {M}onte {C}arlo Techniques and Fair Games",
year = {1992},
journal = "Nuclear Science and Engineering",
volume = {110},
pages = {254--261}
}
@article{vBOO98a,
author = "T. E. Booth",
title = "Simultaneous {M}onte {C}arlo Zero Variance Estimates
of Several Correlated Means",
year = {1998},
journal = "Nuclear Science and Engineering",
volume = {129},
pages = {199--202}
}
@InProceedings{vBOO00a,
author = {N. K. Boots and P. Shahabuddin},
title = {Simulating {$GI/GI/1$} Queues and Insurance Processes with
Subexponential Distributions},
booktitle = {Proceedings of the 2000 Winter Simulation Conference},
OPTeditor = {},
year = {2000},
publisher = {IEEE Press},
pages = {656--665},
OPTannote = {}
}
@InProceedings{vBOO00b,
AUTHOR ="T. E. Booth",
TITLE = {Adaptively Learning an Importance Function Using Transport
Constrained {M}onte {C}arlo},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {1--15},
year = {2000},
editor = {H. Niederreiter and J. Spanier},
address = {Berlin},
publisher = {Springer-Verlag},
OPTannote = {zero variance}
}
@article{vBOO01a,
author = "T. E. Booth",
title = "An approximate {M}onte {C}arlo adaptive importance sampling method",
year = {2001},
journal = "Nuclear Science and Engineering",
volume = {138},
number = {1},
pages = {96--103}
}
@INCOLLECTION {vBOO09a,
AUTHOR = {T. Booth},
TITLE={Particle Transport Applications},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 10},
PAGES = {215--242}
}
@article{vBOT10a,
author = "Z. I. Botev and D. P. Kroese",
title = "Efficient {M}onte {C}arlo Simulation via the Generalized Splitting Method",
year = {2012},
journal = "Statistics and Computing",
OPTurl = {http://dx.doi.org/10.1007/s11222-010-9201-4},
volume = {22},
number = {1},
pages = {1--16}
}
@article{vBOT11a,
new = {vBOT13a},
author = "Z. I. Botev and P. L'Ecuyer and G. Rubino and R. Simard and B. Tuffin",
title = "Static Network Reliability Estimation Via Generalized Splitting",
year = {2012},
journal = "INFORMS Journal on Computing",
OPTurl = {},
OPTvolume = {},
OPTnumber = {},
note = {to appear},
OPTpages = {}
}
@article{vBOT11b,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "{Markov} Chain Importance Sampling with Application to Rare Event Probability Estimation",
year = {2013},
journal = "Statistics and Computing",
OPTurl = {},
volume = {25},
number = {1},
Xnote = {to appear; see \url{http://www.springerlink.com/content/p23x5452045r3786/fulltext.pdf}},
pages = {56--71}
}
@InProceedings{vBOT11c,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "An Importance Sampling Method Based on the One-Step Look-Ahead Density From a Markov Chain",
booktitle = {Proceedings of the 2011 Winter Simulation Conference},
OPTeditor = {},
year = {2011},
publisher = {IEEE Press},
pages = {528--539},
OPTannote = {}
}
@InProceedings{vBOT12a,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Dependent Failures in Highly-Reliable Static Networks",
booktitle = {Proceedings of the 2012 Winter Simulation Conference},
OPTeditor = {},
year = {2012},
publisher = {IEEE Press},
pages = {430--441},
Xnote = {paper inv250}
}
@article{vBOT12b,
author = "Z. I. Botev and D. P. Kroese",
title = "Efficient {M}onte {C}arlo Simulation via the Generalized Splitting Method",
year = {2012},
journal = "Statistics and Computing",
OPTurl = {http://dx.doi.org/10.1007/s11222-010-9201-4},
volume = {22},
number = {1},
pages = {1--16}
}
@article{vBOT13a,
author = "Z. I. Botev and P. L'Ecuyer and G. Rubino and R. Simard and B. Tuffin",
title = "Static Network Reliability Estimation Via Generalized Splitting",
year = {2013},
journal = "INFORMS Journal on Computing",
OPTurl = {},
volume = {25},
number = {1},
pages = {56--71}
}
@article{vBOT13c,
old = {vBOT11b},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "{Markov} Chain Importance Sampling with Application to Rare Event Probability Estimation",
year = {2013},
journal = "Statistics and Computing",
volume = {25},
number = {1},
Xnote = {\url{http://www.springerlink.com/content/p23x5452045r3786/fulltext.pdf}},
pages = {56--71}
}
@InProceedings{vBOT14a,
author = "Z. I. Botev and S. Vaisman and R. Y. Rubinstein and P. L'Ecuyer",
title = "Reliability of Stochastic Flow Networks with Continuous Link Capacities",
booktitle = {Proceedings of the 2014 Winter Simulation Conference},
OPTeditor = {},
year = {2014},
publisher = {IEEE Press},
pages = {543--552},
Xnote = {}
}
@inproceedings{vBOT14b,
old={vBOT13b},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Modeling and Estimating Small Unreliabilities for Static Networks with Dependent Components",
year = {2014},
booktitle = "Proceedings of SNA\& MC 2013: Joint International Conference on
Supercomputing in Nuclear Applications and Monte Carlo",
editor = {D. Caruge and C. Calvin and C. M. Diop and F. Malvagi and J.-C. Trama},
DOI= "10.1051/snamc/201403306",
pages = {03306}
}
@article{vBOT16m,
old = {vBOT15m},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Static Network Reliability Estimation under the {Marshall-Olkin} Copula",
year = {2016},
journal = "ACM Transactions on Modeling and Computer Simulation",
volume = {26},
number = {2},
pages = {Article 14},
XXnote = {PMC, GS, splitting},
}
@InProceedings{vBOY95a,
author = {P. Boyle and M. Broadie and P. Glasserman},
title = {Recent Advances in Simulation for Security Pricing},
booktitle = {Proceedings of the 1995 Winter Simulation Conference},
OPTeditor = {C. Alexopoulos and K. Kang and W. R. Lilegdon and
D. Goldsman},
year = {1995},
publisher = {IEEE Press},
pages = {212--219},
OPTannote = {}
}
@Article{vBOY97a,
author = {P. Boyle and M. Broadie and P. Glasserman},
title = {{M}onte {C}arlo methods for Security Pricing},
journal = {Journal of Economic Dynamics and Control},
year = {1997},
volume = {21},
OPTnumber = {8--9},
month = {June},
pages = {1267--1321},
OPTannote = {}
}
@ARTICLE{vBRA79a,
AUTHOR = "E. Braaten and G. Weller",
TITLE = "An improved low-discrepancy sequence for multidimensional
quasi-{M}onte {C}arlo integration",
JOURNAL = "Journal of Computational Physics",
VOLUME = "33",
PAGES = "249--258",
YEAR = "1979"}
@BOOK {vBRA87a,
AUTHOR="P. Bratley and B. L. Fox and L. E. Schrage",
TITLE={A Guide to Simulation},
EDITION={Second},
PUBLISHER={Springer-Verlag},
ADDRESS={New York},
YEAR={1987} }
@Article{vBRO96a,
author = {M. Broadie and P. Glasserman},
title = {Estimating Security Price Derivatives Using Simulation},
journal = {Management Science},
year = {1996},
OPTkey = {},
volume = {42},
OPTnumber = {},
OPTmonth = {},
pages = {269--285},
OPTnote = {},
OPTannote = {}
}
@Unpublished{vBRO98a,
author = {M. Broadie and P. Glasserman},
title = {A Pruned and Bootstrapped {A}merican Option Simulator},
note = {Working paper},
address = {{CAP}, Columbia University, New York},
year = {1997},
OPTmonth = {},
OPTannote = {}
}
@Unpublished{vBRO98b,
author = {M. Broadie and P. Glasserman and S. Kou},
title = {Connecting Discrete and Continuous Path-Dependent
Options},
note = {Working paper},
address = {{CAP}, Columbia University, New York},
year = {1997},
OPTmonth = {},
OPTannote = {}
}
@BOOK {vBUC90a,
AUTHOR="J. Bucklew",
TITLE={Large Deviation Techniques in Decision,
Simulation and Estimation},
PUBLISHER={John Wiley and Sons},
ADDRESS={New York},
YEAR={1990} }
@ARTICLE {vBUC90b,
AUTHOR="J. Bucklew and P. Ney and J. S. Sadowsky",
YEAR={1990},
TITLE="{M}onte {C}arlo Simulation and Large Deviations
Theory for Uniformly Recurrent {M}arkov Chains",
JOURNAL={Journal of Applied Probability},
VOLUME={27},
PAGES={44--59} }
@BOOK {vBUC04a,
AUTHOR="J. A. Bucklew",
TITLE={Introduction to Rare Event Simulation},
PUBLISHER={Springer-Verlag},
ADDRESS={New York},
YEAR={2004} }
@article{vBUL02a,
author = {S. Bulteau and M. E. Khadiri},
title = {A New Importance Sampling {M}onte {C}arlo Method for a
Flow Network Reliability Problem},
pages = {204--228},
year = {2002},
volume = {49},
number = {2},
journal = {Naval Research Logistics},
}
@ARTICLE {vBUR72a,
AUTHOR="J. M. Burt and M. B. Garman",
YEAR={1972},
TITLE="Conditional {M}onte {C}arlo: A Simulation Technique
for Stochastic Network Analysis",
JOURNAL={Management Science},
VOLUME={18},
PAGES={207--217},
annote = {stochastic activity network, san, CMC}
}
@ARTICLE {vBUR90a,
AUTHOR = {K. W. Burn},
TITLE = {Optimizing Cell Importances Using an Extension of the
{DSA} --- Theory, Implementation, and Results},
YEAR = {1990},
JOURNAL = {Progress in Nuclear Energy},
VOLUME = {24},
PAGES = {39-54} }
@article{vBUT04a,
author = {N. A. Butler},
title = {A New Class of Equal-Weight Integration Rules on the Hypercube},
journal = {Numerische Mathematik},
volume = {99},
OPTnumber = {},
year = {2004},
pages = {349--363},
}
@INPROCEEDINGS {vCAB01a,
AUTHOR="{S. V. de S.} Cabral and L. S. Katafygiotis",
TITLE="Improved Adaptive Importance Sampling Procedure for
Reliability Estimation",
booktitle = {{M}onte {C}arlo Simulation},
editors = {G. I. Schu\"eller and P. D. Spanos},
xBOOKTITLE={Proceedings of the International Conference
{M}onte {C}arlo 2000},
PUBLISHER = {A. A. Balkema},
address = {Rotterdam},
YEAR = {2001},
PAGES={63--70} }
@INCOLLECTION {vCAF95a,
AUTHOR = {R. E. Caflisch and B. Moskowitz},
TITLE = {Modified {M}onte {C}arlo Methods using
Quasi-Random Sequences},
BOOKTITLE = {{M}onte {C}arlo and Quasi-{M}onte Carlo Methods in
Scientific Computing},
YEAR = {1995},
EDITOR = {H. Niederreiter and P. J.-S. Shiue},
VOLUME = {106},
SERIES = {Lecture Notes in Statistics},
PAGES = {1--16},
PUBLISHER = {Springer-Verlag},
ADDRESS = {New York} }
@article {vCAF97a,
author = {R. E. Caflisch and W. Morokoff and A. Owen},
title = {Valuation of Mortgage-Backed Securities Using
{B}rownian Bridges to Reduce Effective Dimension},
journal = {The Journal of Computational Finance},
year = {1997},
volume = {1},
number = {1},
pages = {27--46},
OPTannote = {},
}
@Article{vCAN95a,
author = {H. Cancela and M. {El Khadiri}},
title = {A recursive variance-reduction algorithm for estimating communication-network reliability},
journal = {IEEE Transactions on Reliability},
year = {1995},
volume = {44},
number = {4},
pages = {595--602}
}
@ARTICLE{vCAN02a,
AUTHOR = {Cancela, H. and Rubino, G. and Tuffin, B.},
JOURNAL = {Monte Carlo Methods and Applications},
VOLUME = {8},
PAGES = {312--341},
NUMBER = {4},
TITLE = {{MTTF} Estimation by {M}onte {C}arlo Methods Using {M}arkov Models},
YEAR = {2002}
}
@Article{vCAN03a,
author = {H. Cancela and M. {El Khadiri}},
title = {On the {RVR} simulation algorithm for network reliability evaluation},
journal = {IEEE Transactions on Reliability},
year = {2003},
volume = {52},
number = {2},
pages = {207--212}
}
@INPROCEEDINGS{vCAN05a,
AUTHOR = {Cancela, H. and Rubino, G. and Tuffin, B.},
BOOKTITLE = {Proceedings of the 2005 Winter Simulation Conference},
EDITOR = {M. E. Kuhl and N. M. Steiger and F. B. Armstrong and J. A. Joines},
TITLE = {New Measures of Robustness in Rare Event Simulation},
publisher = {{IEEE} Press},
YEAR = {2005},
PAGES = {519--527}
}
@INCOLLECTION {vCAN09a,
AUTHOR = {H. Cancela and M. {El Khadiri} and G. Rubino},
TITLE={Rare Event Analysis by {Monte Carlo} Techniques in Static Models},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 7},
PAGES = {145--170}
}
@INCOLLECTION{vCAN09b,
AUTHOR = {H. Cancela and P. L'Ecuyer and M. Lee and G. Rubino and B. Tuffin},
TITLE = {Analysis and Improvements of Path-Based Methods for {M}onte {C}arlo
Reliability Evaluation of Static Models},
EDITOR = {J. Faulin and A. A. Juan and S. Martorell and E. Ramirez-Marquez},
BOOKTITLE = {Simulation Methods for Reliability and Availability of Complex Systems},
PUBLISHER = {Springer Verlag},
YEAR = {2009},
Pages = {65--84}
}
@inproceedings{vCAN10a,
author = {H. Cancela and P. L'Ecuyer and G. Rubino and B. Tuffin},
title = {Combination of Conditional {Monte Carlo} and Approximate
Zero-Variance Importance Sampling for Network Reliability Estimation},
booktitle = {Proceedings of the 2010 Winter Simulation Conference},
year = {2010},
editor = {B. Johansson and S. Jain and J. Montoya-Torres and J. Hugan and E. Y\"ucesan},
pages = {1263--1274}
}
@article{vCAN14a,
author = {Cancela, H. and El Khadiri, M. and Rubino, G. and Tuffin, B.},
title = {Balanced and Approximate Zero-Variance Recursive Estimators
for the Network Reliability Problem},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
OPTissue_date = {2014},
volume = {25},
number = {1},
month = {December},
year = {2014},
Xissn = {1049-3301},
pages = {Article~5},
articleno = {5},
numpages = {19},
Xurl = {http://doi.acm.org/10.1145/2674914},
Xdoi = {10.1145/2674914},
Xpublisher = {ACM},
Xaddress = {New York, NY, USA},
}
@ARTICLE {vCAO96a,
AUTHOR="X.-R. Cao",
YEAR={1996},
TITLE="Ensemble-Average Importance Sampling of {M}arkov Processes",
JOURNAL={International Journal in Computer Simulation},
VOLUME={6},
PAGES={489--512} }
@article {vCAP08a,
author = {Capp�, O. and Douc, R. and Guillin, A. and Marin, J.-M. and Robert, C.},
title = {Adaptive importance sampling in general mixture classes},
journal = {Statistics and Computing},
OPTpublisher = {Springer Netherlands},
issn = {0960-3174},
keyword = {Mathematics and Statistics},
pages = {447--459},
volume = {18},
issue = {4},
OPTurl = {http://dx.doi.org/10.1007/s11222-008-9059-x},
OPTnote = {10.1007/s11222-008-9059-x},
year = {2008}
}
@ARTICLE {vCAR75a,
AUTHOR="G. Carter and E. J. Ignall",
YEAR={1975},
TITLE="Virtual Measures: a Variance Reduction Technique for Simulation",
JOURNAL={Management Science},
VOLUME={21},
PAGES={607--617} }
@ARTICLE {vCAR80a,
AUTHOR="J. S. Carson and A. M. Law",
YEAR={1980},
TITLE="Conservation Equations and Variance Reduction in
Queueing Simulations",
JOURNAL={Operations Research},
VOLUME={28},
PAGES={535--546} }
@inproceedings{vCAR92a,
AUTHOR = {Carrasco, J. A.},
booktitle = {Proceedings of the 5th International Conference on Modeling
Techniques and Tools for Computer Performance Evaluation},
TITLE = {Failure Distance-Based Simulation of Repairable Fault Tolerant Systems},
publisher = {Elsevier, Amsterdam},
PAGES = {351--365},
YEAR = {1992}
}
@INPROCEEDINGS{vCER05a,
AUTHOR = {F. C\'erou and F. LeGland and P. {Del Moral} and P. Lezaud},
BOOKTITLE = {Proceedings of the 2005 Winter Simulation Conference},
EDITOR = {M. E. Kuhl, N. M. Steiger, F. B. Armstrong and J. A. Joines},
TITLE = {Limit Theorems for the Multilevel Splitting Algorithm
in the Simulation of Rare Events},
publisher = {{IEEE} Press},
YEAR = {2005},
PAGES = {682--691}
}
@TECHREPORT{vCER05b,
new = {vCER07a},
AUTHOR = {C\'erou, F. and Guyader, A.},
INSTITUTION = {INRIA},
MONTH = oct,
NUMBER = {5710},
TITLE = {Adaptive multilevel splitting for rare event analysis},
YEAR = {2005}
}
@Article{vCER07a,
author = {F. C\'erou and A. Guyader},
title = {Adaptive multilevel splitting for rare event analysis},
journal = {Stochastic Analysis and Applications},
year = {2007},
volume = {25},
number = {2},
pages = {417--443},
}
@article{vCER12a,
author = {C{\'e}rou, F. and Moral, P. and Furon, T. and Guyader, A.},
title = {Sequential {Monte Carlo} for rare event estimation},
journal = {Statistics and Computing},
volume = {22},
number = {3},
year = {2012},
pages = {795--808},
url = {http://dx.doi.org/10.1007/s11222-011-9231-6},
doi = {10.1007/s11222-011-9231-6},
keywords = {Feynman-Kac formula, Fingerprinting, Metropolis-Hastings, Rare event,
Sequential importance sampling, Watermarking},
}
@INPROCEEDINGS {vCHA93a,
AUTHOR="C. S. Chang and P. Heidelberger and S. Juneja
and P Shahabuddin",
YEAR={1993},
TITLE="Effective Bandwidth and Fast Simulation of
{ATM} Intree Networks",
BOOKTITLE={Proceedings of the Performance'93 Conference},
PUBLISHER={Elsevier Science},
ADDRESS={Roma, Italy},
EDITOR={G. Iazeolla and S. S. Lavenberg},
PAGES={41--58} }
@TECHREPORT {vCHA93b,
AUTHOR="C. S. Chang and P. Heidelberger and S. Juneja
and P. Shahabuddin",
TITLE="The Application of Effective Bandwidth to Fast Simulation
of Communication Networks",
NUMBER={RC-18877},
INSTITUTION={IBM Research},
ADDRESS={Yorktown Heights, New York},
YEAR={1993} }
@TECHREPORT {vCHA93c,
AUTHOR="C. S. Chang and P. Heidelberger and P. Shahabuddin",
TITLE="Fast Simulation of Packet Loss Rates in a Shared Buffer
Communication Switch",
NUMBER={No. 93-79},
INSTITUTION={ICASE, NASA Langley Research Center},
ADDRESS={Hampton, VA},
YEAR={1993} }
@ARTICLE {vCHA94a,
AUTHOR="C. S. Chang and P. Heidelberger and S. Juneja
and P Shahabuddin",
YEAR={1994},
TITLE="Effective Bandwidth and Fast Simulation of
{ATM} Intree Networks",
JOURNAL={Performance Evaluation},
VOLUME={20},
xNUMBER={},
PAGES={45--65} }
@ARTICLE {vCHA94b,
AUTHOR="C. S. Chang",
YEAR={1994},
TITLE="Stability, Queue Length, and Delay of Deterministic and
Stochastic Queueing Networks",
JOURNAL={{IEEE} Transactions on Automatic Control},
VOLUME={39},
xNUMBER={},
PAGES={913--931} }
@article {vCHA95a,
AUTHOR="C. S. Chang and P. Heidelberger and P. Shahabuddin",
TITLE="Fast Simulation of Packet Loss Rates in a Shared Buffer
Communications Switch",
JOURNAL={ACM Transactions on Modeling and Computer
Simulation},
VOLUME={5},
NUMBER={4},
YEAR={1995},
PAGES={306--325} }
@mastersthesis {vCHA98a,
AUTHOR="Y. Champoux",
TITLE={Estimation du Taux de Perte de R\'eseaux {ATM} via la
Simulation et le Changement de Mesure},
SCHOOL={D{\'e}partement d'IRO, Universit\'e de Montr\'eal},
LANGUAGE={French},
YEAR={1998} }
@ARTICLE {vCHE78a,
AUTHOR="R. C. H. Cheng",
YEAR={1978},
TITLE="Analysis of Simulation Experiments Under Normality Assumptions",
JOURNAL={Journal of the Operational Research Society},
VOLUME={29},
NUMBER={5},
PAGES={493--497} }
@ARTICLE {vCHE80a,
AUTHOR="R. C. H. Cheng and G. M. Feast",
YEAR={1980},
TITLE="Control Variables with Known Mean and Variance",
JOURNAL={Journal of the Operational Research Society},
VOLUME={31},
PAGES={51--56} }
@ARTICLE {vCHE82a,
AUTHOR="R. C. H. Cheng",
YEAR={1982},
TITLE="The Use of Antithetic Variates in Computer Simulations",
JOURNAL={Journal of the Operational Research Society},
VOLUME={33},
PAGES={229--237} }
@ARTICLE {vCHE84a,
AUTHOR="R. C. H. Cheng",
YEAR={1984},
TITLE="Antithetic Variate Methods for Simulation of Processes
with Peaks and Troughs",
JOURNAL={European Journal of Operational Research},
VOLUME={15},
PAGES={227--236} }
@INPROCEEDINGS {vCHE86a,
AUTHOR="R. C. H. Cheng",
TITLE="Variance Reduction Methods",
BOOKTITLE={Proceedings of the 1986 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1986},
PAGES={60--68} }
@ARTICLE{vCHE89a,
AUTHOR = {Cheng, R. C. H. and Davenport, T.},
JOURNAL = {Management Science},
MONTH = {November},
NUMBER = {11},
PAGES = {1278--1296},
TITLE = {The problem of dimensionality in stratified sampling},
VOLUME = {35},
YEAR = {1989}
}
@INPROCEEDINGS {vCHE00a,
author = {J. Cheng and M. J. Druzdzel},
title = {Computational Investigation of Low-Discrepancy Sequences
in Simulation Algorithms for Bayesian Networks},
BOOKTITLE={Uncertainty in Artificial Intelligence Proceedings 2000},
YEAR = {2000},
PAGES = {72--81}}
@ARTICLE {vCHI95a,
AUTHOR="S. Chib",
YEAR={1995},
TITLE="Marginal Likelihood from {G}ibbs Output",
JOURNAL={Journal of the American Statistical Association},
VOLUME={90},
NUMBER={432},
PAGES={1313--1321} }
@inproceedings{vCOO08a,
author = {R. Cools and D. Nuyens},
title = {A {B}elgian View on Lattice Rules},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2006},
pages = {3--21},
year = {2008},
editor = {A. Keller and S. Heinrich and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vCOT83a,
AUTHOR="M. Cottrell and J. C. Fort and G. Malgouyres",
YEAR={1983},
TITLE="Large Deviations and Rare Events in the Study of Stochastic
Algorithms",
JOURNAL={IEEE Transactions on Automatic Control},
VOLUME={AC-28},
PAGES={907--920} }
@Unpublished{vCOU99a,
author = {R. Couture and P. L'Ecuyer and C. Lemieux},
title = {Polynomial Lattice Rules},
note = {in preparation},
OPTkey = {},
OPTmonth = {},
year = {1999},
OPTannote = {}
}
@ARTICLE{vCOV67a,
author = "R. R. Coveyou and V. R. Cain and K. J. Yost",
title = "Adjoint and Importance in {Monte Carlo} Application",
journal = "Nuclear Science and Engineering",
volume = 27,
pages = "219--234",
year = 1967,
keywords = {nuclear physics, neutron transport, Monte Carlo,
variance reduction, adjoints, importance},
comments = "Presents the most useful methods of variance reduction.
