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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} } @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 {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} } @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}, } @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. 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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. 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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 = {}, } @Unpublished{vLEC07c, author = {P. L'Ecuyer and C. Sanvido}, title = {Coupling from the Past with Randomized Quasi-{M}onte {C}arlo}, year = 2007, note = {Submitted} } @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{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, 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}, OPTpages = {}, year = {2011}, OPTeditor = {H. Wozniakowski and L. Plaskota}, OPTaddress = {Berlin}, OPTpublisher = {Springer-Verlag}, note = {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 = {} } @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 array sampling designs}, JOURNAL = {Annals of Statistics}, VOLUME = {24}, PAGES = {1209--1224}, YEAR = {1996}} @ARTICLE{vLOH03a, AUTHOR = {W.-L. 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