Shows that importance (called the `value function'),
the solution of an adjoint integral equation, is a good
choice for sample density biasing (importance sampling)."
}
@Article{vCRA76a,
author = {R. Cranley and T. N. L. Patterson},
title = {Randomization of Number Theoretic Methods for
Multiple Integration},
journal = {{SIAM} Journal on Numerical Analysis},
year = {1976},
volume = {13},
number = {6},
pages = {904--914},
OPTannote = {}
}
@inproceedings{vCRA00a,
author = "R. V. Craiu and X.-L. Meng",
title = "Antithetic Coupling for Perfect Sampling",
year = {2000},
booktitle = "Bayesian Methods with Applications to Science, Policy,
and Official Statistics (Selected Papers from ISBA 2000)",
editor = "E. I. George",
pages= {99--108}
}
@article{vCRA05a,
author = "R. V. Craiu and X.-L. Meng",
title = "Multiprocess Parallel Antithetic Coupling For Backward and
Forward {M}arkov Chain {M}onte {C}arlo",
year = {2005},
journal = "Annals of Statistics",
volume = {33},
number = {2},
pages = {661--697}
}
@article{vCRI07a,
author = {L. L. Cristea and J. Dick and G. Leobacher and F. Pillichshammer},
title = {The Tent Transformation can Improve the Convergence Rate of
Quasi-{M}onte {C}arlo Algorithms Using Digital Nets},
journal = {Numerische Mathematik},
volume = {105},
OPTnumber = {},
year = {2007},
pages = {413--455},
}
@inproceedings {vDAB99a,
old = {vDAB98a},
AUTHOR = {A. R. Dabrowski and G. Lamothe and D. R. McDonald},
TITLE = {Accelerated Simulation of {ATM} Switching Fabrics},
YEAR = {1999},
booktitle = {Conference Proceedings of the {F}ields Institute
Workshop on {M}onte {C}arlo Methods},
publisher = {AMS},
PAGES = {193-206} }
@ARTICLE {vDAV86a,
AUTHOR="B. R. Davis",
YEAR={1986},
TITLE="An Improved Importance Sampling Method for Digital
Communication System Simulations",
JOURNAL={IEEE Transactions on Communications},
VOLUME={COM-34},
PAGES={xx--xx} }
@ARTICLE {vDEA09a,
old = {vDEA08a},
AUTHOR="T. Dean and P. Dupuis",
TITLE="Splitting for Rare Event Simulation:
A Large Deviation Approach to Design and Analysis",
JOURNAL={Stochastic Processes and their Applications},
YEAR={2009},
VOLUME={119},
PAGES={562--587} }
@INPROCEEDINGS {vDEB00a,
AUTHOR="P. T. {De Boer} and V. F. Nicola and R. Y. Rubinstein",
TITLE="Adaptive importance sampling simulation of queueing networks",
BOOKTITLE={Proceedings of the 2000 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={2000},
PAGES={646--655} }
@PHDTHESIS {vDEB01a,
AUTHOR="P. T. {De Boer}",
YEAR={2001},
TITLE="Analysis and Efficient Simulation of Queueing Models of telecommunication Systems",
ADDRESS={University of Twente} }
@INPROCEEDINGS {vDEB07a,
AUTHOR="P. T. {De Boer} and P. L'Ecuyer and G. Rubino and B. Tuffin",
TITLE="Estimating the Probability of a Rare Event Over a Finite Horizon",
BOOKTITLE={Proceedings of the 2007 Winter Simulation Conference},
PUBLISHER={IEEE Press},
PAGES={403--411},
YEAR={2007} }
@INCOLLECTION {vDEL03a,
AUTHOR={C. Dellago and P. G. Bolhuis and P. L. Geissler},
YEAR={2003},
TITLE="Transition Path Sampling",
BOOKTITLE={Advances in Chemical Physics},
EDITOR = {I. Prigogine and S. A. Rice},
PUBLISHER = {John Wiley},
ISBN = {9780471214533},
VOLUME = {123},
PAGES={1--78} }
@BOOK{vDEL04a,
AUTHOR = {{Del Moral}, Pierre},
ADDRESS = {New York},
PUBLISHER = {Springer},
SERIES = {Probability and its Applications},
TITLE = {{F}eynman-{K}ac Formulae. Genealogical and Interacting
Particle Systems with Applications},
YEAR = {2004}
}
@inproceedings {vDEM97a,
AUTHOR = {S. Deman and R. K. Boel},
TITLE = {Estimation of the Probabilities of Rare Events
and their Sensitivity using Importance Sampling},
YEAR = {1997},
booktitle = {Proceedings of the Fifth {IFIP} Workshop on
Performance Modeling and Evaluation of {ATM} Networks},
address = {Ilkley, U.K.},
PAGES = {80/1--80/9} }
@InProceedings{vDEM05a,
author = {V. Demers and P. L'Ecuyer and B. Tuffin},
title = {A Combination of Randomized Quasi-{Monte Carlo} with
Splitting for Rare-Event Simulation},
booktitle = {Proceedings of the 2005 European Simulation and Modeling Conference},
organization = {EUROSIS},
address = {Ghent, Belgium},
pages = {25--32},
year = {2005}
}
@INPROCEEDINGS {vDES01a,
AUTHOR="P. Y. Desai and P. W. Glynn",
TITLE="A {M}arkov chain perspective on adaptive {M}onte {C}arlo algorithms",
BOOKTITLE={Proceedings of the 2001 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={2001},
PAGES={379--384} }
@INPROCEEDINGS {vDEV92a,
AUTHOR="M. Devetsikiotis and J. K. Townsend",
TITLE="On the Efficient Simulation of Large Communication
Networks Using Importance Sampling",
BOOKTITLE={Proceedings of the {IEEE} {G}lobecom'92},
PUBLISHER={{IEEE} Computer Society Press},
YEAR={1992},
PAGES={xx--xx} }
@INPROCEEDINGS {vDEV92b,
AUTHOR="M. Devetsikiotis and J. K. Townsend",
TITLE="A Dynamic Importance Sampling Methodology for the
Efficient Estimation of Rare Event Probabilities in
Regenerative Simulations of Queueing Systems",
BOOKTITLE={Proceedings of the {IEEE ICC'92} Conference},
PUBLISHER={{IEEE} Computer Society Press},
YEAR={1992},
PAGES={1290--1297} }
@ARTICLE {vDEV93a,
AUTHOR="M. Devetsikiotis and J. K. Townsend",
TITLE="Statistical Optimization of Dynamic Importance Sampling
Parameters for Efficient Simulation of Communication Networks",
JOURNAL={{IEEE/ACM} Transactions on Networking},
VOLUME={1},
NUMBER={3},
YEAR={1993},
PAGES={293--305} }
@INPROCEEDINGS {vDEV93b,
AUTHOR="M. Devetsikiotis and W. A. Al-{Q}aq and
J. A. Freebersyser and J. K. Townsend",
TITLE="Stochastic Gradient Techniques for the Efficient
Simulation of High-Speed Networks Using Importance Sampling",
BOOKTITLE={Proceedings of Globecom'93},
PUBLISHER={{IEEE} Computer Society Press},
YEAR={1993},
PAGES={751--756} }
@ARTICLE {vDEV93c,
AUTHOR = {M. Devetsikiotis and J. K. Townsend},
TITLE = {An Algorithmic Approach to the Optimization of Importance
Sampling Paramters in Digital Communication System Simulation},
YEAR = {1993},
JOURNAL = {IEEE Transactions on Communications},
VOLUME = {41},
PAGES = {1464-1473} }
@Article{vDIC95a,
author = {T. J. DiCiccio and P. W. Glynn},
title = {On the Value of Function Evaluation Location Information
in {M}onte {C}arlo Simulation},
journal = {Management Science},
year = {1995},
volume = {41},
number = {4},
pages = {733--737},
OPTannote = {}
}
@article{vDIC04a,
author = {J. Dick and
I. H. Sloan and
X. Wang and
H. Wo\'{z}niakowski},
title = {Liberating the weights},
journal = {Journal of Complexity},
volume = {20},
number = {5},
year = {2004},
pages = {593--623},
}
@article{vDIC04b,
author = {J. Dick and F. Y. Kuo},
title = {Reducing the Construction Cost of the Component by Component
Construction of Good Lattice Rules},
journal = {Mathematics of Computation},
volume = {73},
number = {248},
year = {2004},
pages = {1967--1988},
}
@article{vDIC05a,
author = {J. Dick and
F Pillichshammer},
title = {On the Mean Square Weighted $L_2$ Discrepancy of Randomized
Digital $(t,m,s)$-Nets over $\mathbb{Z}_2$},
journal = {Acta Arithmetica},
volume = {117},
OPTnumber = {},
year = {2005},
pages = {371--403},
}
@article{vDIC06a,
author = {J. Dick and
I. H. Sloan and
X. Wang and
H. Wo\'{z}niakowski},
title = {Good Lattice Rules in Weighted {K}orobov Spaces
with General Weights},
journal = {Numerische Mathematik},
volume = {103},
OPTnumber = {},
year = {2006},
pages = {63--97},
}
@unpublished{vDIC08a,
author = {J. Dick},
title = {{W}alsh Spaces Containing Smooth Functions and
Quasi-{M}onte {C}arlo Rules of Arbitrary High Order},
OPTjournal = {},
OPTvolume = {},
OPTnumber = {},
year = {2008},
OPTpages = {},
note = {Manuscript, Sydney, Australia},
}
@unpublished{vDIC08b,
author = {J. Dick},
title = {Explicit Constructions of Quasi-{M}onte {C}arlo Rules
for the Numerical Integration of High-Dimensional Periodic Functions},
OPTjournal = {},
OPTvolume = {},
OPTnumber = {},
year = {2008},
OPTpages = {},
note = {Manuscript, Sydney, Australia},
}
@article{vDIC08c,
author = {J. Dick and
F. Pillichshammer and
B. J. Waterhouse},
title = {The construction of good extensible rank-1 lattices},
journal = {Mathematics of Computation},
volume = {77},
number = {264},
year = {2008},
pages = {2345--2373},
}
@inproceedings{vDIC09a,
author = {J. Dick},
title = {On Quasi-{Monte Carlo} Rules Achieving Higher Order Convergence},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {73--96},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vDIC11a,
author = {J. Dick and
G. Larcher and
F. Pillichshammer and
H. Wo\'zniakowski},
title = {Exponential convergence and tractability of multivariate integration for {K}orobov spaces},
journal = {Mathematics of Computation},
volume = {80},
year = {2011},
pages = {905--930},
}
@article{vDIC13a,
author = {J. Dick and F. Y. Kuo and I. H. Sloan},
title = {High dimensional integration---the quasi-{Monte Carlo} way},
journal = {Acta Numerica},
volume = {22},
year = {2013},
pages = {133--288},
}
@article{vDIN12a,
author = {K. D. Dinge\c{c} and W. H\"ormann},
title = {A general control variate method for option pricing under {L}\'evy processes},
journal = {European Journal of Operational Research},
volume = {221},
number = {2},
year = {2012},
pages = {368--377},
}
@inproceedings{vDIO10a,
author = {M. Dion and P. L'Ecuyer},
title = {{A}merican option pricing with randomized quasi-{Monte Carlo} simulations},
booktitle = {Proceedings of the 2010 Winter Simulation Conference},
year = {2010},
editor = {B. Johansson and S. Jain and J. Montoya-Torres and J. Hugan and E. Y\"ucesan},
pages = {2705--2720}
}
@ARTICLE {vDON93a,
AUTHOR="J. M. Donohue and E. C. Houck and R. H. Myers",
YEAR={1993},
TITLE="A Sequential Experimental Design Procedure for the Estimation
of First- and Second-Order Simulation Metamodels",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={190--224} }
@Article{vDUF95a,
author = {D. Duffie and P. Glynn},
title = {Efficient {M}onte {C}arlo Simulation for
Security Prices},
journal = {The Annals of Applied Probability},
year = {1995},
volume = {5},
number = {4},
pages = {897--905},
OPTannote = {}
}
@ARTICLE {vDUG00a,
AUTHOR="P. Dugum and R. Karp and M. Luby and S. Ross",
YEAR={2000},
TITLE="An Optimal Algorithm for {M}onte {C}arlo Estimation",
JOURNAL={{SIAM} Journal on Computing},
VOLUME={29},
PAGES={1484--1485} }
@ARTICLE {vDUP04a,
AUTHOR="P. Dupuis and H. Wang",
TITLE="Importance Sampling, Large Deviations, and Differential Games",
JOURNAL={Stochastics and Stochastics Reports},
VOLUME={76},
optNUMBER={},
PAGES={481--508},
YEAR={2004},
}
@ARTICLE {vDUP05a,
AUTHOR="P. Dupuis and H. Wang",
TITLE="Dynamic importance sampling for uniformly recurrent {M}arkov chains",
JOURNAL={Annals of Applied Probability},
VOLUME={15},
optNUMBER={},
PAGES={1--38},
YEAR={2005},
}
@ARTICLE {vDUP07a,
AUTHOR="P. Dupuis and H. Wang",
TITLE="Importance Sampling for Sums of Random Variables with Regularly Varying Tails",
JOURNAL={{ACM} Transactions on Modeling and Computer Simulation},
VOLUME={17},
NUMBER={3},
PAGES={Article 14},
YEAR={2007},
}
@article{vDUP09a,
author = {Dupuis, Paul and Leder, Kevin and Wang, Hui},
title = {Importance Sampling for Weighted-Serve-the-Longest-Queue},
journal = {Mathematics of Operations Research},
volume = {34},
number = {3},
pages = {642--660},
year = {2009},
doi = {10.1287/moor.1090.0389},
URL = {http://mor.journal.informs.org/content/34/3/642.abstract},
}
@inproceedings{vELH08a,
author = {R. {El Haddad} and C. L\'ecot and P. L'Ecuyer},
title = {Quasi-{M}onte {C}arlo Simulation of Discrete-Time {M}arkov Chains on
Multidimensional State Spaces},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2006},
pages = {413--429},
year = {2008},
editor = {A. Keller and S. Heinrich and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag}
}
@inproceedings{vELH09a,
author = {R. {El Haddad} and C. L\'ecot and G. Venkiteswaran},
title = {Quasi-{M}onte {C}arlo Simulation of Diffusion in a
Spatially Nonhomogeneous Medium},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {339--354},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vELH10a,
author = {R. {El Haddad} and C. L\'ecot and P. L'Ecuyer and N. Nassif},
title = {Quasi-{M}onte {C}arlo Methods for {M}arkov Chains with Continuous
Multidimensional State Space},
journal = {Mathematics and Computers in Simulation},
pages = {560--567},
volume = {81},
year = {2010}
}
@ARTICLE{vELP91a,
author = "T. Elperin and I. B. Gertsbakh and M. Lomonosov",
title = "Estimation of Network Reliability Using Graph Evolution Models",
journal = "IEEE Transactions on Reliability",
year = "1991",
volume = "40",
number = "5",
pages = "572--581",
OPTmonth = "Dec"
}
@Article{vELP92a,
author = {T. Elperin and I. B. Gertsbakh and M. Lomonosov},
title = {An Evolution Model for {M}onte {C}arlo Estimation of
Equilibrium Network Renewal Parameters},
journal = {Probability in the Engineering and Informational Sciences},
year = {1992},
volume = {6},
pages = {457--469}
}
@ARTICLE {vENT97a,
AUTHOR="K. Entacher",
YEAR={1997},
TITLE="Quasi-{M}onte {C}arlo Methods for Numerical Integration
of Multivariate {H}aar Series",
JOURNAL={BIT},
VOLUME={37},
NUMBER={4},
PAGES={846--861} }
@Article{vEHR07a,
AUTHOR = {S. M. T. Ehrlichman and S. G. Henderson},
TITLE = {Adaptive Control Variates for Pricing Multidimensional {A}merican Options},
journal = {Journal of Computational Finance},
YEAR = {2007},
volume = {11},
number = {1},
pages = {?--?},
annote = {zero variance},
}
@Book{vERM95a,
author = {S. M. Ermakov and V. B. Melas},
title = {Design and Analysis of Simulation Experiments},
publisher = {Kluwer Academic},
year = {1995},
address = {Dordrecht, The Netherlands},
OPTannote = {splitting, importance sampling}
}
@ARTICLE {vFAL99a,
AUTHOR = {M. Falkner and M. Devetsikiotis and I. Lambadaris},
TITLE = {Fast Simulation of Networks of Queues with Effective
and Decoupling Bandwidths},
YEAR = {1999},
JOURNAL = {{ACM} Transactions on Modeling and Computer Simulation},
VOLUME = {9},
number = {1},
PAGES = {45--58} }
@article{vFAU09a,
author = "H. Faure and C. Lemieux",
title = "Generalized {H}alton Sequences in 2008: A Comparative Study",
journal = "{ACM} Transactions on Modeling and Computer Simulation",
year = {2009},
volume = {19},
number = {4},
pages = {Article 15}
}
@ARTICLE {vFIS83a,
AUTHOR="G. S. Fishman and B. D. Wang",
YEAR={1983},
TITLE="Antithetic Variates Revisited",
JOURNAL={Communications of the ACM},
VOLUME={26},
number = {11},
PAGES={964--971} }
@ARTICLE {vFIS86a,
AUTHOR="G. S. Fishman",
TITLE="A {M}onte {C}arlo Sampling Plan for Estimating Network Reliability",
JOURNAL={Operations Research},
YEAR={1986},
VOLUME={34},
NUMBER = {4},
PAGES={581--594} }
@ARTICLE {vFIS89a,
AUTHOR="G. S. Fishman",
YEAR={1989},
TITLE="{M}onte {C}arlo, Control Variates, and Stochastic Ordering",
JOURNAL={{SIAM} Journal on Scientific and Statistical Computing},
VOLUME={10},
PAGES={187--204} }
@ARTICLE {vFIS92a,
AUTHOR="G. S. Fishman and V. G. Kulkarni",
YEAR={1992},
TITLE="Improving {M}onte {C}arlo Efficiency by Increasing Variance",
JOURNAL={Management Science},
VOLUME={38},
PAGES={1432--1444} }
@ARTICLE {vFLE95a,
AUTHOR="P. J. Fleming and D. Schaeffer and B. Simon",
YEAR={1995},
TITLE="Efficient {M}onte {C}arlo Simulation of a Product-Form
Model for a Cellular System with Dynamic Resource Sharing",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={5},
NUMBER={1},
PAGES={3--21} }
@ARTICLE {vFOX86a,
AUTHOR="B. L. Fox and P. W. Glynn",
TITLE="Discrete-Time Conversion for Simulating Semi-{M}arkov Processes",
JOURNAL={Operations Research Letters},
YEAR={1986},
VOLUME={5},
PAGES={191--196} }
@ARTICLE {vFOX89a,
AUTHOR="B. L. Fox and P. W. Glynn",
TITLE="Simulating Discounted Costs",
JOURNAL={Management Science},
VOLUME={35},
NUMBER={11},
YEAR={1989},
PAGES={1297--1315} }
@ARTICLE {vFOX90a,
AUTHOR="B. L. Fox and P. W. Glynn",
TITLE="Discrete-Time Conversion for Simulating Finite-Horizon
{M}arkov Processes",
JOURNAL={{SIAM} Journal on Applied Mathematics},
VOLUME={50},
YEAR={1990},
PAGES={1457--1473} }
@ARTICLE {vFOX95a,
AUTHOR="B. L. Fox and P. L'Ecuyer",
TITLE="Efficiency Improvement for {M}onte {C}arlo Simulation",
NOTE={In preparation},
xYEAR={1995},
xPAGES={xx--xx} }
@Book{vFOX99a,
author = {B. L. Fox},
ALTeditor = {},
title = {Strategies for Quasi-{M}onte {C}arlo},
publisher = {Kluwer Academic},
year = {1999},
address = {Boston, MA},
OPTannote = {}
}
@ARTICLE {vFRA89a,
AUTHOR="M. R. Frater and B. D. O. Anderson",
YEAR={1989},
TITLE="Fast Estimation of the Statistics of Excessive Backlogs
in Tandem Networks of Queues",
JOURNAL={Australian Telecommunications Research},
VOLUME={23},
PAGES={49--55} }
@INPROCEEDINGS {vFRA89b,
AUTHOR="M. R. Frater and R. R. Bitmead and R. A. Kenneky
and B. D. O. Anderson",
TITLE="Rare Events and Reverse-Time Models",
BOOKTITLE={Proceedings of the 28nd IEEE Conference on
Decision and Control},
PUBLISHER={IEEE Society},
YEAR={1989},
PAGES={1180--1183} }
@ARTICLE {vFRA90a,
AUTHOR="M. R. Frater and J. Walrand and B. D. O. Anderson",
YEAR={1990},
TITLE="Optimally Efficient Estimation of Buffer Overflows
in Queues with Deterministic Service Times via Importance Sampling",
JOURNAL={Australian Telecommunications Research},
VOLUME={24},
PAGES={1--8} }
@ARTICLE {vFRA91a,
AUTHOR="M. R. Frater and T. M. Lenon and B. D. O. Anderson",
YEAR={1991},
TITLE="Optimally Efficient Estimation of the Statistics of
Rare Events in Queuing Networks",
JOURNAL={IEEE Transactions on Automatic Control},
VOLUME={AC-36},
PAGES={1395--1405} }
@ARTICLE {vFRA94a,
AUTHOR="M. R. Frater and B. D. O. Anderson",
YEAR={1994},
TITLE="Fast Simulation of Buffer Overflows in Tandem Networks
of {$GI/GI/1$} Queues",
JOURNAL={Annals of Operations Research},
VOLUME={49},
PAGES={207--220} }
@INPROCEEDINGS {vFRE94a,
AUTHOR=" J. A. Freebersyser and M. Devetsikiotis
and J. K. Townsend",
TITLE="Efficient Simulation of High-Speed Tandem Networks
Using Importance Sampling and Stochastic Gradient Techniques",
BOOKTITLE={Proceedings of Globecom'94},
PUBLISHER={IEEE Computer Society Press},
YEAR={1993},
PAGES={1--5} }
@article{vFRI00a,
author = {A. Frigessi and J. G\aa semyr and H. Rue},
title = {Antithetic Coupling of Two {G}ibbs Sampler Chain},
year = {2000},
journal = {The Annals of Statistics},
volume = {28},
number = {4},
pages = {1128--1149}
}
@ARTICLE {vFRO88a,
AUTHOR="V. Frost and W. W. LaRue and K. S. Shanmugan",
YEAR={1988},
TITLE="Efficient Techniques for the Simulation of Computer
Communication Networks",
JOURNAL={IEEE Journal on Selected Areas in Communication},
VOLUME={6},
PAGES={146--157} }
@Book{vFU97a,
author = {M. Fu and J.-Q. Hu},
title = {Conditional {M}onte {C}arlo},
publisher = {Kluwer Academic},
year = {1997},
address = {Boston},
OPTannote = {}
}
@ARTICLE {vGAL84a,
AUTHOR="S. Gal and Y. Rubinstein and A. Ziv",
YEAR={1984},
TITLE="On the Optimality and Efficiency of Common Random Numbers",
JOURNAL={Mathematics and Computers in Simulation},
VOLUME={26},
PAGES={502--512} }
@INPROCEEDINGS {vGAR98a,
AUTHOR="M. J. J. Garvels and D. P. Kroese",
TITLE="A Comparison of {RESTART} Implementations",
BOOKTITLE={Proceedings of the 1998 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1998},
PAGES={601--609} }
@PhdThesis{vGAR00a,
author = {M. J. J. Garvels},
title = {The Splitting Method in Rare Event Simulation},
school = {Faculty of mathematical Science,
University of Twente, The Netherlands},
year = {2000},
OPTaddress = {},
OPTannote = {}
}
@ARTICLE {vGAR02a,
AUTHOR="M. J. J. Garvels and D. P. Kroese and J.-K. C. W. {Van Ommeren}",
YEAR={2002},
TITLE="On the Importance Function in Splitting Simulation",
JOURNAL={European Transactions on Telecommunications},
VOLUME={13},
NUMBER={4},
PAGES={363--371} }
@article {vGIL07a,
AUTHOR = {H. S. Gill and C. Lemieux},
TITLE = {Searching for Extensible {K}orobov Rules},
JOURNAL = {Journal of Complexity},
YEAR = {2007},
VOLUME = {23},
PAGES = {603--613} }
@article{vGIL08a,
title={Multilevel {Monte Carlo} path simulation},
author={M. B. Giles},
journal={Operations Research},
volume={56},
number={3},
pages={607--617},
year={2008}
}
@inproceedings{vGIL09a,
author = {M. Giles},
title = {Vibrato {M}onte {C}arlo Sensitivities},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {369--382},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vGIL09b,
title={Multilevel quasi-{M}onte {C}arlo path simulation},
author={M. B. Giles and B. J. Waterhouse},
journal={Advanced Financial Modelling, Radon Series on Computational
and Applied Mathematics},
pages={165--181},
year={2009}
}
@ARTICLE {vGLA92b,
AUTHOR="P. Glasserman and D. D. Yao",
YEAR={1992},
TITLE="Some Guidelines and Guarantees for Common Random Numbers",
JOURNAL={Management Science},
VOLUME={38},
NUMBER={6},
PAGES={884--908} }
@article {vGLA93a,
AUTHOR = {P. Glasserman},
TITLE = {Stochastic monotonicity and conditional {M}onte {C}arlo for
likelihood ratios},
JOURNAL = {Advances in Applied Probability},
VOLUME = {25},
YEAR = {1993},
NUMBER = {1},
PAGES = {103--115},
}
@ARTICLE {vGLA93b,
AUTHOR="P. Glasserman",
YEAR={1993},
TITLE="Filtered {M}onte {C}arlo",
JOURNAL={Mathematics of Operations Research},
VOLUME={18},
number = {3},
PAGES={610--634} }
@INPROCEEDINGS {vGLA93c,
AUTHOR="P. Glasserman",
TITLE="Overflow Probabilities in Jackson Networks",
BOOKTITLE={Proceedings of the 32nd IEEE Conference on
Decision and Control},
PUBLISHER={IEEE Society},
YEAR={1993},
PAGES={3178--3182} }
@ARTICLE {vGLA95a,
AUTHOR="P. Glasserman and S.-G. Kou",
YEAR={1995},
TITLE="Analysis of an Importance Sampling Estimator for
Tandem Queues",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={5},
NUMBER={1},
annote = {is},
PAGES={22--42} }
@INPROCEEDINGS {vGLA96a,
AUTHOR="P. Glasserman and P. Heidelberger and P. Shahabuddin
and T. Zajic",
TITLE="Splitting for Rare Event Simulation: Analysis of
Simple Cases",
BOOKTITLE={Proceedings of the 1996 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1996},
xPAGES={} }
@Article{vGLA97a,
author = {P. Glasserman and Y. Wang},
title = {Counterexamples in Importance Sampling for
Large Deviations Probabilities},
journal = {The Annals of Applied Probability},
year = {1997},
volume = {7},
number = {3},
pages = {731--746},
OPTannote = {is, importance sampling}
}
@incollection {vGLA97b,
AUTHOR = {Glasserman, Paul and Heidelberger, Philip and Shahabuddin,
Perwez and Zajic, Tim},
TITLE = {A look at multilevel splitting},
BOOKTITLE = {{M}onte {C}arlo and quasi-{M}onte {C}arlo
methods 1996 (Salzburg)},
PAGES = {98--108},
PUBLISHER = {Springer-Verlag},
ADDRESS = {New York},
YEAR = {1998},
}
@Article {vGLA98a,
AUTHOR="P. Glasserman and P. Heidelberger and P. Shahabuddin
and T. Zajic",
TITLE="A Large Deviations perspective on the Efficiency of
Multilevel Splitting",
journal = {{IEEE} Transactions on Automatic Control},
year = {1998},
volume = {AC-43},
number = {12},
pages = {1666--1679},
OPTannote = {splitting}
}
@Article{vGLA99a,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Asymptotically Optimal Importance Sampling and
Stratification for Pricing Path Dependent Options},
journal = {Mathematical Finance},
year = {1999},
volume = {9},
number = {2},
pages = {117--152},
OPTannote = {}
}
@InProceedings{vGLA99b,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Importance Sampling and Stratification for Value-at-Risk},
booktitle = {Computational Finance 1999 (Proceedings of the
Sixth International Conference on Computational Finance)},
OPTpages = {},
year = {1999},
editor = {Y.S. Abu-Mostafa and B. LeBaron and A.W. Lo and
A.S. Weigend},
OPTaddress = {},
month = {Jan},
publisher = {{MIT} Press},
OPTnote = {Leonard N. Stern School of Business, New York University}
}
@techreport {vGLA99c,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Importance Sampling in the {H}eath-{J}arrow-{M}orton
Framework},
Xjournal = {Journal of Mathematical Finance},
year = {1999},
Xvolume = {9},
Xnumber = {2},
Xpages = {117--152},
note = {{IBM} Research Report {RC} 21367},
address = {Yorktown Heights, NY},
OPTannote = {}
}
@Article {vGLA99d,
old = {vGLA96b},
AUTHOR="P. Glasserman and P. Heidelberger and P. Shahabuddin
and T. Zajic",
TITLE="Multilevel Splitting for Estimating Rare Event Probabilities",
journal = {Operations Research},
year = {1999},
volume = {47},
number = {4},
pages = {585--600},
OPTannote = {splitting}
}
@Article {vGLA07a,
AUTHOR="P. Glasserman and S. K. Juneja",
TITLE="Uniformly Efficient Importance Sampling for the Tail Distribution
of Sums of Random Variables",
journal = {Mathematics of Operations Research},
year = {2007},
OPTvolume = {},
OPTnumber = {},
OPTpages = {},
note = {To appear},
OPTannote = {is}
}
@ARTICLE {vGLY85a,
AUTHOR="P. W. Glynn",
YEAR={1985},
TITLE="Regenerative Structure of {M}arkov Chains Simulated via
Common Random Numbers",
JOURNAL={Operations Research Letters},
VOLUME={4},
PAGES={49--53} }
@ARTICLE {vGLY88a,
AUTHOR="P. W. Glynn and D. L. Iglehart",
YEAR={1988},
TITLE="Simulation Methods for Queues: An Overview",
JOURNAL={Queueing Systems},
VOLUME={3},
PAGES={221--256} }
@ARTICLE {vGLY89a,
AUTHOR="P. W. Glynn and W. Whitt",
YEAR={1989},
TITLE="Indirect Estimation Via {$L = \lambda w$}",
JOURNAL={Operations Research},
VOLUME={37},
PAGES={82--103} }
@ARTICLE {vGLY89b,
AUTHOR="P. W. Glynn and D. L. Iglehart",
YEAR={1989},
TITLE="Importance Sampling for Stochastic Simulations",
JOURNAL={Management Science},
VOLUME={35},
PAGES={1367--1392} }
@ARTICLE {vGLY89c,
AUTHOR = {P. W. Glynn and W. Whitt},
TITLE = {Extensions of the Queueing Relations $L = \lambda W$
and $H = \lambda G$},
YEAR = {1989},
JOURNAL = {Operations Research},
VOLUME = {37},
PAGES = {634-644} }
@ARTICLE {vGLY92a,
AUTHOR="P. W. Glynn and W. Whitt",
YEAR={1992},
TITLE="The Asymptotic Efficiency of Simulation Estimators",
JOURNAL={Operations Research},
VOLUME={40},
PAGES={505--520} }
@ARTICLE {vGLY94a,
AUTHOR="P. W. Glynn",
YEAR={1994},
TITLE="Efficiency Improvement Techniques",
JOURNAL={Annals of Operations Research},
VOLUME={53},
PAGES={175--197} }
@ARTICLE {vGLY94b,
AUTHOR="P. W. Glynn",
YEAR={1994},
TITLE="Importance Sampling for {M}arkov Chains:
Asymptotics for the Variance",
JOURNAL={Stochastic Models},
volume = {10},
number ={4},
pages = {701--717},
}
@incollection {vGLY96a,
author = {P. W. Glynn and M. Torres},
title = {Nonparametric Estimation of Tail Probabilities for
the Single-Server Queue},
booktitle = {Stochastic Networks: Stability and Rare Events},
editor = {P. Glasserman, K. Sigman, and D. D. Yao},
publisher = {Springer-Verlag},
address = {New York},
volume = {117},
pages = {109--138},
year = {1996},
series = {Lecture Notes in Statistics}
}
@inproceedings {vGLY02a,
AUTHOR = "P. W. Glynn and R. Szechtman",
TITLE = {Some New Perspectives on the Method of Control Variates},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {27--49},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vGNE07a,
author = {M. Gnewuch and R. Lindlol and R. Schneider and A. Srivastav},
title = {Cubature Formulas for Function Spaces with Moderate Smoothness},
journal = {Journal of Complexity},
volume = {23},
year = {2007},
pages = {828--850},
}
% Compiled by Per H. Christensen
@TECHREPORT{vGOE49a,
author = "G. Goertzel",
title = "Quota Sampling and Importance Functions in Stochastic Solution
of Particle Problems",
number = 434,
institution = "Oak Ridge National Laboratory",
address = "Oak Ridge, Tennessee",
month = June,
year = 1949,
keywords = {nuclear physics, Monte Carlo, importance sampling, adjoints,
importance},
comments = "The first demonstration of a zero variance estimator: if
we knew the exact importance, we wouldn't have to simulate
the primary quantity (neutron density, radiance).
The adjoint function is the optimal importance function for
importance sampling. In other words, if we knew the
optimal importance sampling function, one sample would be
enough. It is also suggested to solve the primary and the
dual problem in parallel, using each one to improve the
solution of the other.
Of historical interest: ``many of the thoughts herein arose
during conferences between Mr. Kahn and me during the days
June 15--17.''
According to [Kahn49a], Goertzel introduced the term
`importance sampling'. However, in this tech report he
uses the older term `quota sampling' (which is a little
misleading since it is different from the quota sampling
used in statistics)."
}
@ARTICLE{vGOE58a,
author = "G. Goertzel and M. H. Kalos",
title = "{M}onte {C}arlo Methods in Transport Problems",
journal = "Progress in Nuclear Energy, Series {I}",
volume = 2,
pages = "315--369",
publisher = "Pergamon Press",
year = 1958,
keywords = {nuclear physics, adjoints, importance, zero variance},
comments = "It is shown here that importance (the function satisfying
the adjoint equation) permits the answer to the primary
equation to be obtained exactly -- ie. with zero variance.
(This was also shown in [Goertzel49].)"
}
@inproceedings {vGOR99a,
AUTHOR = "C. Gorg and O. Fuss",
TITLE = "Simulating Rare Event Details of
ATM Delay Time Distributions with RESTART/LRE",
booktitle = {Proceedings of the IEE International Teletrafic Congress, ITC16},
pages = {777--786},
year = {1999},
publisher = {Elsevier}
}
@incollection {vGON96a,
author = {W.-B. Gong and S. Nananukul},
title = {Rational Interpolation for Rare Event Probabilities},
booktitle = {Stochastic Networks: Stability and Rare Events},
editor = {P. Glasserman, K. Sigman, and D. D. Yao},
publisher = {Springer-Verlag},
address = {New York},
volume = {117},
pages = {139--168},
year = {1996},
series = {Lecture Notes in Statistics}
}
@INPROCEEDINGS{vGOY87a,
AUTHOR = {Goyal, A. and Heidelberger, P. and Shahabuddin P.},
BOOKTITLE = {Proceedings of the 1987 Winter Simulation Conference},
EDITOR = {{IEEE} press},
TITLE = {Measure Specific Dynamic Importance Sampling for Availability Simulations},
PAGES = {351--357},
YEAR = {1987},
}
@ARTICLE {vGOY92a,
AUTHOR="A. Goyal and P. Shahabuddin and P. Heidelberger
and V. F. Nicola and P. W. Glynn",
YEAR={1992},
TITLE="A Unified Framework for Simulating {M}arkovian
Models of Highly Reliable Systems",
JOURNAL={{IEEE} Transactions on Computers},
VOLUME={C-41},
PAGES={36--51} }
@ARTICLE {vGRA81a,
AUTHOR="B. L. Granovsky",
YEAR={1981},
TITLE="Optimal Formulae of the Conditional {M}onte {C}arlo",
JOURNAL={SIAM Journal on Algebraic and Discrete Mathematics},
VOLUME={2},
PAGES={289--294} }
@Article{vGRA97a,
author = {D. Grant and G. Vora and D. Weeks},
title = {Path-Dependent Options: Extending the
{M}onte-{C}arlo Simulation Approach},
journal = {Management Science},
year = {1997},
volume = {43},
number = {11},
pages = {1589--1602},
OPTannote = {}
}
@ARTICLE {vHAB66a,
AUTHOR="S. Haber",
YEAR={1966},
TITLE="A Modified {M}onte {C}arlo Quadrature",
JOURNAL={Mathematics of Computation},
VOLUME={19},
PAGES={361--368},
annote = {stratified sampling} }
@ARTICLE {vHAB67a,
AUTHOR="S. Haber",
YEAR={1967},
TITLE="A Modified {M}onte {C}arlo Quadrature {II}",
JOURNAL={Mathematics of Computation},
VOLUME={21},
PAGES={388--397},
annote = {stratified, antithetic} }
@ARTICLE {vHAL70a,
AUTHOR="J. Halton",
YEAR={1970},
TITLE="A Retrospective and Prospective Survey of the
{M}onte {C}arlo Method",
JOURNAL={SIAM Review},
VOLUME={12},
PAGES={1--63} }
@article{vHAM56a,
author = {J. M. Hammersley and K. V. Morton},
title = {A new {M}onte {C}arlo technique: antithetic variates},
year = {1956},
journal = {Mathematical Proceedings of the Cambridge Philosophical Society},
Volume = {52},
pages = {449--475},
annote = {antithetic}
}
@article{vHAM56b,
author = {J. M. Hammersley and J. G. Mauldron},
title = {General principles of antithetic variates},
year = {1956},
journal = {Mathematical Proceedings of the Cambridge Philosophical Society},
Volume = {52},
pages = {476--481}
}
@BOOK {vHAM64a,
AUTHOR="J. M. Hammersley and D. C. Handscomb",
TITLE={{M}onte {C}arlo Methods},
PUBLISHER={Methuen},
ADDRESS={London},
YEAR={1964} }
@article {vHAR04a,
AUTHOR = {J. Hartinger and R. F. Kainhofer and R. F. Tichy},
TITLE = {Quasi-{M}onte {C}arlo Algorithms for Unbounded
Weighted Integration Problems},
JOURNAL = {Journal of Complexity},
YEAR = {2004},
VOLUME = {20},
PAGES = {654--668} }
@article {vHE15a,
author = {He, Zhijian and Owen, Art B.},
title = {Extensible grids: uniform sampling on a space filling curve},
journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
Xissn = {1467-9868},
Xurl = {http://dx.doi.org/10.1111/rssb.12132},
doi = {10.1111/rssb.12132},
OPTpages = {n/a--n/a},
keywords = {van der Corput sequence, Hilbert space filling curve, Lattice sequence, Randomized quasi-Monte-Carlo sampling, Sequential quasi-Monte-Carlo method},
year = {2015},
}
@phdthesis {vHEE98a,
author = {P. E. Heegaard},
title = {Efficient Simulation of Network Performance by
Importance Sampling},
school = {Norwegian University of Science and Technology},
year = {1998} }
@ARTICLE {vHEI79a,
AUTHOR="P. Heidelberger and D. L. Iglehart",
YEAR={1979},
TITLE="Comparing Stochastic Systems Using Regenerative Simulations
with Common Random Numbers",
JOURNAL={Advances in Applied Probabability},
VOLUME={11},
PAGES={804--819} }
@ARTICLE {vHEI91a,
AUTHOR="P. Heidelberger and P. Tsoucas",
YEAR={1991},
TITLE="Reverse Time Simulation of Rare Events",
JOURNAL={IBM Technical Disclosures Bulletin},
VOLUME={34},
NUMBER={3},
PAGES={163--165} }
@INPROCEEDINGS {vHEI92a,
AUTHOR="P. Heidelberger and V. F. Nicola and P. Shahabuddin",
TITLE="Simultaneous and Efficient Simulation of Highly Dependable
Systems with Different Underlying Distributions",
BOOKTITLE={Proceedings of the 1992 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1992},
PAGES={458--465} }
@INPROCEEDINGS {vHEI93a,
AUTHOR="P. Heidelberger",
TITLE="Fast Simulation of Rare Events in Queueing and Reliability
Models",
BOOKTITLE={Performance Evaluation of Computer and Communication
Systems},
SERIES={Lecture Notes in Computer Science},
VOLUME={729},
PUBLISHER={Springer Verlag},
ADDRESS={New York},
EDITOR={L. Donatiello and R. Nelson},
YEAR={1993},
PAGES={165--202} }
@ARTICLE {vHEI94a,
AUTHOR="P. Heidelberger and P. Shahabuddin and V. F. Nicola",
YEAR={1994},
TITLE="Bounded Relative Error in Estimating Transient Measures
of Highly Dependable Non-{M}arkovian Systems",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={4},
NUMBER={2},
PAGES={137--164} }
@ARTICLE {vHEI95a,
AUTHOR="P. Heidelberger",
YEAR={1995},
TITLE="Fast Simulation of Rare Events in Queueing and
Reliability Models",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={5},
NUMBER={1},
PAGES={43--85} }
@INPROCEEDINGS {vHEI95b,
AUTHOR="P. Heidelberger and R. Simha",
TITLE="Fast Simulation of a Voice-Data Multiplexer",
BOOKTITLE={Proceedings of the {IEEE INFOCOM'95} Conference},
YEAR={1995},
PAGES={361--368} }
@incollection {vHEI01a,
author = "S. Heinrich and F. J. Hickernell and R.-X. Yue",
title = "Integration of Multivariate {H}aar Wavelet Series",
booktitle = {Wavelet Analysis and its Applications},
PUBLISHER={Springer-Verlag},
address = {New York},
EDITOR={Y. Y. Tang and V. Wickerhauser and P. C. Yuen, and C. H. Li},
SERIES={Lecture Notes in Computer Science},
NUMBER={2251},
YEAR={2001},
PAGES={99--106} }
@Article{vHEI04a,
old = {vHEI01b},
author = {S. Heinrich and F. J. Hickernell and R. X. Yue},
title = {Optimal Quadrature for {H}aar Wavelet Spaces},
journal = {Mathematics of Computation},
year = {2004},
volume = {73},
pages = {259--277},
OPTannote = {}
}
@article{vHEN99a,
old = {vHEN96a},
AUTHOR = {S. G. Henderson and P. W. Glynn},
TITLE = {Derandomizing Variance Estimators},
journal = {Operations Research},
YEAR = {1999},
volume = {47},
pages = {907--916},
NOTE = {} }
@Article{vHEN02a,
AUTHOR = {S. G. Henderson and P. W. Glynn},
TITLE = {Approximating Martingales for Variance
Reduction in {M}arkov Process Simulation},
journal = {Mathematics of Operations Research},
YEAR = {2002},
volume = {27},
pages = {253--271},
annote = {zero variance},
}
@Article{vHEN04a,
AUTHOR = {S. G. Henderson and B. Simon},
TITLE = {Adaptive Simulation Using Perfect Control Variates},
journal = {Journal of Applied Probability},
YEAR = {2004},
volume = {41},
pages = {859--876},
annote = {zero variance},
}
@Article{vHES95a,
AUTHOR = {T. Hesterberg},
TITLE = {Weighted Average Importance Sampling and Defensive Mixture Distributions},
journal = {Technometrics},
YEAR = {1995},
volume = {37},
number = {2},
pages = {185--194},
annote = {mixture importance sampling},
}
@PhDthesis{vHES03a,
AUTHOR = {T. Hesterberg},
TITLE = {Advances in Importance Sampling},
YEAR = {2003},
Institution = {Department of Statistics, Stanford University},
note = {\url{citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.136.5735.pdf}},
annote = {mixture importance sampling},
}
@INCOLLECTION {vHIC95a,
AUTHOR="F. J. Hickernell",
TITLE="A Comparison of Random and Quasirandom Points for
Multidimensional Quadrature",
BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods in
Scientific Computing},
PUBLISHER={Springer-Verlag},
EDITOR={H. Niederreiter and P. J.-S. Shiue},
SERIES={Lecture Notes in Statistics},
volume={106},
YEAR={1995},
PAGES={213--227} }
@ARTICLE{vHIC96a,
AUTHOR = {F. J. Hickernell},
TITLE = {Quadrature Error Bounds with Applications to Lattice Rules},
YEAR = {1996},
JOURNAL = {{SIAM} Journal on Numerical Analysis},
VOLUME = {33},
PAGES = {1995--2016} }
@INPROCEEDINGS {vHIC97a,
author = {F. J. Hickernell and H. S. Hong},
title = {Computing Multivariate Normal Probabilities Using rank-1
Lattice Sequences},
booktitle = {Proceedings of the Workshop on Scientific Computing
(Hong Kong)},
pages = {209--215},
year = {1997},
editor = {G. H. Golub and S. H. Lui and F. T. Luk and R. J. Plemmons},
OPTnumber = {},
OPTseries = {Lecture Notes in Computational Science and Engineering},
address = {Singapore},
publisher = {Springer-Verlag},
OPTannote = {}
}
@ARTICLE{vHIC98a,
AUTHOR = {F. J. Hickernell},
TITLE = {A Generalized Discrepancy and Quadrature Error Bound},
YEAR = {1998},
JOURNAL = {Mathematics of Computation},
VOLUME = {67},
number = {221},
PAGES = {299--322} }
@INCOLLECTION {vHIC98c,
old = "vHIC99a",
AUTHOR ="F. J. Hickernell",
TITLE = {Lattice Rules: How Well do They Measure Up?},
booktitle = {Random and Quasi-Random Point Sets},
editor = {P. Hellekalek and G. Larcher},
publisher = {Springer-Verlag},
address = {New York},
volume = {138},
pages = {109--166},
year = {1998},
series = {Lecture Notes in Statistics}
}
@INCOLLECTION {vHIC98cx,
AUTHOR ="F. J. Hickernell",
TITLE = {Lattice Rules: How Well do They Measure Up?},
pages = {109--166},
crossref = {rHEL98s},
}
@ARTICLE{vHIC99a,
old = {vHIC98b},
AUTHOR = {F. J. Hickernell and H. S. Hong},
TITLE = {The Asymptotic Efficiency of Randomized Nets for Quadrature},
YEAR = {1999},
JOURNAL = {Mathematics of Computation},
VOLUME = {68},
number = "226",
PAGES = {767--791} }
@InProceedings{vHIC00b,
old = {vHIC99b},
AUTHOR ="F. J. Hickernell",
TITLE = {What Affects the Accuracy of Quasi-{M}onte {C}arlo Quadrature?},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {16--55},
year = {2000},
editor = {H. Niederreiter and J. Spanier},
address = {Berlin},
publisher = {Springer-Verlag},
OPTannote = {}
}
@Incollection {vHIC00bx,
AUTHOR ="F. J. Hickernell",
TITLE = {What Affects Accuracy of Quasi-{M}onte {C}arlo Quadrature?},
pages = {16--55},
crossref = {rNIE00a},
}
@article {vHIC01a,
old = {vHIC99c},
AUTHOR = {F. J. Hickernell and H. S. Hong and P. L'Ecuyer
and C. Lemieux},
TITLE = {Extensible Lattice Sequences for Quasi-{M}onte {C}arlo
Quadrature},
JOURNAL = {{SIAM} Journal on Scientific Computing},
YEAR = {2001},
VOLUME = {22},
number = {3},
PAGES = {1117--1138} }
@article{vHIC01b,
AUTHOR = {F. J. Hickernell and H. W\'ozniakowski},
TITLE = {The Price of Pessimism for Multidimensional Quadrature},
JOURNAL = {Journal of Complexity},
VOLUME = {17},
PAGES = {625--659},
YEAR = {2001},
}
@article{vHIC01c,
AUTHOR = {F. J. Hickernell and H. W\'ozniakowski},
TITLE = {Tractability of Multivariate Integration for Periodic Functions},
JOURNAL = {Journal of Complexity},
VOLUME = {17},
PAGES = {660--682},
YEAR = {2001},
}
@InProceedings{vHIC02a,
author = {F. J. Hickernell},
title = {Obtaining ${O(N^{-2+\epsilon})}$ Convergence for Lattice
Quadrature Rules},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {274--289},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vHIC03a,
AUTHOR = {F. J. Hickernell},
TITLE = {My Dream Quadrature Rule},
JOURNAL = {Journal of Complexity},
VOLUME = {19},
PAGES = {420--427},
YEAR = {2003},
}
@article{vHIC03b,
title={The existence of good extensible rank-1 lattices},
author={F. J. Hickernell and H. Niederreiter},
journal={Journal of Complexity},
volume={19},
number={3},
pages={286--300},
year={2003}
}
@article{vHIC04b,
author = {F. J. Hickernell and
I. H. Sloan and
G. W. Wasilkowski},
title = {On strong tractability of weighted multivariate integration},
journal = {Mathematics of Computation},
volume = {73},
number = {248},
year = {2004},
pages = {1903--1911},
}
@article{vHIC04c,
author = {F. J. Hickernell and
I. H. Sloan and
G. W. Wasilkowski},
title = {On tractability of weighted integration over bounded and
unbounded regions in $\mathcal{R}^s$},
journal = {Mathematics of Computation},
volume = {73},
number = {248},
year = {2004},
pages = {1885--1901},
}
@article{vHIC05a,
old = {vHIC04a},
old = {vHIC02b},
author = {F. J. Hickernell and C. Lemieux and A. B. Owen},
title = {Control Variates for Quasi-{M}onte {C}arlo},
journal = {Statistical Science},
year = {2005},
volume = {20},
number = {1},
pages = {1--31},
OPTannote = {CV, QMC}
}
@article{vHIC08a,
author = {F. J. Hickernell and
J. Dick},
title = {An Algorithm-Driven Approach to Error Analysis for
Multidimensional Integration},
journal = {International Journal of Numerical Analysis and Modeling},
volume = {5},
number = {2},
year = {2008},
pages = {167--189},
}
@article {vHON03a,
old = {vHON01a},
author = {H. S. Hong and F. H. Hickernell},
title = {Algorithm 823: Implementing Scrambled Digital Sequences},
journal = {{ACM} Transactions on Mathematical Software},
volume = {29},
PAGES = {95--109},
year = {2003}}
@ARTICLE {vHSU90a,
AUTHOR="J. C. Hsu and B. L. Nelson",
YEAR={1990},
TITLE="Control Variates for Quantile Estimation",
JOURNAL={Management Science},
VOLUME={36},
NUMBER={7},
PAGES={835--851} }
@INPROCEEDINGS {vHUA95a,
AUTHOR="C. Huang and M. Dvetsikiotis and I. Lambadaris
and A. R. Kaye",
TITLE="Fast Simulation for Self-Similar Traffic in {ATM} Networks",
BOOKTITLE={Proceedings of the IEEE International Conference
on Communications, ICC'95},
PUBLISHER={IEEE Press},
NOTE={Submitted},
YEAR={1995},
PAGESx={xx--xx} }
@article {vHUI05a,
author = {Hui, K.-P. and Bean, N. and Kraetzl, M. and Kroese, D.},
title = {The Cross-Entropy Method for Network Reliability Estimation},
journal = {Annals of Operations Research},
volume = {134},
year = {2005},
pages = {101--118}
}
@Article{vHUL88a,
author = {J. Hull and A. White},
title = {The Use of the Control Variate Technique in
Option Pricing},
journal = {Journal of Financial and Quantitative Analysis},
year = {1988},
volume = {23},
pages = {237--251},
OPTannote = {}
}
@Article{vIYE09a,
author = {Iyer, S. M. and Nakayama, M. V. and Gerbessiotis, A. V.},
title = {A {M}arkovian Dependability Model with Cascading Failures},
journal = {IEEE Transactions on Computers},
year = {2009},
volume = {58},
number = {9},
pages = {1238--1249},
OPTannote = {}
}
@UNPUBLISHED{vJAM96a,
author = {F. James and J. Hoogland and R. Kleiss},
year = {1996},
title = {Multidimensional Sampling for Simulation and Integration:
Measures, Discrepancies, and Quasi-Random Numbers},
number = {96-017},
note = {Submitted to Computer Physics Communications},
institution = {{NIKHEF}-Amsterdam},
type = {Preprint},
abstract = {diaphony as mean squared integration error},
keywords = {diaphony}
}
@incollection {vJEL96a,
author = {P. R. Jelenkov\'ic and A. A. Lazar},
title = {A Network Multiplexer with Multiple Time Scale and
Subexponential Arrivals},
booktitle = {Stochastic Networks: Stability and Rare Events},
editor = {P. Glasserman, K. Sigman, and D. D. Yao},
publisher = {Springer-Verlag},
address = {New York},
volume = {117},
pages = {215--236},
year = {1996},
series = {Lecture Notes in Statistics}
}
@article{vJOA83a,
author = "K. Joag-Dev and F. Proschan",
title = "Negative association of random variables with applications",
year = {1983},
journal = "Annals of Statistics",
volume = {11},
pages = {286--295}
}
@Article{vJOE89a,
author = {S. Joe},
title = {The Generation of Lattice Points for Numerical
Multiple Integration},
journal = {Journal of Computational and Applied Mathematics},
year = {1989},
volume = {26},
pages = {327--331},
OPTnote = {},
OPTannote = {}
}
@Article{vJOE90a,
author = {S. Joe},
title = {Randomization of Lattice Rules for Numerical
Multiple Integration},
journal = {Journal of Computational and Applied Mathematics},
year = {1990},
volume = {31},
pages = {299--304},
OPTnote = {},
OPTannote = {}
}
@Article{vJOE92a,
author = {S. Joe and I. H. Sloan},
title = {Imbedded Lattice Rules for Multidimensional Integration},
journal = {{SIAM} Journal on Numerical Analysis},
year = {1992},
volume = {29},
pages = {1119--1135},
OPTnote = {},
OPTannote = {}
}
@Article{vJOE92b,
author = {S. Joe and I. H. Sloan},
title = {On Computing the Lattice Rule Criterion {R}},
journal = {Mathematics of Computation},
year = {1992},
volume = {59},
pages = {557--568},
OPTnote = {},
OPTannote = {}
}
@Article{vJOE93a,
author = {S. Joe and I. H. Sloan},
title = {Implementation of a Lattice Method for Numerical
Multiple Integration},
journal = {{ACM} Transactions on Mathematical Software},
year = {1993},
volume = {19},
pages = {523--545},
OPTnote = {},
OPTannote = {}
}
@Article{vJOY96a,
author = {C. Joy and P. Boyle and K. S. Tan},
title = {Quasi-{M}onte {C}arlo Methods in Numerical Finance},
journal = {Management Science},
year = {1996},
volume = {42},
number = {6},
pages = {926--938},
OPTannote = {QMC, Sobol}
}
@INPROCEEDINGS{vJUN92a,
AUTHOR = {Juneja, S. and Shahabuddin, P.},
BOOKTITLE = {Proceedinds of the Twenty-Second International Symposium on Fault-Tolerant Computing},
CHAPTER = {Fast Simulation of {M}arkovian Reliability/Availability Models with General Repair Policies},
PAGES = {150--159},
PUBLISHER = {{IEEE} Computer Society Press},
YEAR = {1992}
}
@Unpublished{vJUN99a,
author = {S. Juneja and P. Shahabuddin},
title = {Simulating Heavy-Tailed Processes using Delayed
Hazard Rate Twisting},
note = {Manuscript},
OPTkey = {},
OPTmonth = {},
year = {1999},
OPTannote = {}
}
@ARTICLE{vJUN01a,
AUTHOR = {Juneja, S. and Shahabuddin, P.},
JOURNAL = {Management Science},
TITLE = {Fast Simulation of {M}arkov Chains with Small Transition Probabilities},
VOLUME = {47},
NUMBER = {4},
PAGES = {547--562},
YEAR = {2001}
}
@ARTICLE{vJUN01b,
AUTHOR = {Juneja, S. and Shahabuddin, P.},
JOURNAL = {IEEE Transactions on Reliability},
TITLE = {Splitting-Based Importance Sampling Algorithms for Fast Simulation
of {M}arkov Reliability Models with General Repair Policies},
VOLUME = {50},
NUMBER = {3},
PAGES = {235--245},
YEAR = {2001}
}
@INCOLLECTION {vJUN06a,
AUTHOR = {Juneja, S. and Shahabuddin, P.},
TITLE={Rare Event Simulation Techniques:
An Introduction and Recent Advances},
BOOKTITLE={Simulation},
series={Handbooks in Operations Research and Management Science},
EDITOR={S. G. Henderson and B. L. Nelson},
PUBLISHER={Elsevier},
ADDRESS={Amsterdam, The Netherlands},
YEAR={2006},
note = {Chapter 11},
PAGES = {291--350}
}
@ARTICLE {vJUN07a,
AUTHOR="S. Juneja",
TITLE="Estimating tail probabilities of heavy tailed
distributions with asymptotically zero relative error",
JOURNAL={QUESTA},
VOLUME={57},
PAGES={115--127},
YEAR={2007},
}
% Compiled by Per H. Christensen
@TECHREPORT{vKAH49a,
author = "H. Kahn",
title = "Modifications of the {Monte Carlo} method",
number = "P-132",
institution = "Rand Corporation",
month = nov,
year = 1949,
keywords = {nuclear physics, Monte Carlo, splitting, Russian roulette,
importance sampling, adjoints, importance},
comments = "Describes importance sampling and adjoint equations.
Contains the following interesting footnote: `It was during
some conversations at the Oak Ridge National Laboratory
during the summer of 1949 that it was decided that finding
the optimum importance function was probably always equivalent
to solving the adjoint problem. Present at these conversations
were H. Feshbach, F. Friedman, G. Goertzel, and H. Kahn.'.
(Can be ordered from Rand Corp. (www.rand.org) for 4 US
dollars.)"
}
% Compiled by Per H. Christensen
@INPROCEEDINGS{vKAH49b,
author = "H. Kahn and T. E. Harris",
title = "Estimation of Particle Transmission by Random Sampling",
booktitle = "{Monte Carlo} Method",
series = "Applied Mathematics Series",
volume = 12,
pages = "27--30",
publisher = "National Bureau of Standards",
year = 1949,
keywords = {nuclear physics, Monte Carlo, splitting, Russian roulette,
adjoints, importance},
comments = "Introduces a) Russian roulette and splitting (credits John
von Neumann with inventing them), b) analytical integration
(the use of expected values, similar to next event estimation)
and c) importance sampling (both straightforward and using
the adjoint equation).
Suggests sequentially alternating propagation of neutron
flux and importance."
}
@ARTICLE{vKAH51a,
author = {H. Kahn and T. E. Harris},
title = {Estimation of Particle Transmission by Random Sampling},
journal = {National Bureau of Standards Applied Mathematical Series},
year = {1951},
volume = {12},
pages = {27--30},
keywords = {splitting}
}
% Compiled by Per H. Christensen
@INPROCEEDINGS{vKAH56a,
author = "H. Kahn",
title = "Use of Different {Monte Carlo} Sampling Techniques",
editor = "Herbert A. Meyer",
booktitle = "Symposium on {Monte Carlo} Methods",
publisher = "John Wiley \& Sons",
year = 1956,
keywords = {nuclear physics, Monte Carlo, splitting, Russian roulette,
adjoints?, importance?},
comment = "Elaborates on the topics in [Kahn49a,b].",
xnote = "(*) QA273.F67"
}
% Compiled by Per H. Christensen
@ARTICLE{vKAL63a,
author = "M. H. Kalos",
title = "Importance sampling in {Monte Carlo} shielding calculations",
journal = "Nuclear Science and Engineering",
volume = 16,
pages = "227--234",
year = 1963,
keywords = {nuclear physics, neutron transport, adjoints, importance},
comments = "Importance sampling based on the solution of the
adjoint equation."
}
% Compiled by Per H. Christensen
% volume = "?"
@Article{vKAL68a,
author = "M. H. Kalos",
title = "{Monte Carlo} Integration of the Adjoint Gamma-Ray Transport
Equation",
journal = "Nuclear Science and Engineering",
year = 1968,
number = 33,
pages = "284--290",
annote = "importance sampling"
}
@Article{vKAR85a,
author = "R. Karp and M. Luby",
title = "{Monte Carlo} Algorithms for the Planar Multi-Terminal Network Reliability Problem",
journal = "Journal of Complexity",
year = 1985,
number = 2,
pages = "45--64",
annote = "network reliability"
}
@inproceedings{vKEL06a,
author = {A. Keller},
title = {Myths of Computer Graphics},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2004},
pages = {217--243},
year = {2006},
editor = {H. Niederreiter and D. Talay},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE{vKEM90a,
author = {A. G. Z. Kemna and A. C. F. Vorst},
title = {A Pricing Method for Options Based on Average Asset Values},
journal = {Journal of Banking and Finance},
year = {1990},
volume = {14},
pages = {113--129},
OPTannote = {}
}
@ARTICLE {vKES93a,
AUTHOR="G. Kesidis and J. Walrand",
YEAR={1993},
TITLE="Quick Simulation of {ATM} Buffers with On-Off Multiclass
{M}arkov Fluid Sources",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={269--276} }
@INPROCEEDINGS {vKIM04a,
AUTHOR = {S. Kim and S. G. Henderson},
TITLE = {Adaptive Control Variates},
BOOKTITLE={Proceedings of the 2004 Winter Simulation Conference},
OPTeditor = {},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={2004},
pages = {621--629},
}
@Article{vKIM06a,
AUTHOR = {S. Kim and S. G. Henderson},
TITLE = {Adaptive Control Variates for Finite-Horizon Simulation},
journal = {Mathematics of Operations Research},
YEAR = {2006},
volume = {32},
pages = {508--527},
annote = {zero variance},
}
@INPROCEEDINGS {vKIM07a,
AUTHOR = {S. Kim and S. G. Henderson},
TITLE = {Non-Linear Control Variates for Regenerative Steady-State Simulation},
BOOKTITLE = {Proceedings of the 2007 Winter Simulation Conference},
OPTeditor = {},
publisher = {{IEEE} Press},
YEAR ={2007},
pages = {430--438},
}
@ARTICLE {vKLE75a,
AUTHOR="J. P. C. Kleijnen",
YEAR={1975},
TITLE="Antithetic Variates, Common Random Numbers and
Optimal Computer Time Allocation in Simulations",
JOURNAL={Management Science},
VOLUME={21},
PAGES={1176--1185} }
@ARTICLE {vKLE78a,
AUTHOR="J. P. C. Kleijnen",
YEAR={1978},
TITLE="Communication: Reply to {F}ox and {S}chruben",
JOURNAL={Management Science},
VOLUME={24},
PAGES={1772--1774} }
@ARTICLE {vKLE92a,
AUTHOR="J. P. C. Kleijnen",
YEAR={1992},
TITLE="Regression Metamodels for Simulation With Common Random Numbers:
Comparison of Validation Tests and Confidence Intervals",
JOURNAL={Management Science},
VOLUME={38},
NUMBER={8},
MONTH={August},
PAGES={1164--1185} }
@Article{vKOC97a,
author = "L. Kocis and W. J. Whiten",
title = "Computational Investigations of Low-discrepancy
Sequences",
journal = "{ACM} Transactions on Mathematical Software",
volume = "23",
number = "2",
pages = "266--294",
month = jun,
year = "1997",
CODEN = "ACMSCU",
ISSN = "0098-3500",
URL = "http://www.acm.org/pubs/citations/journals/toms/1997-23-2/p266-kocis/;
http://doi.acm.org/10.1145/264029.264064",
}
@ARTICLE {vKOL99a,
AUTHOR = {C. Kollman and K. Baggerly and D. Cox and R. Picard},
TITLE = {Adaptive importance sampling on discrete {M}arkov chains},
YEAR = {1999},
JOURNAL = {Annals of Applied Probability},
VOLUME = {9},
NUMBER = {2},
PAGES = {391--412} }
@ARTICLE {vKOL02a,
AUTHOR={T. Kollig and A. Keller},
TITLE={Efficient Multidimensional Sampling},
JOURNAL={Computer Graphics Forum},
VOLUME = {21},
NUMBER={3},
PAGES = {557--563},
YEAR = {2002}
}
@inproceedings {vKOL02b,
AUTHOR={T. Kollig and A. Keller},
TITLE = {Efficient Bidirectional Path-Tracing by
Randomized Quasi-{M}onte {C}arlo Integration},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {290--305},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vKON09a,
author = {R. Kong and M. Ambrose and J. Spanier},
title = {Adaptive {M}onte {C}arlo Algorithms for General
Transport Problems},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {467--484},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vKOV94a,
AUTHOR="I. N. Kovalenko",
YEAR={1994},
TITLE="Rare Events in Queueing Systems --- A Survey",
JOURNAL={Queueing Systems},
VOLUME={16},
PAGES={1--49} }
@InCollection{vKRI97a,
author = {U. Kriman and R. Y. Rubinstein},
title = {Polynomial and Exponential Time Algorithms for Estimation
of Rare Events in Queueing Models},
booktitle = {Frontiers in Queueing: Models and Applications
in Science and Engineering},
publisher = {{CRC} Press},
year = {1997},
editor = {J. Dshalalow},
OPTaddress = {},
pages = {421--448},
OPTannote = {}
}
@Article{vKRO02a,
author = {D. P. Kroese and V. F. Nicola},
title = {Efficient Simulation of a Tandom Jackson Network},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
year = {2002},
volume = {12},
number = {2},
pages = {199--141},
OPTannote = {}
}
@Article{vKUM80a,
author = {H. Kumamoto and K. Tanaka and K. Inoue and E. J. Henley},
title = {Dagger Sampling {Monte Carlo} for System Unavailability Evaluation},
journal = {IEEE Transactions on Reliability},
year = {1980},
volume = {29},
number = {2},
pages = {376--380}
}
@article{vKUO03a,
author = {F. Y. Kuo},
title = {Component-by-component constructions achieve the optimal
rate of convergence for multivariate integration in weighted
{K}orobov and {S}obolev spaces},
journal = {Journal of Complexity},
volume = {19},
number = {3},
year = {2003},
pages = {301--320},
}
@article{vKUO05b,
author = {F. Y. Kuo and I. H. Sloan},
title = {Quasi-{M}onte {C}arlo methods can be efficient for integration
over products of spheres},
journal = {Journal of Complexity},
volume = {21},
number = {2},
year = {2005},
pages = {196--210},
}
@article{vKUO05a,
author = {F. Y. Kuo and I. H. Sloan},
title = {Lifting the Curse of Dimensionality},
journal = {Notices of the {AMS}},
volume = {52},
number = {11},
year = {2005},
pages = {1320--1328}
}
@article{vKUO06a,
author = {F. Y. Kuo and
G. W. Wasilkowski and
B. J. Waterhouse},
title = {Randomly shifted lattice rules for unbounded integrands},
journal = {Journal of Complexity},
volume = {22},
number = {5},
year = {2006},
pages = {630--651}
}
@article{vKUO11a,
old={vKUO12a},
author={F. Y. Kuo and C. Schwab and I. H. Sloan},
title={Quasi-{M}onte {C}arlo methods for high dimensional integration: the
standard (weighted {H}ilbert space) setting and beyond},
journal = {The ANZIAM Journal},
volume = {53},
year = {2011},
pages = {1--37}
}
@article{vKUO12a,
author={F. Y. Kuo and C. Schwab and I. H. Sloan},
title={Quasi-{M}onte {C}arlo finite element methods for a class of elliptic
partial differential equations with random coefficients},
journal = {SIAM Journal on Numerical Analysis},
volume = {50},
year = {2012},
pages = {3351--3374}
}
@InProceedings{vKUR96a,
author = {I. Kuruganti and S. Strickland},
title = {Importance sampling for {M}arkov {C}hains:
computing variance and determining optimal measures},
booktitle = {Proceedings of the 1996 Winter Simulation Conference},
year = {1996},
publisher = {IEEE Press},
pages = {273--280},
OPTannote = {IS, zero-variance}
}
@Article{vKUR97a,
author = {I. Kuruganti and S. Strickland},
title = {Optimal Importance Sampling for {M}arkovian Systems
with Applications to Tandem Queues},
journal = {Mathematics and Computers in Simulation},
year = {1997},
volume = {44},
pages = {61--79},
OPTannote = {IS, zero-variance}
}
@ARTICLE {vKWO94a,
AUTHOR="C. Kwon and J. D. Tew",
YEAR={1994},
TITLE="Strategies for Combining Antithetic Variates and
Control Variates in Designed Simulation
Experiments",
JOURNAL={Management Science},
volume = {40},
pages = {1021--1034}
}
@ARTICLE{vLAG06a,
AUTHOR = {Lagnoux, A.},
JOURNAL = {Probability in the Engineering and Information Sciences},
NOTE = {To appear},
YEAR = {2006},
TITLE = {Rare event simulation}
}
@Article {vLAS00a,
author = {P. E. Lassila and J. T. Virtamo},
title = {Nearly Optimal Importance Sampling for {M}onte {C}arlo
Simulation of Loss Systems},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
year = {2000},
volume = {10},
number = {4},
pages = {326--347},
OPTannote = {importance sampling}
}
@ARTICLE {vLAV81a,
AUTHOR="S. S. Lavenberg and P. D. Welch",
YEAR={1981},
TITLE="A Perspective on the Use of Control Variables to
Increase the Efficiency of {M}onte {C}arlo Simulations",
JOURNAL={Management Science},
VOLUME={27},
PAGES={322--335} }
@ARTICLE {vLAV82a,
AUTHOR="S. S. Lavenberg and T. L. Moeller and P. D. Welch",
YEAR={1982},
TITLE="Statistical Results on Multiple Control Variables with
Application to Queueing Network Simulation",
JOURNAL={Operations Research},
VOLUME={30},
NUMBER={1},
PAGES={182--202} }
@TechReport{vLAW74a,
author = {A. M. Law},
title = {Efficient Estimators for Simulated Queueing Systems},
institution = {Operations Research Center,
University of California at Berkeley},
year = {1974},
number = {ORC 74-7},
OPTaddress = {},
OPTannote = {}
}
@ARTICLE{vLEC89c,
AUTHOR = {L\'ecot, C.},
JOURNAL = {Journal of Computational and Applied Mathematics},
TITLE = {Low discrepancy sequences for solving the
{B}oltzmann equation},
VOLUME = {25},
NUMBER = {2},
PAGES = {237--249},
YEAR = {1989}
}
@ARTICLE {vLEC91a,
AUTHOR="P. L'Ecuyer and M. Mayrand and M. Dror",
YEAR={1991},
TITLE="Dynamic Scheduling of a Robot Servicing Machines
on a One-Dimensional Line",
JOURNAL={IIE Transactions},
VOLUME={23},
NUMBER={4},
PAGES={371--382} }
@INPROCEEDINGS {vLEC94a,
AUTHOR="P. L'Ecuyer",
TITLE="Efficiency Improvement via Variance Reduction",
BOOKTITLE={Proceedings of the 1994 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1994},
PAGES={122--132} }
@ARTICLE {vLEC94b,
AUTHOR="P. L'Ecuyer and G. Perron",
YEAR={1994},
TITLE="On the Convergence Rates of {IPA} and {FDC} Derivative
Estimators",
JOURNAL={Operations Research},
VOLUME={42},
NUMBER={4},
PAGES={643--656} }
@article {vLEC96a,
AUTHOR="P. L'Ecuyer",
TITLE="Simulation of Algorithms for Performance Analysis",
JOURNAL={{ORSA} Journal on Computing},
VOLUME={8},
NUMBER={1},
YEAR={1996},
PAGES={16--20} }
@INPROCEEDINGS {vLEC96b,
AUTHOR="P. L'Ecuyer and Y. Champoux",
TITLE="Importance Sampling for Large {ATM}-Type Queueing Networks",
BOOKTITLE={Proceedings of the 1996 Winter Simulation Conference},
PUBLISHER={IEEE Press},
YEAR={1996},
PAGES={309--316} }
@ARTICLE{vLEC96c,
AUTHOR = {L\'ecot, C.},
JOURNAL = {Mathematics of Computation},
TITLE = {Error Bound for Quasi-{M}onte {C}arlo
Integration with Nets},
VOLUME = {65},
NUMBER = {213},
PAGES = {179--187},
YEAR = {1996}
}
@ARTICLE{vLEC98a,
AUTHOR = {L\'ecot, C. and Coulibaly, I.},
JOURNAL = {{SIAM} Journal on Numerical Analysis},
TITLE = {A Quasi-{M}onte {C}arlo Scheme Using Nets for
a Linear {B}oltzmann Equation},
VOLUME = {35},
NUMBER = {1},
PAGES = {51--70},
YEAR = {1998}
}
@INPROCEEDINGS {vLEC99a,
AUTHOR="P. L'Ecuyer and C. Lemieux",
TITLE="Quasi-{M}onte {C}arlo via Linear Shift-Register Sequences",
BOOKTITLE={Proceedings of the 1999 Winter Simulation Conference},
PUBLISHER={{IEEE} Press},
YEAR={1999},
PAGES={632--639} }
@article {vLEC99b,
new = {vLEC00b},
AUTHOR="P. L'Ecuyer and C. Lemieux",
TITLE="Variance Reduction via Lattice Rules",
YEAR={2000},
JOURNAL={Management Science},
VOLUME = {46},
NUMBER = {9},
PAGES={1214--1235} }
@Article{vLEC00a,
author = {P. L'Ecuyer and Y. Champoux},
title = {Estimating Small Cell-Loss Ratios in ATM Switches
via Importance Sampling},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
year = {2001},
volume = {11},
number = {1},
pages = {76--105},
OPTannote = {}
}
@article {vLEC00b,
old = "vLEC99b",
AUTHOR="P. L'Ecuyer and C. Lemieux",
TITLE="Variance Reduction via Lattice Rules",
YEAR={2000},
JOURNAL={Management Science},
VOLUME = {46},
NUMBER = {9},
PAGES={1214--1235} }
@INPROCEEDINGS {vLEC01a,
AUTHOR="P. L'Ecuyer and C. Lemieux",
TITLE="On the Choice of Quasi-Random Point Sets with
a Lattice Structure",
booktitle = {{M}onte {C}arlo Simulation},
editors = {G. I. Schu\"eller and P. D. Spanos},
xBOOKTITLE={Proceedings of the International Conference
{M}onte {C}arlo 2000},
PUBLISHER = {A. A. Balkema},
address = {Rotterdam},
YEAR = {2001},
PAGES={11--17} }
@InCollection{vLEC02a,
old = {vLEM01b},
author = {P. L'Ecuyer and C. Lemieux},
title = {Recent Advances in Randomized Quasi-{M}onte {C}arlo Methods},
booktitle = {Modeling Uncertainty: An Examination of Stochastic
Theory, Methods, and Applications},
pages = {419--474},
publisher = {Kluwer Academic},
year = {2002},
editor = {M.~Dror and P.~L'Ecuyer and F.~Szidarovszky},
address = {Boston},
OPTannote = {survey, qmc, lattice, net}
}
@inproceedings {vLEC02r,
AUTHOR = "C. L\'ecot and S. Ogawa",
TITLE = {Quasirandom Walk Methods},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {63--85},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@INPROCEEDINGS {vLEC03b,
AUTHOR ={P. L'Ecuyer},
TITLE ="Quasi-{M}onte {C}arlo Methods for Simulation",
BOOKTITLE={Proceedings of the 2003 Winter Simulation Conference},
OPTeditor = {},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={2003},
pages = {81--90},
}
@inproceedings{vLEC04a,
old = {vLEC03a},
author = {P. L'Ecuyer},
title = {Polynomial Integration Lattices},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2002},
pages = {73--98},
year = {2004},
editor = {H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vLEC04m,
author = {C. L\'ecot and B. Tuffin},
title = {Quasi-{M}onte {C}arlo Methods for Estimating Transient Measures
of Discrete Time {M}arkov Chains},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2002},
pages = {329--343},
year = {2004},
editor = {H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@unpublished{vLEC05a,
author = {P. L'Ecuyer and C. L\'ecot and B. Tuffin},
title = {A Randomized Quasi-{M}onte {C}arlo Simulation Method for
{M}arkov Chains},
journal = {Operations Research},
year = {2008},
OPTvolume = {},
OPTnumber = {},
OPTpages = {},
note = {To appear},
}
@article{vLEC05b,
author = {P. L'Ecuyer},
title = {Comment on ``Control Variates for Quasi-{M}onte {C}arlo''},
journal = {Statistical Science},
year = {2005},
volume = {20},
number = {1},
pages = {19--21},
OPTannote = {CV, QMC, call center}
}
@inproceedings{vLEC06a,
old = {vLEC05a},
author = {P. L'Ecuyer and C. L\'ecot and B. Tuffin},
title = {Randomized Quasi-{M}onte {C}arlo Simulation of {M}arkov
Chains with an Ordered State Space},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2004},
pages = {331--342},
year = {2006},
editor = {H. Niederreiter and D. Talay},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vLEC06b,
author = {P. L'Ecuyer and E. Buist},
title = {Variance Reduction in the Simulation of Call Centers},
booktitle = {Proceedings of the 2006 Winter Simulation Conference},
pages = {604--613},
year = {2006},
publisher = {{IEEE} Press},
}
@inproceedings{vLEC06c,
author = {P. L'Ecuyer and V. Demers and B. Tuffin},
title = {Splitting for Rare-Event Simulation},
booktitle = {Proceedings of the 2006 Winter Simulation Conference},
pages = {137--148},
year = {2006},
publisher = {{IEEE} Press},
}
@inproceedings{vLEC06d,
author = {P. L'Ecuyer and B. Tuffin},
title = {Splitting with Weight Windows to Control the Likelihood Ratio
in Importance Sampling},
booktitle = {Proceedings of ValueTools 2006: International Conference on
Performance Evaluation Methodologies and Tools},
pages = {7 pages},
year = {2006},
address = {Pisa, Italy},
publisher = {{ACM} Publications},
}
@Unpublished{vLEC07a,
new = {vLEC08b},
author = {P. L'Ecuyer and E. Buist},
title = {On the Interaction Between Stratification and Control Variates,
with Illustrations in a Call Center Simulation},
year = 2007,
note = {Submitted}
}
@article{vLEC07b,
OLD = {vLEC06b},
author = {P. L'Ecuyer and V. Demers and B. Tuffin},
title = {Rare-Events, Splitting, and Quasi-{M}onte {C}arlo},
pages = {Article 9},
year = {2007},
volume = {17},
number = {2},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
OPTnote = {},
}
@InProceedings{vLEC07d,
author = {P. L'Ecuyer and B. Tuffin},
title = {Effective Approximation of Zero-Variance Simulation in a Reliability Setting},
booktitle = {Proceedings of the 2007 European Simulation and Modeling Conference},
organization = {EUROSIS},
address = {Ghent, Belgium},
pages = {48--54},
year = {2007}
}
@InProceedings{vLEC07e,
author = {P. L'Ecuyer},
title = {Variance Reduction's Greatest Hits},
booktitle = {Proceedings of the 2007 European Simulation and Modeling Conference},
organization = {EUROSIS},
address = {Ghent, Belgium},
pages = {5--12},
year = {2007}
}
@article{vLEC08a,
old = {vLEC05a},
author = {P. L'Ecuyer and C. L\'ecot and B. Tuffin},
title = {A Randomized Quasi-{M}onte {C}arlo Simulation Method for
{M}arkov Chains},
journal = {Operations Research},
year = {2008},
volume = {56},
number = {4},
pages = {958--975},
}
@article{vLEC08b,
author = {P. L'Ecuyer and E. Buist},
title = {On the Interaction Between Stratification and Control Variates,
with Illustrations in a Call Center Simulation},
journal = {Journal of Simulation},
year = {2008},
volume = {2},
number = {1},
pages = {29--40},
}
@article{vLEC08c,
new = {vLEC09f},
author = {P. L'Ecuyer},
title = {Quasi-{M}onte {C}arlo Methods with Applications in Finance},
journal = {Finance and Stochastics},
pages = {307--349},
year = {2009},
volume = {13},
number = {3},
}
@article{vLEC08d,
author = {P. L'Ecuyer and J. H. Blanchet and B. Tuffin and P. W. Glynn},
title = {Asymptotic Robustness of Estimators in Rare-Event Simulation},
OPTpages = {Article },
year = {2008},
OPTvolume = {},
OPTnumber = {},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
note = {To appear},
}
@inproceedings{vLEC08e,
author = {P. L'Ecuyer and B. Tuffin},
title = {Approximate Zero-Variance Simulation},
booktitle = {Proceedings of the 2008 Winter Simulation Conference},
pages = {170--181},
year = {2008},
publisher = {{IEEE} Press},
}
@inproceedings{vLEC08f,
author = {P. L'Ecuyer and J.-S. Parent-Chartier and M. Dion},
title = {Simulation of a {L}\'evy Process by {PCA} Sampling
to Reduce the Effective Dimension},
booktitle = {Proceedings of the 2008 Winter Simulation Conference},
pages = {436--443},
year = {2008},
publisher = {{IEEE} Press},
}
@article{vLEC08g,
author = {P. L'Ecuyer and B. Tuffin},
title = {Approximating Zero-Variance Importance Sampling in a Reliability Setting},
journal = {Annals of Operations Research},
year = 2011,
volume = {189},
pages = {277--297}
}
@INCOLLECTION {vLEC09a,
AUTHOR = {P. L'Ecuyer and M. Mandjes and B. Tuffin},
TITLE={Importance Sampling and Rare Event Simulation},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 2},
PAGES = {17--38}
}
@INCOLLECTION {vLEC09b,
AUTHOR = {P. L'Ecuyer and F. LeGland and P. Lezaud and B. Tuffin},
TITLE={Splitting Techniques},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 3},
PAGES = {39--62}
}
@inproceedings{vLEC09c,
author = {P. L'Ecuyer and B. Tuffin},
title = {On the Error Distribution for Randomly-Shifted Lattice Rules},
booktitle = {Proceedings of the 2009 Winter Simulation Conference},
pages = {392--402},
year = {2009},
publisher = {{IEEE} Press},
}
@inproceedings{vLEC09d,
old = {vLEC10a},
author = {P. L'Ecuyer and C. L\'ecot and A. L'Archev\^eque-Gaudet},
title = {On Array-{RQMC} for {M}arkov Chains: Mapping Alternatives and Convergence Rates},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {485--500},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vLEC09f,
author = {P. L'Ecuyer},
title = {Quasi-{M}onte {C}arlo Methods with Applications in Finance},
journal = {Finance and Stochastics},
pages = {307--349},
year = {2009},
volume = {13},
number = {3},
}
@article{vLEC10a,
author = {P. L'Ecuyer and D. Munger and B. Tuffin},
title = {On the Distribution of Integration Error by Randomly-Shifted Lattice Rules},
journal = {Electronic Journal of Statistics},
pages = {950--993},
year = {2010},
volume = {4},
}
@article{vLEC10b,
old = {vLEC08d},
author = {P. L'Ecuyer and J. H. Blanchet and B. Tuffin and P. W. Glynn},
title = {Asymptotic Robustness of Estimators in Rare-Event Simulation},
pages = {Article 6},
year = {2010},
volume = {20},
number = {1},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
}
@article{vLEC10c,
old = {vLEC07c},
author = {P. L'Ecuyer and C. Sanvido},
title = {Coupling from the Past with Randomized Quasi-{M}onte {C}arlo},
year = "2010",
journal = "Mathematics and Computers in Simulation",
volume = {81},
number = {3},
pages = {476--489}
}
@article{vLEC11a,
old = {vLEC08g},
author = {P. L'Ecuyer and B. Tuffin},
title = {Approximating Zero-Variance Importance Sampling in a Reliability Setting},
journal = {Annals of Operations Research},
year = 2011,
volume = {189},
pages = {277--297}
}
@article{vLEC11c,
old = {vLEC10c},
author = {P. L'Ecuyer and G. Rubino and S. Saggadi and B. Tuffin},
title = {Approximate Zero-Variance Importance Sampling for Static Network
Reliability Estimation},
pages = {590--604},
year = {2011},
volume = {8},
number = {4},
journal = {{IEEE} Transactions on Reliability},
}
@inproceedings{vLEC11d,
new = {vLEC12a},
author = {P. L'Ecuyer and D. Munger},
title = {On Figures of Merit for Randomly-Shifted Lattice Rules},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2010},
pages = {133--159},
year = {2012},
editor = {H. Wo\'{z}niakowski and L. Plaskota},
address = {Berlin},
publisher = {Springer-Verlag},
OPTnote = {invited paper},
}
@InProceedings{vLEC11e,
author = "P. L'Ecuyer and S. Saggadi and B. Tuffin",
title = "Graph Reductions to Speed Up Importance Sampling-Based Static Reliability Estimation",
booktitle = {Proceedings of the 2011 Winter Simulation Conference},
OPTeditor = {},
year = {2011},
publisher = {IEEE Press},
pages = {429--438},
OPTannote = {}
}
@inproceedings{vLEC12a,
author = {P. L'Ecuyer and D. Munger},
title = {On Figures of Merit for Randomly-Shifted Lattice Rules},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2010},
pages = {133--159},
year = {2012},
editor = {H. Wo\'{z}niakowski and L. Plaskota},
address = {Berlin},
publisher = {Springer-Verlag},
OPTnote = {invited paper},
}
@InProceedings{vLEC12b,
author = "P. L'Ecuyer and D. Munger",
title = "Constructing Adapted Lattice Rules Using Problem-Dependent Criteria",
booktitle = {Proceedings of the 2012 Winter Simulation Conference},
OPTeditor = {},
year = {2012},
publisher = {IEEE Press},
pages = {373--384},
Xnote = {paper inv242}
}
@inproceedings{vLEC14a,
old = {vLEC13a},
author = "P. L'Ecuyer and S. Saggadi and B. Tuffin",
title = "An Adaptive Zero-Variance Importance Sampling Approximation for
Static Network Dependability Evaluation",
year = {2014},
booktitle = "Proceedings of SNA&MC: Joint International Conference on
Supercomputing in Nuclear Applications and Monte Carlo",
editor = {D. Caruge and C. Calvin and C. M. Diop and F. Malvagi and J.-C. Trama},
DOI= "10.1051/snamc/201403305",
pages = "03305",
}
@article{vLEC16a,
old = {vLEC12c},
old = {vLEC15a},
author = {P. L'Ecuyer and D. Munger},
title = {Algorithm 958: Lattice Builder:
A General Software Tool for Constructing Rank-1 Lattice Rules},
JOURNAL={ACM Transactions on Mathematical Software},
VOLUME={42},
NUMBER={2},
PAGES={Article 15},
URL = {http://dx.doi.org/10.1145/2754929},
year = {2016},
}
@article{vLEC16b,
author = {P. L'Ecuyer and D. Munger and C. L\'ecot and B. Tuffin},
title = {Sorting Methods and Convergence Rates for Array-RQMC:
Some Empirical Comparisons},
journal = {Mathematics and Computers in Simulation},
year = {2016},
Xvolume = {},
Xnumber = {},
Xpages = {},
note = {{\tt http://dx.doi.org/10.1016/j.matcom.2016.07.010}}
}
@ARTICLE {vLEH92a,
AUTHOR="T. Lehtonen and H. Nyrhinen",
YEAR={1992},
TITLE="Simulating Level-Crossing Probabilities by Importance Sampling",
JOURNAL={Advances in Applied Probability},
VOLUME={24},
PAGES={858--874},
note={is, rare events} }
@ARTICLE {vLEH92b,
AUTHOR="T. Lehtonen and H. Nyrhinen",
YEAR={1992},
TITLE="On Asymptotically Efficient Simulation of Ruin probabilities
in a {M}arkovian Environment",
JOURNAL={Scandinavian Actuarial Journal},
VOLUME={24},
PAGES={858--874},
note={rare events, ruin, risk} }
@MastersThesis{vLEM96a,
author = {C. Lemieux},
title = {{\'E}valuation des Options Asiatiques},
year = {1996},
address = {D\'epartement de Math\'ematiques},
school = {Universit\'e de Montr\'eal},
OPTannote = {}
}
@INPROCEEDINGS {vLEM98a,
AUTHOR ={C. Lemieux and P. L'Ecuyer},
TITLE ="Efficiency Improvement by Lattice Rules for Pricing Asian
Options",
BOOKTITLE={Proceedings of the 1998 Winter Simulation Conference},
editor = {D. J. Medeiros and E. F. Watson and J. S. Carson
and M. S. Manivannan},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={1998},
pages ={579--586} }
@PHDTHESIS {vLEM99a,
new = {vLEM00t},
AUTHOR ={C. Lemieux},
TITLE ="L'utilisation de r\`egles de r\'eseau en simulation comme
technique de r\'eduction de la variance",
SCHOOL ={Universit\'e de Montr\'eal},
month ={May},
YEAR ={2000},
}
@InProceedings{vLEM99b,
AUTHOR = {C. Lemieux and P. L'Ecuyer},
title = {A Comparison of {M}onte {C}arlo, Lattice Rules and Other
Low-Discrepancy Point Sets},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {326--340},
year = {2000},
editor = {H. Niederreiter and J. Spanier},
address = {Berlin},
publisher = {Springer-Verlag},
OPTannote = {}
}
@InProceedings{vLEM99c,
author = {C. Lemieux and P. L'Ecuyer},
title = {Lattice Rules for the Simulation of Ruin Problems},
booktitle = {Proceedings of the 1999 European Simulation
Multiconference},
volume = {2},
organization = {The Society for Computer Simulation},
address = {Ghent, Belgium},
pages = {533--537},
year = {1999}
}
@article{vLEM00a,
author = {C. Lemieux and P. L'Ecuyer},
title = {Randomized Polynomial Lattice Rules for Multivariate
Integration and Simulation},
journal = {{SIAM} Journal on Scientific Computing},
volume = {24},
number = {5},
pages = {1768--1789},
year = {2003},
OPTannote = {}
}
@Unpublished{vLEM00ax,
author = {C. Lemieux and P. L'Ecuyer},
title = {Randomized Polynomial Lattice Rules for Multivariate
Integration and Simulation},
note = {extended version, available at
\url{http://www.iro.umontreal.ca/~lecuyer}},
OPTkey = {},
OPTmonth = {},
year = {2002},
OPTannote = {}
}
@InProceedings{vLEM00b,
old = {vLEM99b},
AUTHOR = {C. Lemieux and P. L'Ecuyer},
title = {A Comparison of {M}onte {C}arlo, Lattice Rules and Other
Low-Discrepancy Point Sets},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {326--340},
year = {2000},
editor = {H. Niederreiter and J. Spanier},
address = {Berlin},
publisher = {Springer-Verlag},
OPTannote = {}
}
@InProceedings{vLEM00bx,
old = {vLEM99bx},
AUTHOR ={C. Lemieux and P. L'Ecuyer},
title = {A Comparison of {M}onte {C}arlo, Lattice Rules and Other
Low-Discrepancy Point Sets},
crossref = {rNIE00a},
pages = {326--340},
OPTannote = {}
}
@INPROCEEDINGS {vLEM00c,
AUTHOR ={C. Lemieux and P. L'Ecuyer},
TITLE ="Using Lattice Rules for Variance Reduction in
Simulation",
BOOKTITLE={Proceedings of the 2000 Winter Simulation Conference},
editor = {J. A. Joines and R. R. Barton and K. Kang
and P. A. Fishwick},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={2000},
pages ={509--516} }
@PHDTHESIS {vLEM00t,
AUTHOR ={C. Lemieux},
TITLE ="L'utilisation de r\`egles de r\'eseau en simulation comme
technique de r\'eduction de la variance",
SCHOOL ={Universit\'e de Montr\'eal},
month ={May},
YEAR ={2000},
}
@article{vLEM01a,
old = {vLEM99d},
author = {C. Lemieux and P. L'Ecuyer},
title = {On Selection Criteria for Lattice Rules and Other
Low-Discrepancy Point Sets},
journal = {Mathematics and Computers in Simulation},
VOLUME={55},
number ={1--3},
PAGES={139--148},
YEAR={2001}
}
@InProceedings{vLEM02a,
old = {vLEM01c},
author = {C. Lemieux and A. B. Owen},
title = {Quasi-regression and the relative importance of the {ANOVA}
components of a function},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {331--344},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vLEM03a,
old = {vLEM00a},
author = {C. Lemieux and P. L'Ecuyer},
title = {Randomized Polynomial Lattice Rules for Multivariate
Integration and Simulation},
journal = {{SIAM} Journal on Scientific Computing},
volume = {24},
number = {5},
pages = {1768--1789},
year = {2003},
OPTannote = {}
}
@INPROCEEDINGS {vLEM04a,
AUTHOR ={C. Lemieux},
TITLE ="Randomized Quasi-{M}onte {C}arlo: A Tool for Improving
the Efficiency of Simulations in Finance",
BOOKTITLE={Proceedings of the 2004 Winter Simulation Conference},
OPTeditor = {},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={2004},
pages = {1565--1573},
}
@article{vLEM06a,
author = "C. Lemieux and P. Sidorsky",
title = "Exact sampling with highly-uniform point sets",
journal = "Mathematical and Computer Modelling",
volume = {43},
pages = {339--349},
year = {2006},
}
@INCOLLECTION {vLEM06b,
AUTHOR = {C. Lemieux},
TITLE={Quasi-Random Number Techniques},
BOOKTITLE={Simulation},
series={Handbooks in Operations Research and Management Science},
EDITOR={S. G. Henderson and B. L. Nelson},
PUBLISHER={Elsevier},
ADDRESS={Amsterdam, The Netherlands},
YEAR={2006},
note = {Chapter 12},
PAGES = {351--380}
}
@article{vLEM08a,
new = {vFAU09a},
author = "H. Faure and C. Lemieux",
title = "Generalized {H}alton Sequences in 2008: A Comparative Study",
journal = "{ACM} Transactions on Modeling and Computer Simulation",
volume = {19},
number = {4},
pages = {Article 15},
year = {2009},
}
@ARTICLE{vLEW84a,
AUTHOR = {Lewis, E. E. and B{\"o}hm, F.},
JOURNAL = {Nuclear Engineering and Design},
PAGES = {49--62},
TITLE = {{M}onte {C}arlo simulation of {M}arkov unreliability models},
VOLUME = {77},
YEAR = {1984}
}
@article{vLIN08a,
author = {J. Lin and X. Wang},
title = {New {B}rownian Bridge Construction in Quasi-{M}onte {C}arlo
Methods for Computational Finance},
journal = {Journal of Complexity},
volume = {24},
OPTnumber = {},
year = {2008},
pages = {109--133},
}
@unpublished {vLIU03a,
new = {vLIU06a},
AUTHOR = "R. Liu and A. B. Owen",
TITLE = "Estimating Mean Dimensionality",
note = {manuscript},
institution = {Department of Statistics, Stanford University},
YEAR = {2003} }
@article {vLIU06a,
old = {vLIU03a},
AUTHOR = "R. Liu and A. B. Owen",
TITLE = "Estimating Mean Dimensionality of Analysis of Variance Decompositions",
Journal = {Journal of the American Statistical Association},
Volume = {101},
number = {474},
Pages = {712--721},
Year = {2006},
}
@article{vLOH96a,
Author = {W.-L. Loh},
Title = {On {L}atin Hypercube Sampling},
Journal = {The Annals of Statistics},
Volume = {24},
Pages = {2058--2080},
Year = 1996}
@ARTICLE{vLOH96b,
AUTHOR = {W.-L. Loh},
TITLE = {A combinatorial central limit theorem for randomized
orthogonal sampling designs},
JOURNAL = {Annals of Statistics},
VOLUME = {24},
PAGES = {1209--1224},
YEAR = {1996}}
@ARTICLE{vLOH03a,
AUTHOR = {W.-L. Loh},
TITLE = {On the Asymptotic Distribution of Scramble Nets Quadratures},
JOURNAL = {Annals of Statistics},
VOLUME = {31},
PAGES = {1282--1324},
YEAR = {2003}}
@incollection{vLOH05a,
AUTHOR = {W.-L. Loh},
TITLE = {On the Asymptotic Distribution of Some Randomized Quadrature Rules},
BOOKTITLE={Stein's Method and Applications},
EDITOR={C. Stein and A. D. Barbour and L. H. Y. Chen},
PUBLISHER={World Scientific},
OPTseries ={Lecture Notes Series, Institute for Mathematical Sciences,
{N}ational {U}niversity of {S}ingapore},
xADDRESS={},
volume = {5},
PAGES = {209--222},
YEAR={2005}}
@ARTICLE{vLOM74a,
author = "M. Lomonosov",
title = "Bernoulli Scheme with Closure",
journal = "Problems of Information Transmission (USSR)",
year = "1974",
volume = "10",
pages = "73--81"
}
@Article{vLOM94a,
old = {vELP94a},
author = {M. Lomonosov},
title = {On {Monte Carlo} Estimates in Network Reliability},
journal = {Probability in the Engineering and Informational Sciences},
year = {1994},
volume = {8},
number = {2},
pages = {245--264}
}
@ARTICLE{vLOM99a,
author = "M. Lomonosov and Y. Shpungin",
title = "Combinatorics and Reliability {M}onte {C}arlo",
journal = "Random Structures and Algorithms",
year = "1999",
volume = "14",
number = "4",
pages = "329--343"
}
@article{vLYN03a,
author = "J. N. Lyness",
title = "Notes on lattice rules",
journal = "Journal of Complexity",
volume = "19",
number = "3",
pages = "321--331",
year = "2003",
doi = "10.1016/S0885-064X(03)00005-0",
url = "http://www.sciencedirect.com/science/article/pii/S0885064X03000050",
}
@INPROCEEDINGS {vMAH01a,
AUTHOR="S. Mahadevan and A. Dey and P. Raghothamachar",
TITLE="System Reliability Analysis Using Adaptive
Importance Sampling",
booktitle = {{M}onte {C}arlo Simulation},
editors = {G. I. Schu\"eller and P. D. Spanos},
xBOOKTITLE={Proceedings of the International Conference
{M}onte {C}arlo 2000},
PUBLISHER = {A. A. Balkema},
address = {Rotterdam},
YEAR = {2001},
PAGES={71--78} }
@PHDTHESIS {vMAI81a,
AUTHOR ={E. Maize},
TITLE ="Contributions to the theory of error reduction in
quasi-{M}onte {C}arlo methods",
SCHOOL ={Claremont Graduate School},
ADDRESS ={Claremont, CA},
YEAR ={1981},
}
@ARTICLE {vMAN82a,
AUTHOR = {A. Mantoglou and J. L. Wilson},
TITLE = {The Turning Bands Method for Simulation of Random
Fields Using Line Generation by a Spectral Method},
YEAR = {1982},
JOURNAL = {Water Resources Research},
VOLUME = {1982},
PAGES = {1379--1394} }
@ARTICLE {vMAN87a,
AUTHOR = {A. Mantoglou},
TITLE = {Digital Simulation of Multivariate Two- and
Three-Dimensional Stochastic Processes with a
Spectral Turning Bands Method},
YEAR = {1987},
JOURNAL = {Mathematical Geology},
VOLUME = {19},
PAGES = {129--149} }
@ARTICLE {vMAN01a,
AUTHOR = {E. Manzi and M. Labb\'e and G. Latouche and F. Maffioli},
TITLE = {Fishman's Sampling Plan for Computing Network Reliability},
YEAR = {2001},
JOURNAL = {{IEEE} Transactions on Reliability},
VOLUME = {50},
NUMBER = {1},
PAGES = {41--46} }
@INCOLLECTION {vMCD96a,
AUTHOR="D. R. McDonald",
TITLE="Overloading parallel servers when arrivals
join the shortest queue",
BOOKTITLE={Stochastic Networks: Stability and Rare Events},
PUBLISHER={Springer-Verlag},
ADDRESS = {New York},
EDITOR={P. Glasserman and K. Sigman and D. Yao},
SERIES={Lecture Notes in Statistics},
volume={117},
YEAR={1996},
PAGES={169--196} }
@ARTICLE {vMCD99a,
old = {vMCD98a},
AUTHOR = {D. R. McDonald},
TITLE = {Asymptotics of First Passage Times for Random Walk
in an Orthant},
YEAR = {1999},
JOURNAL = {Annals of Applied Probability},
xVOLUME = {},
note = {To appear},
xPAGES = {} }
@article {vMCG96a,
AUTHOR="C. Mc{G}ough",
TITLE="Towards an Experimental Method for Algorithm Simulation",
JOURNAL={{ORSA} Journal on Computing},
VOLUME={8},
NUMBER={1},
YEAR={1996},
PAGES={1--15} }
@Article{vMCK79a,
author = {M. D. McKay and R. J. Beckman and W. J. Conover},
title = {A Comparison of Three Methods for Selecting values of
Input Variables in the Analysis of Output from
a Computer Code},
journal = {Technometrics},
year = {1979},
volume = {21},
OPTnumber = {},
pages = {239--245},
OPTannote = {Latin hypercube sampling}
}
@INCOLLECTION {vMEL93a,
AUTHOR="V. B. Melas",
TITLE="Optimal Simulation Design by Branching Technique",
BOOKTITLE={Model Oriented Data Analysis},
PUBLISHER={Physica-Verlag},
ADDRESS = {Heidelberg, Germany},
EDITOR={W. G. Muller and H. P. Wynn and A. A. Zhigljavsky},
YEAR={1993},
PAGES={113--128} }
@ARTICLE {vMEL94a,
AUTHOR ="V. B. Melas",
TITLE ={Branching technique for {M}arkov Chain Simulation (Finite State Case)},
JOURNAL ={Statistics},
year ={1994},
volume ={25},
pages ={159--171} }
@InProceedings{vMEL97a,
author = {V. B. Melas},
title = {On the Efficiency of the Splitting and Roulette Approach
for Sensitivity Analysis},
booktitle = {Proceedings of the 1997 Winter Simulation Conference},
OPTeditor = {},
year = {1997},
publisher = {IEEE Press},
address = {Piscataway, NJ},
pages = {269--274},
OPTannote = {splitting, Russian roulette}
}
@ARTICLE {vMIC96a,
AUTHOR ="F. Michaud",
TITLE ={Estimating the probability of ruin for variable premiums by
simulation},
JOURNAL ={{ASTIN} Bulletin},
year ={1996},
volume ={26},
pages ={93--105} }
@ARTICLE {vMIN89a,
AUTHOR="D. L. Minh",
YEAR={1989},
TITLE="A Variant of the Conditional Expectation
Variance Reduction Technique and Its
Application to the Simulation of the $GI/G1$ Queues",
JOURNAL={Management Science},
VOLUME={35},
PAGES={1334--1340} }
@Article{vMOR94a,
author = {W. J. Morokoff and R. E. Caflisch},
title = {Quasi-random sequences and their discrepancies},
journal = {{SIAM} Journal on Scientific Computing},
volume = {15},
pages = {1251--1279},
year = {1994},
}
@Article{vMOR95a,
author = {W. J. Morokoff and R. E. Caflisch},
title = {Quasi-{M}onte {C}arlo Integration},
journal = {Journal of Computational Physics},
year = {1995},
volume = {122},
pages = {218--230},
OPTannote = {}
}
@INCOLLECTION {vMOR97a,
AUTHOR="W. J. Morokoff and R. E. Caflisch",
TITLE="Quasi-{M}onte {C}arlo Simulation of Random
Walks in Finance",
BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1996},
editor = {P. Hellekalek and G. Larcher and H. Niederreiter
and P. Zinterhof},
PUBLISHER={Springer-Verlag},
ADDRESS={New York},
SERIES={Lecture Notes in Statistics},
volume={127},
YEAR={1998},
PAGES={340--352} }
@TECHREPORT {vMOR98a,
AUTHOR="H. Morohosi and M. Fushimi",
YEAR={1998},
TITLE="A Practical Approach to the Error Estimation of
Quasi-{M}onte {C}arlo Integration",
INSTITUTION={The University of Tokyo},
ADDRESS={Dept.\ of Math.\ Engineering and Information Physics},
NUMBER={METR 98-10} }
@Article{vMOR98b,
author = {W. J. Morokoff},
title = {Generating Quasi-Random Paths for Stochastic Processes},
journal = {{SIAM} Review},
year = {1998},
volume = {40},
number = {4},
pages = {765--788},
OPTannote = {Brownian motion, option pricing}
}
@InProceedings{vMOR00a,
old = {vMOR98a},
AUTHOR = "H. Morohosi and M. Fushimi",
TITLE = "A Practical Approach to the Error Estimation of
Quasi-{M}onte {C}arlo Integration",
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {377--390},
year = {2000},
editor = {H. Niederreiter and J. Spanier},
address = {Berlin},
publisher = {Springer-Verlag},
OPTannote = {}
}
@ARTICLE{vMOS96a,
author={B. Moskowitz and R. E. Caflisch},
title={Smoothness and dimension reduction in quasi-{M}onte {C}arlo methods},
journal={Journal of Mathematical and Computer Modeling},
volume={23},
year={1996},
pages={37--54},
}
@ARTICLE{vMUR13a,
author={L. Murray and H. Cancela and G. Rubino},
title={A splitting algorithm for network reliability estimation},
journal={{IIE} Transactions},
volume={45},
number ={2},
year={2013},
pages={177--189},
}
@TECHREPORT {vNAK93a,
AUTHOR="M. K. Nakayama",
YEAR={1993},
TITLE="General Conditions for Bounded Relative Error in
Simulations of Highly Reliable {M}arkovian Systems",
INSTITUTION={IBM Research Division},
ADDRESS={T. J. Watson Research Center, Yorktown Heights, NY},
NUMBER={RC 18993} }
@ARTICLE {vNAK94a,
AUTHOR="M. K. Nakayama and A. Goyal and P. W. Glynn",
YEAR={1994},
TITLE="Likelihood Ratio Sensitivity Analysis for {M}arkovian Models
of Highly Dependable Systems",
JOURNAL={Operations Research},
VOLUME={42},
NUMBER={1},
PAGES={137--157} }
@ARTICLE {vNAK94b,
AUTHOR="M. K. Nakayama",
YEAR={1994},
TITLE="A Characterization of the Simple Failure Biasing Method
for Simulations of Highly Reliable {M}arkovian Systems",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={4},
NUMBER={1},
PAGES={52--88} }
@INPROCEEDINGS {vNAK94c,
AUTHOR="M. K. Nakayama",
YEAR={1994},
TITLE="Fast Simulation Methods for Highly Reliable Systems",
BOOKTITLE={Proceedings of the 1994 Winter Simulation Conference},
PUBLISHER={IEEE Press},
PAGES={221--228} }
@ARTICLE{vNAK95a,
AUTHOR = {Nakayama, M. K.},
JOURNAL = {Management Science},
NUMBER = {3},
PAGES = {524--554},
TITLE = {{A}symptotics of {L}ikelihood {R}atio {D}erivatives {E}stimators
in {S}imulations of {H}ighly {R}eliable {M}arkovian {S}ystems},
VOLUME = {41},
YEAR = {1995}
}
@ARTICLE{vNAK96a,
AUTHOR = {Nakayama, M. K.},
JOURNAL = {Advances in Applied Probability},
PAGES = {687--727},
TITLE = {General Conditions for Bounded Relative Error in
Simulations of Highly Reliable {M}arkovian Systems},
VOLUME = {28},
YEAR = {1996}
}
@ARTICLE{vNAK98a,
AUTHOR = {Nakayama, M. K. and Shahabuddin, P.},
JOURNAL = {Management Science},
NUMBER = {10},
PAGES = {1426--1441},
TITLE = {{L}ikelihood {R}atio {D}erivative {E}stimation
for {F}inite-{T}ime
{P}erformance {M}easures in {G}eneralized
{S}emi-{M}arkov {P}rocesses},
VOLUME = {44},
YEAR = {1998}
}
@ARTICLE{vNAK04a,
AUTHOR = {Nakayama, M. K. and Shahabuddin, P.},
JOURNAL = {Probability in the Engineering and Information Sciences},
TITLE = {Quick Simulation Methods for Estimating the Unreliability
of Regenerative Models of Large Highly Reliable Systems},
optNUMBER = {},
PAGES = {339--368},
VOLUME = {18},
YEAR = {2004}
}
@ARTICLE {vNEL85a,
AUTHOR="B. L. Nelson",
YEAR={1985},
TITLE="An Illustration of the Sample Space Definition of Simulation
and Variance Reduction",
JOURNAL={Transactions of the Society for Computer Simulation},
VOLUME={2},
PAGES={237--247} }
@ARTICLE {vNEL86a,
AUTHOR="B. L. Nelson",
YEAR={1986},
TITLE="Decomposition of Some Well-Known Variance Reduction Techniques",
JOURNAL={Journal of Statistical and Computer Simulation},
VOLUME={23},
PAGES={183--209} }
@ARTICLE {vNEL87a,
AUTHOR="B. L. Nelson",
YEAR={1987},
TITLE="A Perspective on Variance Reduction in Dynamic
Simulation Experiments",
JOURNAL={Communications in Statistics---Simulation and Computation},
VOLUME={B16},
PAGES={385--426} }
@INPROCEEDINGS {vNEL87b,
AUTHOR="B. L. Nelson",
TITLE={Variance Reduction for Simulation Practitioners},
BOOKTITLE={Proceedings of the 1987 Winter Simulation Conference},
YEAR={1987},
PUBLISHER={IEEE Press},
PAGES={43--51} }
@ARTICLE {vNEL87c,
AUTHOR="B. L. Nelson",
YEAR={1987},
TITLE="Some Properties of Simulation Interval Estimators under
Dependence Induction",
JOURNAL={Operations Research Letters},
VOLUME={6},
PAGES={169--176} }
@ARTICLE {vNEL87d,
AUTHOR="B. L. Nelson",
YEAR={1987},
TITLE="On Control Variate Estimators",
JOURNAL={Computers and Operations Research},
VOLUME={14},
NUMBER={3},
PAGES={219--225} }
@ARTICLE {vNEL89a,
AUTHOR="B. L. Nelson",
YEAR={1989},
TITLE="Batch Size Effects on the Efficiency of Control Variates
in Simulation",
JOURNAL={European Journal of Operational Research},
VOLUME={43},
PAGES={184--196} }
@ARTICLE {vNEL90a,
AUTHOR="B. L. Nelson",
YEAR={1990},
TITLE="Control-Variate Remedies",
JOURNAL={Operations Research},
VOLUME={38},
PAGES={974--992} }
@ARTICLE {vNEL90b,
AUTHOR="B. L. Nelson",
YEAR={1990},
TITLE="Variance Reduction in the Presence of Initial-Condition Bias",
JOURNAL={IIE Transactions},
VOLUME={22} }
@ARTICLE {vNEL93a,
AUTHOR="B. L. Nelson and J. C. Hsu",
YEAR={1993},
TITLE="Control-Variate Models of Common Random Numbers for Multiple
Comparisons With the Best",
JOURNAL={Management Science},
VOLUME={39},
NUMBER={8},
PAGES={989--1001} }
@ARTICLE {vNEL93b,
AUTHOR="B. L. Nelson",
YEAR={1993},
TITLE="Robust Multiple Comparisons Under Common Random Numbers",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={225--243} }
@ARTICLE {vNEL95a,
AUTHOR = {B. L. Nelson and F. J. Matejcik},
TITLE = {Using Common Random Numbers for Indifference-Zone
Selection and Multiple Comparisons in Simulation},
YEAR = {1995},
JOURNAL = {Management Science},
VOLUME = {41},
PAGES = {1935-1945} }
@INPROCEEDINGS {vNIC90a,
AUTHOR="V. F. Nicola and M. K. Nakayama and P. Heidelberger
and A. Goyal",
YEAR={1990},
TITLE="Fast Simulation of Dependability Models with General Failure,
Repair and Maintenance Processes",
BOOKTITLE={Proceedings of the 20th International Symposium on
Fault-Tolerant Computing},
PUBLISHER={IEEE Computer Society Press},
PAGES={491--498} }
@ARTICLE {vNIC91a,
AUTHOR="V. F. Nicola and M. K. Nakayama and P. Heidelberger
and A. Goyal",
YEAR={1991},
TITLE="Fast Simulation of Highly Dependable Systems with General
Failure and Repair Processes",
JOURNAL={IEEE Transactions on Computers},
VOLUME={42},
NUMBER={8},
PAGES={1440--1452} }
@INPROCEEDINGS {vNIC92a,
AUTHOR="V. F. Nicola and P. Heidelberger and P. Shahabuddin",
YEAR={1992},
TITLE="Uniformization and Exponential Transformation: Techniques
for Fast Simulation of Highly Dependable Non-{M}arkovian
Systems",
BOOKTITLE={Proceedings of the 22nd International Symposium on
Fault-Tolerant Computing},
PUBLISHER={IEEE Computer Society Press},
PAGES={130--139} }
@INPROCEEDINGS {vNIC93a,
AUTHOR="V. F. Nicola and P. Shahabuddin and P. Heidelberger",
YEAR={1993},
TITLE="Techniques for Fast Simulation of Highly Dependable Systems",
BOOKTITLE={Proceedings of the 2nd International Workshop on
Performability Modelling of Computer and Communication
Systems},
PUBLISHER={},
xPAGES={xx--xx} }
@INPROCEEDINGS {vNIC93b,
AUTHOR="V. F. Nicola and P. Shahabuddin and P. Heidelberger and
P. W. Glynn",
YEAR={1993},
TITLE="Fast Simulation of Steady-State Availability in Non-{M}arkovian
Highly Dependable Systems",
BOOKTITLE={Proceedings of the 23rd International Symposium on
Fault-Tolerant Computing},
PUBLISHER={IEEE Computer Society Press},
PAGES={38--47} }
@ARTICLE{vNIC93c,
AUTHOR = {Nicola, V. F. and Nakayama, M. K. and Heidelberger, P. and Goyal, A.},
JOURNAL = {IEEE Transactions on Computers},
MONTH = {December},
NUMBER = {12},
PAGES = {1440--1452},
TITLE = {{F}ast {S}imulation of {H}ighly {D}ependable {S}ystems with
{G}eneral {F}ailure and {R}epair {P}rocesses},
VOLUME = {42},
YEAR = {1993}
}
@INPROCEEDINGS {vNIC94a,
AUTHOR="V. F. Nicola and G. A. Hagesteijn and B. G. Kim",
YEAR={1994},
TITLE="Fast Simulation of the Leaky Bucket Algorithm",
BOOKTITLE={Proceedings of the 1994 Winter Simulation Conference},
PUBLISHER={IEEE Press},
PAGES={266--273} }
@ARTICLE{vNIC01a,
AUTHOR = {V. F. Nicola and P. Shahabuddin and M. K. Nakayama},
JOURNAL = {IEEE Transactions on Reliability},
VOLUME = {50},
MONTH = {September},
NUMBER = {3},
PAGES = {246--264},
TITLE = {Techniques for Fast Simulation Models of Highly Dependable Systems},
YEAR = {2001}
}
@article{vNIC14a,
author={J. A. Nichols and F. Y. Kuo},
title={Fast {CBC} construction of randomly shifted lattice rules achieving
$O(n^{-1+delta})$ convergence rate for unbounded integrands over $\mathbb{RR}^s$
in weighted spaces with {POD} weights},
journal = {Journal of Complexity},
volume = {30},
year = {2014},
pages = {444--468}
}
@ARTICLE {vNOZ87a,
AUTHOR="A. Nozari and S. F. Arnold and C. D. Pegden",
YEAR={1987},
TITLE="Statistical Analysis with the {S}chruben and {M}argolin
Correlation Induction Strategy",
JOURNAL={Operations Research},
VOLUME={35},
PAGES={127--139} }
@ARTICLE {vOB94a,
AUTHOR="W. D. Obal~{II} and W. H. Sanders",
YEAR={1994},
TITLE="Importance Sampling Simulation in Ultra{SAN}",
JOURNAL={Simulation},
VOLUME={62},
NUMBER={2},
PAGES={98--111} }
@ARTICLE {vOH92a,
AUTHOR="M.-S. Oh and J. O. Berger",
YEAR={1992},
TITLE="Adaptive Importance Sampling in {M}onte {C}arlo Integration",
JOURNAL={Journal of Statistical and Computer Simulation},
VOLUME={41},
PAGES={143--168} }
@ARTICLE {vOKT96a,
AUTHOR = "G. {\"O}kten",
TITLE = "A Probabilistic Result on the Discrepancy of a Hybrid-{M}onte
{C}arlo Sequence and Applications",
JOURNAL= "{M}onte {C}arlo methods and Applications",
VOLUME = 2,
PAGES = "255--270",
YEAR = "1996"}
@ARTICLE {vOWE92a,
AUTHOR="A. B. Owen",
YEAR={1992},
TITLE="A Central Limit Theorem for {L}atin Hypercube Sampling",
JOURNAL={Journal of the Royal Statistical Society B},
VOLUME={54},
NUMBER={2},
PAGES={541--551} }
@ARTICLE{vOWE92b,
author = {A. B. Owen},
title = {Orthogonal arrays for computer experiments, integration and
visualization},
journal = {Statistica Sinica},
volume = {2},
pages = {439--452},
year = 1992}}
@ARTICLE {vOWE94a,
AUTHOR="A. B. Owen",
YEAR={1994},
TITLE="Lattice Sampling Revisited: {M}onte {C}arlo Variance
of Means Over Randomized Orthogonal Arrays",
JOURNAL={Annals of Statistics},
VOLUME={22},
PAGES={930--945} }
@INCOLLECTION {vOWE95a,
AUTHOR="A. B. Owen",
TITLE="Randomly Permuted {$(t,m,s)$}-Nets and {$(t,s)$}-Sequences",
BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods in
Scientific Computing},
PUBLISHER={Springer-Verlag},
EDITOR={H. Niederreiter and P. J.-S. Shiue},
SERIES={Lecture Notes in Statistics},
volume={106},
YEAR={1995},
PAGES={299--317} }
@ARTICLE {vOWE97a,
old = {vOWE96a},
AUTHOR="A. B. Owen",
TITLE="{M}onte {C}arlo Variance of Scrambled Equidistribution
Quadrature",
JOURNAL={{SIAM} Journal on Numerical Analysis},
YEAR= {1997},
volume = {34},
number = {5},
pages = {1884--1910}
}
@article {vOWE97b,
old = {vOWE96b},
AUTHOR = {A. B. Owen},
TITLE = {Scrambled Net Variance for Integrals of Smooth Functions},
journal = {Annals of Statistics},
year = {1997},
volume = {25},
number = {4},
pages = {1541--1562}
}
@article {vOWE98a,
author = {A. B. Owen},
title = {{L}atin Supercube Sampling for Very High-Dimensional
Simulations},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
year = {1998},
volume = {8},
number = {1},
pages = {71--102},
}
@ARTICLE {vOWE98b,
old = "vOWE97c",
AUTHOR = "A. B. Owen",
TITLE = "Scrambling {S}obol and {N}iederreiter-{X}ing Points",
JOURNAL = "Journal of Complexity",
VOLUME = "14",
PAGES = "466--489",
YEAR = {1998} }
@unpublished {vOWE02a,
author = {A. B. Owen},
title = {Necessity of Low Effective Dimension},
OPTjournal = {},
year = {2002},
institution = {Department of Statistics, Stanford University},
OPTvolume = {},
OPTnumber = {},
OPTpages = {},
note = {Manuscript},
}
@article {vOWE03a,
author = {A. B. Owen},
title = {Variance with Alternative Scramblings of Digital Nets},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
year = {2003},
volume = {13},
number = {4},
pages = {363--378}
}
@incollection {vOWE03b,
author = {A. B. Owen},
title = {Quasi-{M}onte {C}arlo Sampling},
booktitle = {{Monte Carlo} Ray Tracing: Siggraph 2003, Course 44},
editor = {H. W. Jensen},
year = {2003},
pages = {69--88},
note = {Available at \url{http://www-stat.stanford.edu/~owen/reports/siggraph03.pdf}},
}
@inproceedings{vOWE04d,
author = {A. B. Owen},
title = {Multidimensional Variation for Quasi-{Monte Carlo}},
booktitle= {International Conference on Statistics in honour of
Professor Kai-Tai Fang's 65th birthday},
editor = {Jianqing Fan and Gang Li},
year = {2005},
pages = {49--74},
note = {Available at
\url{http://www-stat.stanford.edu/~owen/reports/}},
}
@unpublished {vOWE04h,
author = {A. B. Owen},
title = {{H}alton sequences avoid the origin},
OPTjournal = {},
year = {2004},
institution = {Department of Statistics, Stanford University},
OPTvolume = {},
OPTnumber = {},
OPTpages = {},
note = {Manuscript},
}
@inproceedings{vOWE06a,
author = {A. B. Owen},
title = {Quasi-{M}onte {C}arlo for Integrands with
Point Singularities at Unknown Locations},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2004},
pages = {403--417},
year = {2006},
editor = {H. Niederreiter and D. Talay},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vOWE09a,
author = {A. B. Owen},
title = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo for Statistics},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {3--18},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article {vPAP96a,
author = {A. Papageorgiou and J. Traub},
title = {Beating {M}onte {C}arlo},
journal = {Risk},
year = {1996},
OPTkey = {},
volume = {9},
OPTnumber = {},
month = {June},
pages = {63--65},
OPTnote = {},
OPTannote = {}
}
@ARTICLE{vPAP98a,
AUTHOR = {Papadopoulos, C.},
JOURNAL = {{M}onte {C}arlo Methods and Applications},
NUMBER = {2},
PAGES = {95--112},
TITLE = {A New Technique for {M}{T}{T}{F} Estimation
in Highly Reliable {M}arkovian Systems},
VOLUME = {4},
YEAR = {1998}
}
@article {vPAP01a,
author = {A. Papageorgiou},
title = {Fast Convergence of quasi-{M}onte {C}arlo for a Class of Isotropic Integrals},
journal = {Mathematics of Computation},
year = {2001},
volume = {70},
OPTnumber = {},
pages = {297--306},
}
@article {vPAP02a,
author = {A. Papageorgiou},
title = {The {B}rownian Bridge Does not Offer a Consistent Advantage
in quasi-{M}onte {C}arlo Integration},
journal = {Journal of Complexity},
year = {2002},
volume = {18},
OPTnumber = {},
pages = {171--186},
}
@ARTICLE {vPAR89a,
AUTHOR="S. Parekh and J. Walrand",
TITLE="A Quick Simulation Method for Excessive Backlogs in
Networks of Queues",
JOURNAL={IEEE Transactions on Automatic Control},
YEAR={1989},
VOLUME={AC-34},
PAGES={54--66} }
@Article{vPAS95a,
author = {S. Paskov and J. Traub},
title = {Faster Valuation of Financial Derivatives},
journal = {Journal of Portfolio Management},
year = {1995},
volume = {22},
OPTnumber = {},
OPTmonth = {},
pages = {113--120}
}
@inproceedings{vPEN06a,
author = {T. Pennanen and M. Koivu},
title = {An Adaptive Importance Sampling Technique},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2004},
pages = {443--455},
year = {2006},
editor = {H. Niederreiter and D. Talay},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vPOR89a,
AUTHOR="{A. M. de} {Porta Nova} and J. R. Wilson",
TITLE="Estimation of Multiresponse Simulation Metamodels
Using Control Variates",
JOURNAL={Management Science},
YEAR={1989},
VOLUME={35},
PAGES={1316--1333} }
@ARTICLE {vPOR93a,
AUTHOR="{A. M. de} {Porta Nova} and J. R. Wilson",
YEAR={1993},
TITLE="Selecting Control Variates to Estimate Multiresponse
Simulation Metamodels",
JOURNAL={European Journal of Operational Research},
VOLUME={71},
PAGES={80--94} }
@article{vRAD96a,
author = {I. Radovic and I. M. Sobol and R. F. Tichy},
title = {Quasi-{M}onte {C}arlo Methods for numerical integration:
comparison of different low-discrepancy sequences},
journal={Monte Carlo Methods and Applications},
volume = {2},
number = {1},
pages = {1--14},
year = {1996}
}
@article{vRAM05a,
title={A {Monte-Carlo} simulation approach for approximating multi-state two-terminal reliability},
author={Ramirez-Marquez, J. E. and Coit, D. W.},
journal={Reliability Engineering \& System Safety},
volume={87},
number={2},
pages={253--264},
year={2005},
}
@article{vRID05a,
author = {A. Ridder},
title = {Importance Sampling Simulations of {M}arkovian Reliability
Systems Using Cross-Entropy},
journal={Annals of Operations Research},
volume = {134},
OPTnumber = {},
pages = {119--136},
year = {2005}
}
@ARTICLE {vROS92a,
AUTHOR="K. W. Ross and J. Wang",
YEAR={1992},
TITLE="{M}onte {C}arlo Summation Applied to Product-Form
Loss Networks",
JOURNAL={Probability in the Engineering and Informational Sciences},
VOLUME={6},
PAGES={323--348} }
@ARTICLE {vROS93a,
AUTHOR="K. W. Ross and J. Wang",
YEAR={1993},
TITLE="Asymptotically Optimal Importance Sampling for
Product-Form Queueing Networks",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={244--268} }
@ARTICLE {vROS94a,
AUTHOR="K. W. Ross and D. H. K. Tsang and J. Wang",
YEAR={1994},
TITLE="{M}onte {C}arlo Summation and Integration Applied to
Multiclass Queueing Networks",
JOURNAL={Journal of the ACM},
VOLUME={41},
PAGE={1110--1135} }
@ARTICLE {vROS94b,
AUTHOR="K. W. Ross and J. Wang",
YEAR={1994},
TITLE="{M}onte{Q}ueue: A Software Package for Analyzing
Product-Form Multiclass Queueing Networks",
NOTE={Submitted} }
@ARTICLE {vRUB85a,
AUTHOR="R. Y. Rubinstein and R. Marcus",
YEAR={1985},
TITLE="Efficiency of Multivariate Control Variates in
{M}onte {C}arlo Simulation",
JOURNAL={Operations Research},
VOLUME={33},
PAGES={661--667} }
@ARTICLE {vRUB85b,
AUTHOR="R. Y. Rubinstein and G. Samorodnitsky and M. Shaked",
YEAR={1985},
TITLE="Antithetic Variates, Multivariate Dependence, and
Simulation of Complex Stochastic Systems",
JOURNAL={Management Science},
VOLUME={31},
PAGES={66--77} }
@ARTICLE {vRUB97a,
AUTHOR="R. Y. Rubinstein",
YEAR={1997},
TITLE="Optimization of Computer Simulation Models with Rare Events",
JOURNAL={European Journal of Operations Research},
VOLUME={99},
PAGES={89--112} }
@ARTICLE {vRUB99a,
AUTHOR="R. Y. Rubinstein",
YEAR={1999},
TITLE="The Cross-Entropy Method for Combinatorial and Continuous Optimization",
JOURNAL={Methodology and Computing in Applied Probability},
VOLUME={2},
PAGES={127--190} }
@ARTICLE {vRUB02a,
AUTHOR="R. Y. Rubinstein",
YEAR={2002},
TITLE="The Cross-Entropy Method and Rare Events for Maximal Cuts and
Bipartition Problems",
JOURNAL={{ACM} Transactions on Modeling and Computer Simulation},
VOLUME={12},
NUMBER={1},
PAGES={27--53} }
@book {vRUB09a,
TITLE={Rare Event Simulation using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
isbn = {ISBN: 978-0-470-77269-0},
xADDRESS={},
YEAR={2009},
}
@INCOLLECTION {vRUB09b,
AUTHOR = {G. Rubino and B. Tuffin},
TITLE={Markovian Models for Dependability Analysis},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 6},
PAGES = {125--144}
}
@ARTICLE {vSAD90a,
AUTHOR="J. S. Sadowsky and J. A. Bucklew",
YEAR={1990},
TITLE="On Large Deviations Theory and Asymptotically Efficient
{M}onte {C}arlo Estimation",
JOURNAL={IEEE Transactions on Information Theory},
VOLUME={IT-36},
PAGES={579--588} }
@ARTICLE {vSAD91a,
AUTHOR="J. S. Sadowsky",
YEAR={1991},
TITLE="Large Deviations and Efficient Simulation of Excessive
Backlogs in a {$GI/G/m$} Queue",
JOURNAL={IEEE Transactions on Automatic Control},
VOLUME={AC-36},
PAGES={1383--1394} }
@ARTICLE {vSAD93a,
AUTHOR="J. S. Sadowsky",
YEAR={1993},
TITLE="On the Optimality and Stability of Exponential Twisting
in {M}onte {C}arlo Estimation",
JOURNAL={IEEE Transactions on Information Theory},
VOLUME={IT-39},
PAGES={119--128} }
@ARTICLE {vSAD96a,
AUTHOR="J. S. Sadowsky",
YEAR={1996},
TITLE="On {M}onte {C}arlo Estimation of Large Deviation
Probabilities",
JOURNAL={The Annals of Applied Probability},
VOLUME={6},
NUMBER={2},
annote = {is},
PAGES={399--422} }
@INPROCEEDINGS{vSAN04a,
AUTHOR = {Sandmann, W.},
TITLE = {Relative error and asymptotic optimality in estimating
rare event probabilities by importance sampling},
BOOKTITLE = {Proceedings of the {OR} Society Simulation
Workshop (SW04) held in cooperation with the {ACM SIGSIM},
Birmingham, UK, March 23--24, 2004},
YEAR = {2004},
PUBLISHER = {The Operational Research Society},
PAGES = {49--57},
}
@PHDTHESIS{vSAN04b,
AUTHOR = {Sandmann, W.},
TITLE = {Rare Event Simulation using Importance Sampling with a Special Emphasis
on {M}arkovian Models (in German)},
SCHOOL = {Faculty of Mathematics and Natural Sciences,
University of Bonn, Germany},
YEAR = {2004}
}
@INCOLLECTION {vSAN09a,
AUTHOR = {W. Sandmann},
TITLE={Rare Event Simulation Methodologies in System Biology},
BOOKTITLE={Rare Event Simulation Using Monte Carlo Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 11},
PAGES = {243--266}
}
@ARTICLE {vSCH78a,
AUTHOR="L. W. Schruben and B. H. Margolin",
YEAR={1978},
TITLE="Pseudorandom Number Assignment in Statistically
Designed Simulation and Distribution Sampling Experiments",
JOURNAL={Journal of the American Statistical Association},
VOLUME={73},
PAGES={504--525} }
@INPROCEEDINGS {vSCH94a,
AUTHOR={F. Schreiber and C. G\"org},
YEAR={1994},
TITLE="Rare Event Simulation: A Modified Restart Method Using
the {LRE} Algorithm",
BOOKTITLE={Proceedings of the 14th International Teletraffic Congress},
EDITORS={J. Labetoulle and J. W. Roberts},
PUBLISHER={Elsevier Science},
PAGES={787--796} }
@Article{vSCH97a,
author = {J. G. M. Schoenmakers and A. W. Heemink},
title = {Fast Valuation of Financial Derivatives},
journal = {The Journal of Computational Finance},
year = {1998},
volume = {1},
number = {1},
pages = {47--62},
OPTannote = {}
}
@ARTICLE {vSCH99a,
AUTHOR="W. Ch. Schmid",
TITLE="The exact quality parameter of nets derived from Sobol' and Niederreiter sequences",
JOURNAL={Recent Advances in Numerical Methods and Applications},
YEAR={1999},
PUBLISHER="World Scientific Publ.",
PAGES={287-295} }
@Article{vSCH01a,
author = {B. W. Schmeiser and M. R. Taafe and J. Wang},
title = {Biased Control-Variate Estimation},
journal = {{IIE} Transactions},
year = {2001},
volume = {33},
number = {3},
pages = {219--228},
OPTannote = {control variates}
}
@Article{vSCH13a,
author = {C. Schretter and H. Niederreiter},
title = {A Direct Inversion Method for Non-Uniform Quasi-Random Point Sequences},
journal = {Monte Carlo Methods and Applications},
year = {2013},
volume = {19},
number = {1},
pages = {1--9},
OPTannote = {}
}
@ARTICLE {vSHA86a,
AUTHOR="J. G. Shanthikumar",
YEAR={1986},
TITLE="Uniformization and Hybrid Simulation/Analytic
Models of Renewal Processes",
JOURNAL={Operations Research},
VOLUME={34},
PAGES={573--580} }
@INPROCEEDINGS {vSHA88a,
AUTHOR="Shahabuddin, P. and Nicola, V. F. and Heidelberger,
P. and Goyal, A. and Glynn, P. W.",
YEAR={1988},
TITLE="Variance Reduction in Mean Time to Failure Simulations",
BOOKTITLE={Proceedings of the 1988 Winter Simulation Conference},
PUBLISHER={{IEEE} Press},
PAGES={491--499} }
@ARTICLE {vSHA94a,
AUTHOR="P. Shahabuddin",
YEAR={1994},
TITLE="Importance Sampling for the Simulation of Highly Reliable
{M}arkovian Systems",
JOURNAL={Management Science},
VOLUME={40},
NUMBER={3},
PAGES={333--352} }
@INPROCEEDINGS {vSHA94b,
AUTHOR="P. Shahabuddin",
YEAR={1994},
TITLE="Fast Simulation of Packet Loss Rates in Communication
Networks with Priorities",
BOOKTITLE={Proceedings of the 1994 Winter Simulation Conference},
PUBLISHER={{IEEE} Press},
PAGES={274--281} }
@ARTICLE {vSHA94c,
AUTHOR="P. Shahabuddin",
YEAR={1994},
TITLE="Fast Transient Simulation of {M}arkovian Models of
Highly Dependable Systems",
JOURNAL={Performance Evaluation},
VOLUME={20},
PAGES={267--286} }
@TECHREPORT{vSHA94d,
AUTHOR = {Shahabuddin, P.},
INSTITUTION = {IBM Research Division},
MONTH = {July},
TITLE = {Efficient {T}ransient {S}imulation of {R}egenerative
{S}ystems whose {S}teady {S}tate {M}easure is {K}nown},
YEAR = {1994},
day = "20"
}
@inproceedings{vSHA95a,
author = {Shahabuddin, P.},
title = {Rare Event Simulation in Stochastic Models},
booktitle = {Proceedings of the 1995 Winter simulation Conference},
year = {1995},
pages = {178--185},
publisher = {IEEE Press},
OPTaddress = {New York},
}
@TECHREPORT{vSHA95c,
AUTHOR = {Shahabuddin, P.},
INSTITUTION = {IBM Research Division},
MONTH = {August},
TITLE = {{R}are {E}vent {S}imulation in {S}tochastic {M}odels},
YEAR = {1995},
day = "9"
}
@article{vSHO12a,
title={Optimal splitting for rare-event simulation},
author={Shortle, John F. and Chen, Chun-Hung and Crain, Ben and Brodsky, Alexander and Brod, Daniel},
journal={IIE Transactions},
volume={44},
number={5},
pages={352--367},
year={2012},
Xpublisher={Taylor and Francis}
}
@ARTICLE {vSHW93a,
AUTHOR="A. Shwartz and A. Weiss",
YEAR={1993},
TITLE="Induced Rare Events: Analysis via Time Reversal and
Large Deviations",
JOURNAL={Advances in Applied Probability},
VOLUME={25},
PAGES={667--689} }
@BOOK {vSHW95a,
AUTHOR = {A. Shwartz and A. Weiss},
TITLE = {Large Deviations for Performance Analysis},
PUBLISHER = {Chapman and Hall},
ADDRESS = {London},
annote = {is},
YEAR = {1995} }
@ARTICLE {vSIE76a,
AUTHOR="D. Siegmund",
YEAR={1976},
TITLE="Importance Sampling in the {M}onte {C}arlo Study of
Sequential Tests",
JOURNAL={The Annals of Statistics},
VOLUME={4},
annote = {is},
PAGES={673--684} }
@inproceedings{vSIN09a,
author = {V. Sinescu and P. L'Ecuyer},
title = {On the Behavior of Weighted Star Discrepancy Bounds for Shifted Lattice Rules},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {603--616},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag}
}
@article{vSIN11a,
author = {V. Sinescu and P. L'Ecuyer},
title = {Existence and Contruction of Shifted Lattice Rules with an
Arbitrary Number of Points and Bounded Worst-Case Error for General Weights},
journal = {Journal of Complexity},
volume = {27},
number = {5},
year = {2011},
pages = {449--465}
}
@article{vSIN12a,
author = {V. Sinescu and P. L'Ecuyer},
title = {Variance Bounds and Existence Results for Randomly Shifted Lattice Rules},
journal = {Journal of Computations and Applied Mathematics},
volume = {236},
year = {2012},
pages = {3296--3307}
}
@article{vSLO90a,
author = {I. H. Sloan and L. Walsh},
title = {A computer search of rank-2 lattice rules for
multidimensional quadrature},
journal = {Mathematics of Computation},
volume = 54,
pages = {281--302},
year = 1990}
@BOOK {vSLO94a,
AUTHOR ="I. H. Sloan and S. Joe",
TITLE ={Lattice Methods for Multiple Integration},
PUBLISHER={Clarendon Press},
ADDRESS ={Oxford},
YEAR ={1994} }
@ARTICLE {vSLO98b,
AUTHOR = {I. H. Sloan and H. Wo\'zniakowski},
TITLE = {When are Quasi-{M}onte {C}arlo Algorithms Efficient for
High-Dimensional Integrals},
YEAR = {1998},
JOURNAL = {Journal of Complexity},
VOLUME = {14},
PAGES = {1--33} }
@article{vSLO01a,
author = {I. H. Sloan and H. Wo\'zniakowski},
title = {Tractability of Multivariate Integration for Weighted {K}orobov Classes},
journal = {Journal of Complexity},
volume = {17},
number = {4},
year = {2001},
pages = {697--721},
}
@inproceedings {vSLO02a,
AUTHOR = "I. H. Sloan",
TITLE = {{QMC} Integration---Beating Intractability by Weighting the
Coordinate Directions},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {103--123},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vSLO02b,
AUTHOR = {I. H. Sloan and F. Y. Kuo and S. Joe},
TITLE = {On the Step-by-Step Construction of Quasi-{M}onte {C}arlo Rules
that Achieve Strong Tractability Error Bounds in Weighted
{S}obolev Spaces},
YEAR = {2002},
JOURNAL = {Mathematics of Computation},
VOLUME = {71},
PAGES = {1609--1640} }
@ARTICLE {vSLO02c,
AUTHOR = {I. H. Sloan and A. Rezstov},
TITLE = {Component-by-Component Construction of Good Lattice Rules},
YEAR = {2002},
JOURNAL = {Mathematics of Computation},
VOLUME = {71},
PAGES = {262--273} }
@article{vSLO02d,
author = {I. H. Sloan and
H. Wo\'zniakowski},
title = {Tractability of Integration in Non-periodic and Periodic
Weighted Tensor Product {H}ilbert Spaces},
journal = {Journal of Complexity},
volume = {18},
number = {2},
year = {2002},
pages = {479--499},
}
@ARTICLE {vSLO02e,
AUTHOR = {I. H. Sloan and F. Y. Kuo and S. Joe},
TITLE = {Constructing Randomly-Shifted Lattice Rules
in Weighted {S}obolev Spaces},
YEAR = {2002},
JOURNAL = {{SIAM} Journal on Numerical Analysis},
VOLUME = {40},
PAGES = {1650--1665} }
@article{vSLO04a,
author = {I. H. Sloan and
X. Wang and
H. Wo\'{z}niakowski},
title = {Finite-order weights imply tractability of multivariate integration},
journal = {Journal of Complexity},
volume = {20},
number = {1},
year = {2004},
pages = {46--74},
}
@article{vSOB01a,
author = {I. M. Sobol'},
title = {Global Sensitivity Indices for Nonlinear Mathematical Models
and their {M}onte {C}arlo Estimates},
journal = {Mathematics and Computers in Simulation},
volume = {55},
year = {2001},
pages = {271--280},
}
@article{vSOB05a,
author = {I. M. Sobol' and S. S. Kucherenko},
title = {On Global Sensitivity Analysis of Quasi-{M}onte {C}arlo Algorithms},
journal = {{M}onte {C}arlo Methods and Applications},
volume = {11},
year = {2005},
pages = {83--92},
}
@article{vSOB07a,
author = {I. M. Sobol' and E. E. Myshetskaya},
title = {{M}onte {C}arlo Estimators for Small Sensitivity Indices},
journal = {Monte Carlo Methods and Applications},
volume = {13},
number = {5--6},
year = {2007},
pages = {455--465},
}
% Compiled by Per H. Christensen
@INCOLLECTION{vSOO49a,
author = "H. Soodak",
title = "Pile Kinetics",
editor = "Clark Goodman",
booktitle = "The Science and Engineering of Nuclear Power",
volume = 2,
chapter = 8,
pages = "89--102",
organization = "United Nations Atomic Energy Commission",
publisher = "Addison-Wesley Press",
year = "1949",
keywords = {nuclear physics, neutron transport, adjoints, importance},
comments = "This article is where the term ``importance function'' was
introduced. Uses a particle count as importance, i.e. the
importance of a neutron is the total number of neutrons
resulting from that neutron (its progeny)."
}
@ARTICLE {vSPA62a,
AUTHOR = {J. Spanier},
TITLE = {A Unified Approach To {M}onte {C}arlo Methods And An
Application To A Multigroup Calculation Of Absorption Rates},
YEAR = {1962},
JOURNAL = {{SIAM} Review},
VOLUME = {6},
PAGES = {115--134} }
@ARTICLE {vSPA70a,
AUTHOR = {J. Spanier},
TITLE = {An Analytic Approach To Variance Reduction},
YEAR = {1970},
JOURNAL = {{SIAM} Journal on Applied Mathematics},
VOLUME = {18},
PAGES = {172--190} }
@ARTICLE {vSPA71a,
AUTHOR = {J. Spanier},
TITLE = {A New Multistage Procedure For Systematic
Variance Reduction In {M}onte {C}arlo},
YEAR = {1971},
JOURNAL = {{SIAM} Journal on Numerical Analysis},
VOLUME = {8},
PAGES = {548--554} }
@ARTICLE {vSPA79a,
AUTHOR = {J. Spanier},
TITLE = {A New Family of Estimators for Random Walk Problems},
YEAR = {1979},
JOURNAL = {Journal Inst. Math. Appl.},
VOLUME = {23},
PAGES = {1--31} }
@ARTICLE {vSPA94a,
AUTHOR = {J. Spanier and E. H. Maize},
TITLE = {Quasi-Random Methods for Estimating Integrals Using
Relatively Small Samples},
YEAR = {1994},
JOURNAL = {{SIAM} Review},
VOLUME = {36},
PAGES = {18--44} }
@INCOLLECTION {vSPA95a,
AUTHOR = {J. Spanier},
TITLE = {Quasi-{M}onte {C}arlo Methods for Particle
Transport Problems},
BOOKTITLE = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods in
Scientific Computing},
YEAR = {1995},
EDITOR = {H. Niederreiter and P. J.-S. Shiue},
VOLUME = {106},
SERIES = {Lecture Notes in Statistics},
PAGES = {121--148},
PUBLISHER = {Springer-Verlag},
ADDRESS = {New York} }
@article {vSRI99a,
old = {vSRI98a},
AUTHOR="R. Srikant and W. Whitt",
TITLE="Variance Reduction in Simulations of Loss Models",
JOURNAL={Operations Research},
VOLUME ={47},
Number = {4},
YEAR ={1999},
PAGES ={509--523} }
@BOOK {vSRI02a,
AUTHOR = {R. Srinivasan},
TITLE = {Importance sampling -- Applications in communications and detection},
PUBLISHER = {Sringer Verlag},
ADDRESS = {Berlin},
annote = {is},
YEAR = {2002} }
@ARTICLE {vSTE45a,
AUTHOR="F. F. Stephan",
YEAR={1945},
TITLE="The Expected value and Variance of the Reciprocal and
Other negative Powers of a Positive Bernoullian Variate",
JOURNAL={Annals of Mathematical Statistics},
VOLUME={16},
PAGES={50--61} }
@ARTICLE {vSTE87a,
AUTHOR="M. Stein",
YEAR={1987},
TITLE="Large Sample Properties of Simulations Using {L}atin
Hypercube Sampling",
JOURNAL={Technometrics},
VOLUME={29},
NUMBER={2},
PAGES={143--151} }
@INCOLLECTION {vSZE06a,
AUTHOR = {R. Szechtman},
TITLE={A {H}ilbert Space Approach to Variance Reduction},
BOOKTITLE={Simulation},
series={Handbooks in Operations Research and Management Science},
EDITOR={S. G. Henderson and B. L. Nelson},
PUBLISHER={Elsevier},
ADDRESS={Amsterdam, The Netherlands},
YEAR={2006},
note = {Chapter 10},
PAGES = {259--290}
}
@ARTICLE {vTAN93a,
AUTHOR="M. Tan and L. J. Gleser",
YEAR={1993},
TITLE="Improved Point and Confidence Interval Estimators of
Mean Response in Simulation when Control Variates are Used",
JOURNAL={Communications in Statistics---Simulation},
VOLUME={22},
PAGES={1211--1220} }
@INPROCEEDINGS {vTAN01a,
AUTHOR="H. Tanaka",
TITLE="Importance Sampling Simulation for Compound Poisson Processes",
booktitle = {{M}onte {C}arlo Simulation},
editors = {G. I. Schu\"eller and P. D. Spanos},
xBOOKTITLE={Proceedings of the International Conference
{M}onte {C}arlo 2000},
PUBLISHER = {A. A. Balkema},
address = {Rotterdam},
YEAR = {2001},
PAGES={55--62} }
@ARTICLE {vTEW94a,
AUTHOR="J. D. Tew and J. R. Wilson",
YEAR={1994},
TITLE="Estimating Simulation Metamodels Using Combined
Correlation-Based Variance reduction Techniques",
JOURNAL={IIE Transactions},
VOLUME={26},
PAGES={2--16} }
@INCOLLECTION {vTEZ98a,
AUTHOR = {S. Tezuka},
TITLE = {Financial Applications of {M}onte {C}arlo and
Quasi-{M}onte {C}arlo Methods},
booktitle = {Random and Quasi-Random Point Sets},
editor = {P. Hellekalek and G. Larcher},
publisher = {Springer-Verlag},
address = {New York},
volume = {138},
pages = {303--332},
year = {1998},
series = {Lecture Notes in Statistics}
}
@inproceedings {vTEZ02a,
AUTHOR = "S. Tezuka",
TITLE = {Quasi-{M}onte {C}arlo---Discrepancy Between Theory and Practice},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {124--140},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@ARTICLE {vTOM89a,
AUTHOR = {A. F. B. Tompson and R. Abadou and L. W. Gelhar},
TITLE = {Implementation of the Three-Dimensional Turning
Bands Random Field Generator},
YEAR = {1989},
JOURNAL = {Water Resources Research},
VOLUME = {25},
PAGES = {2227-2243} }
@ARTICLE {vTSO92a,
AUTHOR="P. Tsoucas",
YEAR={1992},
TITLE="Rare Events in Series of Queues",
JOURNAL={Journal of Applied probability},
VOLUME={29},
PAGES={168--175} }
@TECHREPORT {vTUF96a,
AUTHOR ="B. Tuffin",
TITLE ="On the use of low-discrepancy sequences
in {M}onte {C}arlo methods",
NUMBER ={No. 1060},
INSTITUTION={I.R.I.S.A.},
ADDRESS ={Rennes, France},
YEAR ={1996} }
@ARTICLE{vTUF96b,
AUTHOR = {Tuffin, B.},
JOURNAL = {Monte Carlo Methods and Applications},
NUMBER = {4},
PAGES = {295--320},
TITLE = {On the Use of Low Discrepancy Sequences in {M}onte {C}arlo Methods},
VOLUME = {2},
YEAR = {1996}
}
@article {vTUF97a,
AUTHOR ="B. Tuffin",
TITLE ="Variance Reduction Applied to Product-Form Queueing
Networks",
journal = {{ACM} Transactions on Modeling and Computer Simulation},
volume = {7},
pages = {478--500},
YEAR = {1997} }
@article {vTUF98a,
AUTHOR ="B. Tuffin",
TITLE ="Variance Reduction Order Using Good Lattice Points
in {M}onte {C}arlo Methods",
journal = {Computing},
volume = {61},
pages = {371--378},
YEAR = {1998} }
@ARTICLE{vTUF99a,
AUTHOR = {Tuffin, B.},
JOURNAL = {Journal of Applied Probability},
TITLE = {Bounded Normal Approximation in Simulations of
Highly Reliable {M}arkovian Systems},
VOLUME = {36},
NUMBER = {4},
PAGES = {974--986},
YEAR = {1999}
}
@INPROCEEDINGS{vTUF04a,
AUTHOR = {Tuffin, B.},
TITLE = {On Numerical Problems in Simulations of Highly Reliable
{M}arkovian Systems},
BOOKTITLE = {Proceedings of the 1st International Conference on
Quantitative Evaluation of SysTems ({QEST})},
ADDRESS = {University of {T}wente, {E}nschede, The {N}etherlands},
YEAR = {2004},
PUBLISHER = {{IEEE CS} Press},
PAGES = {156--164},
MONTH = {September}
}
@INPROCEEDINGS{vTUF06a,
AUTHOR = {Tuffin, B. and Sandmann, W. and L'Ecuyer, P.},
TITLE = {Robustness Properties in Simulations of Highly Reliable Systems},
BOOKTITLE = {Proceedings of RESIM 2006},
ADDRESS = {University of {B}amberg, {G}ermany},
editor = {W. Sandmann},
YEAR = {2006},
pages = {107--118},
MONTH = {October}
}
@ARTICLE{vTUF14a,
AUTHOR = {Tuffin, B. and S. Saggadi and P. L'Ecuyer},
JOURNAL = {Computers and Operations Research},
TITLE = {An adaptive zero-variance importance sampling approximation
for static network dependability evaluation },
VOLUME = {45},
MONTH = {May},
PAGES = {51--59},
YEAR = {2014}
}
@InProceedings{vVAZ98a,
author = {F. J. V\'azquez-Abad and D. Dufresne},
title = {Accelerated Simulation for Pricing {A}sian Options},
booktitle = {Proceedings of the 1998 Winter Simulation Conference},
pages = {1493--1500},
year = {1998},
editor = {D. J. Medeiros and E. F. Watson and J. S. Carson
and M. S. Manivannan},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
OPTannote = {}
}
@ARTICLE {vVEN86a,
AUTHOR="S. Venkatraman and J. R. Wilson",
YEAR={1986},
TITLE="The Efficiency of Control Variates in Multiresponse Simulation",
JOURNAL={Operations Research Letters},
VOLUME={5},
PAGES={37--42} }
@INPROCEEDINGS {vVIL91a,
AUTHOR="M. Vill\'en-Altamirano and J. Vill\'en-Altamirano",
YEAR={1991},
TITLE="RESTART: A Method for Accelerating Rare Events Simulations",
BOOKTITLE={Proceedings of the 13th International Teletraffic Congress},
PUBLISHER={North-Holland},
PAGES={71--76} }
@INPROCEEDINGS {vVIL91b,
AUTHOR="M. Vill\'en-Altamirano and J. Vill\'en-Altamirano",
YEAR={1991},
TITLE="Accelerated Simulation of Rare Events Using RESTART
with Hysteresis",
BOOKTITLE={Proceedings of the ITC Specialists Seminar:
Telecommunication Services for Developing Economies},
EDITOR={J. Filipiak},
PUBLISHER={Elsevier Science},
PAGES={675--686} }
@INPROCEEDINGS {vVIL94a,
AUTHOR="M. Vill\'en-Altamirano and A. Martinez-Marr\'on and J. Gamo
and F. Fern\'andez-Cuesta",
YEAR={1994},
TITLE="Enhancement of the Accelerated Simulation Method RESTART
by Considering Multiple Thresholds",
BOOKTITLE={Proceedings of the 14th International Teletraffic Congress},
EDITORS={J. Labetoulle and J. W. Roberts},
PUBLISHER={Elsevier Science},
PAGES={797--810} }
@INPROCEEDINGS {vVIL94b,
AUTHOR="M. Vill\'en-Altamirano and J. Vill\'en-Altamirano",
YEAR={1994},
TITLE="{RESTART}: A Straightforward Method for Fast Simulation
of Rare Events",
BOOKTITLE={Proceedings of the 1994 Winter Simulation Conference},
PUBLISHER={IEEE Press},
PAGES={282--289} }
@article {vVIL02a,
AUTHOR="M. Vill\'en-Altamirano and J. Vill\'en-Altamirano",
TITLE="Analysis of {RESTART} Simulation: Theoretical Basis
and Sensitivity Study",
YEAR={2002},
journal = {European Transactions on Telecommunications},
volume = {13},
number = {4},
PAGES={373--386}
}
@article {vVIL06a,
AUTHOR="M. Vill\'en-Altamirano and J. Vill\'en-Altamirano",
TITLE="On the Efficiency of {RESTART} for Multidimensional Systems",
YEAR={2006},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
volume = {16},
number = {3},
PAGES={251--279}
}
@article {vVIL06b,
AUTHOR="J. Vill\'en-Altamirano",
TITLE="Rare Event {RESTART} Simulation of Two-Stage Networks",
YEAR={2006},
journal = {European Journal of Operations Research},
note = {to appear},
xPAGES={}
}
@inproceedings{vWAC08a,
author = {C. W\"achter and A. Keller},
title = {Efficient Simultaneous Simulation of {M}arkov Chains},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2006},
pages = {669--684},
year = {2008},
editor = {A. Keller and S. Heinrich and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@Article{vWAN93a,
author = {Q. Wang and V. S. Frost},
title = {Efficient Estimation of Cell Blocking Probability
for {ATM} Systems},
journal = {{IEEE/ACM} Transactions on Networking},
year = {1993},
volume = {1},
number = {2},
pages = {230--235},
OPTannote = {}
}
@ARTICLE {vWAN99a,
author = {X. Wang and F. J. Hickernell},
title = {Randomized {H}alton Sequences},
journal = {Mathematical and Computer Modelling},
volume = {32},
pages = {887--899},
year = {2000}
}
@ARTICLE{vWAN00a,
old = {vWAN99a},
AUTHOR = {X. Wang and F. J. Hickernell},
TITLE = {Randomized {H}alton Sequences},
YEAR = {2000},
JOURNAL = {Mathematical and Computer Modelling},
VOLUME = {32},
PAGES = {887--899} }
@article{vWAN05a,
author = {X. Wang and I. H. Sloan},
title = {Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?},
year = {2005},
journal = {{SIAM} Journal on Scientific Computing},
volume = {27},
number = {1},
pages = {159--183},
keywords = {quasi-{Monte Carlo}; effective dimension; option pricing; bond valuation},
}
@article{vWAN06a,
author = {X. Wang and I. H. Sloan},
title = {Efficient Weighted Lattice Rules with Applications to Finance},
year = {2006},
journal = {{SIAM} Journal on Scientific Computing},
volume = {28},
number = {2},
pages = {728--750},
keywords = {quasi-Monte Carlo methods; lattice rules;
multivariate integration; option pricing},
}
@article{vWAN06b,
author = {X. Wang},
title = {On the Effects of Dimension Reduction Techniques on
Some High-Dimensional Problems in Finance},
journal = {Operations Research},
volume = {54},
number = {6},
year = {2006},
pages = {1063--1078},
}
@article{vWAN07a,
author = {X. Wang},
title = {Constructing Robust Good Lattice Rules for Computational Finance},
year = {2007},
journal = {{SIAM} Journal on Scientific Computing},
volume = {29},
number = {2},
pages = {598--621},
keywords = {quasi-Monte Carlo methods; good lattice rules;
multivariate integration; option pricing; American options},
}
@article{vWAN07b,
author = {X. Wang and I. H. Sloan},
title = {{B}rownian Bridge and Principal Component Analysis:
Toward Removing the Curse of Dimensionality},
year = {2007},
journal = {{IMA} Journal of Numerical Analysis},
volume = {27},
pages = {631--654},
keywords = {quasi-Monte Carlo methods; multivariate integration; option pricing},
}
@article{vWAN08a,
author = {X. Wang and I. H. Sloan},
title = {Low discrepancy sequences in high dimensions:
How well are their projections distributed},
year = {2008},
journal = {Journal of Computational and Applied Mathematics},
volume = {213},
number = {2},
pages = {366--386},
keywords = {quasi-Monte Carlo methods; option pricing},
}
@article{vWAT06a,
author = {B. J. Waterhouse and F. Y. Kuo and I. H. Sloan},
title = {Randomly shifted lattice rules on the unit cube for unbounded
integrands in high dimensions},
journal = {Journal of Complexity},
volume = {22},
number = {1},
year = {2006},
pages = {71--101},
}
@ARTICLE {vWEI92a,
AUTHOR="Y. Wei-Ning and B. L. Nelson",
YEAR={1992},
TITLE="Multivariate Batch Means and Control Variates",
JOURNAL={Management Science},
VOLUME={38},
NUMBER={10},
MONTH={October},
PAGES={1415--1431} }
@ARTICLE {vWHI76a,
AUTHOR="W. Whitt",
YEAR={1976},
TITLE="Bivariate Distributions with Given Marginals",
JOURNAL={The Annals of Statistics},
VOLUME={4},
NUMBER={6},
PAGES={1280--1289} }
@ARTICLE {vWHI91a,
AUTHOR="W. Whitt",
YEAR={1991},
TITLE="The Efficiency of One Long Run Versus Independent
Replications in Steady-State Simulation",
JOURNAL={Management Science},
VOLUME={37},
NUMBER={6},
PAGES={645--666} }
@ARTICLE {vWHI93a,
AUTHOR="W. Whitt",
YEAR={1993},
TITLE="Tail Probability with Statistical Multiplexing and
Effective Bandwidths in Multi-Class Queues",
JOURNAL={Telecommunication Systems},
VOLUME={2},
PAGES={71--107} }
@ARTICLE {vWIL79a,
AUTHOR="J. R. Wilson",
YEAR={1979},
TITLE="Proof of the Antithetic-Variates Theorem for
Unbounded Functions",
JOURNAL={Math. Proc. Camb. Phil. Soc.},
VOLUME={86},
PAGES={477--479} }
@ARTICLE {vWIL83a,
AUTHOR="J. R. Wilson",
YEAR={1983},
TITLE="Antithetic Sampling with Multivariate Inputs",
JOURNAL={American Journal of Mathematical and Management Sciences},
VOLUME={3},
PAGES={121--144} }
@ARTICLE {vWIL84a,
AUTHOR="J. R. Wilson",
YEAR={1984},
TITLE="Variance Reduction Techniques for Digital Simulation",
JOURNAL={American Journal of Mathematical and Management Sciences},
VOLUME={4},
PAGES={277--312} }
@ARTICLE {vWIL84b,
AUTHOR="J. R. Wilson and A. A. B. Pritsker",
YEAR={1984},
TITLE="Variance Reduction in Queueing Simulation Using
Generalized Concomitant Variables",
JOURNAL={Journal of Statistical Computation and Simulation},
VOLUME={19},
PAGES={129--153} }
@ARTICLE {vWIL84c,
AUTHOR="J. R. Wilson and A. A. B. Pritsker",
YEAR={1984},
TITLE="Experimental Evaluation of Variance Reduction Techniques
for Queueing Simulation Using Generalized Concomitant Variables",
JOURNAL={Management Science},
VOLUME={30},
PAGES={1459--1472} }
@book{vWOZ12m,
editor = {H. Wo\'{z}niakowski and L. Plaskota},
title = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2010},
publisher = {Springer-Verlag},
address = {Berlin},
year = {2012}
}
@ARTICLE {vWRI79a,
AUTHOR="R. D. Wright and T. E. {Ramsay Jr.}",
YEAR={1979},
TITLE="On the Effectiveness of Common Random Numbers",
JOURNAL={Management Science},
VOLUME={25},
PAGES={649--656} }
@ARTICLE {vYAK78a,
AUTHOR = "S. Yakowitz and J. E. Krimmel and F. Szidarovszky",
TITLE = "Weighted {M}onte {C}arlo Integration",
JOURNAL = "{SIAM} Journal on Numerical Analysis",
VOLUME = "15",
PAGES = "1289--1300",
YEAR = "1978"}
@ARTICLE {vYAN91a,
AUTHOR="W. Yang and B. L. Nelson",
YEAR={1991},
TITLE="Using Common Random Numbers and Control Variates in
Multiple Comparison Procedures",
JOURNAL={Operations Research},
VOLUME={39},
NUMBER={4},
PAGES={583--591} }
@ARTICLE {vYAN92a,
AUTHOR="W. Yang and B. L. Nelson",
YEAR={1992},
TITLE="Multivariate Batch Means and Control Variates",
JOURNAL={Management Science},
VOLUME={38},
NUMBER={10},
PAGES={1415--1431} }
@ARTICLE {vZEN11a,
AUTHOR="R. Zenklusen and M. Laumanns",
YEAR={2011},
TITLE="High-Confidence Estimation of Small $s$-$t$ Reliabilities in Acyclic Networks",
JOURNAL={Networks},
VOLUME={57},
NUMBER={4},
PAGES={376--388} }
@ARTICLE {vZHA96a,
AUTHOR="P. Zhang",
YEAR={1996},
TITLE="Nonparametric Importance Sampling",
JOURNAL={Journal of the American Statistical Association},
VOLUME={91},
NUMBER={435},
PAGES={1245--1253} }