-
N. Chapados, M. Joliveau, P. L'Ecuyer, and L.-M. Rousseau,
``Scheduling for Profit in Retail Stores'',
submitted, 2012.
- latbuilder.pdf
P. L'Ecuyer and D. Munger,
``LatticeBuilder: A General Software Tool for Constructing Rank-1 Latice Rules'',
submitted, 2012, under revision.
- dynamic-bid-prices.pdf
M. Bijvank, A. Haensel, P. L'Ecuyer, and P. Marcotte,
``Time-Dependent Bid Prices for Multi-Period Network Revenue Management Problems'',
technical report, 2012.
-
A. Jaoua, P. L'Ecuyer and L. Delorme,
``Call-Type Dependence in Multiskill Call Centers'',
Simulation: Transactions of the Society for Modeling and Simulation International, 2013,
online access .
- wsc12depfailures.pdf
Z. Botev, P. L'Ecuyer, and B. Tuffin,
``Dependent Failures in Highly-Reliable Static Networks'',
Proceedings of the 2012 Winter Simulation Conference,
IEEE Press, 2012, paper con250.
- wsc12latbuilder.pdf
P. L'Ecuyer and D. Munger,
``Constructing Adapted Lattice Rules Using Problem-Dependent Criteria'',
Proceedings of the 2012 Winter Simulation Conference,
IEEE Press, 2012, paper inv242.
- wsc12arrivals.pdf
R. Ibrahim, P. L'Ecuyer, N. Régnard, and H. Shen,
``On the Modeling and Forecasting of Call Center Arrivals'',
Proceedings of the 2012 Winter Simulation Conference,
IEEE Press, 2012, paper inv243.
- deng-mrg2.pdf
P. L'Ecuyer and R. Simard,
``On the Lattice Structure of a Special Class of Multiple Recursive Random Number Generators'',
submitted, 2013.
- weightrouting.pdf
W. Chan, G. Koole, and P. L'Ecuyer,
``Call Center Routing Policy Using Call Waiting and Agent Idle Times,'' submitted,
revised in 2013.
- forecast11.pdf
R. Ibrahim and P. L'Ecuyer,
``Forecasting Call Center Arrivals: Fixed-Effects, Mixed-Effects, and Bivariate Models,''
Manufacturing and Services Operations Management, 15, 1 (2013), 72-85.
-
Z. Botev, P. L'Ecuyer, and B. Tuffin,
``Markov chain importance sampling with applications to rare event probability estimation'',
Statistics and Computing, 25, 1 (2013), 56-71.
Online prepublication.
- mcqmc10-plenary.pdf
P. L'Ecuyer and D. Munger,
``On Figures of Merit for Randomly-Shifted Lattice Rules'',
invited paper for the book: Monte Carlo and Quasi Monte Carlo Methods 2010,
H. Wozniakowski and L. Plaskota, Eds., Springer-Verlag, Berlin, 2012, 133-159.
Includes an appendix.
- split-static-rel.pdf
Z. Botev, P. L'Ecuyer, G. Rubino, R. Simard, and B. Tuffin,
``Static Network Reliability Estimation via Generalized Splitting'',
INFORMS Journal on Computing, 25, 1 (2013), 56-71.
Online prepublication.
-
N. Channouf and P. L'Ecuyer,
``A Normal Copula Model for the Arrival Process in Call Centers,''
International Transactions in Operational Research, 19 (2012), 771-787.
Online publication.
-
P. L'Ecuyer,
``Random Number Generators'', in
Encyclopedia of Operations Research and Management Science,
Third Edition, M. C. Fu and S. I. Gass, Eds., Springer-Verlag, 2012, to appear.
-
Z. I. Botev, D. P. Kroese, R. Y. Rubinstein, and P. L'Ecuyer,
The Cross-Entropy Method for Optimization.
In Handbook of Statistics, Volume 31: Machine Learning.
V. Govindaraju and C.R. Rao, Eds, North Holland, 2012, to appear.
-
P. L'Ecuyer,
``Random Number Generation'',
chapter 3 of the Handbook of Computational Statistics, J. E. Gentle, W.
Haerdle, and Y. Mori, eds., Second Edition, Springer-Verlag, 2012, 35-71.
- online access
D. Munger, P. L'Ecuyer, F. Bastin, C. Cirillo, and B. Tuffin,
``Estimation of Mixed Logit Likelihood Function by Randomized Quasi-Monte Carlo'',
Transportation Research Part B: Methodological, 4, 2 (2012), 305-320.
Includes an online appendix.
- latvarbound.pdf
V. Sinescu and P. L'Ecuyer,
``Variance Bounds and Existence Results for Randomly Shifted Lattice Rules,''
Journal of Computations and Applied Mathematics, 236 (2012) 3296–3307.
- static-zerovar.pdf
P. L'Ecuyer, G. Rubino, S. Saggadi, and B. Tuffin,
``Approximate Zero-Variance Importance Sampling for Static Network Reliability Estimation'',
IEEE Transactions on Reliability, 8, 4 (2011), 590-604.
- ksdist.pdf
R. Simard and P. L'Ecuyer,
``Computing the Two-Sided Kolmogorov-Smirnov Distribution'',
Journal of Statistical Software, Vol. 39, Issue 11, Mar 2011.
- latwce.pdf
V. Sinescu and P. L'Ecuyer,
``Existence and Construction of Shifted Lattice Rules with an Arbitrary
Number of Points and Bounded Worst-Case Error for General Weights,''
Journal of Complexity, 27, 5 (2011), 449-465.
Online access. .
- wsc11mcis.pdf
Z. Botev, P. L'Ecuyer, and B. Tuffin,
``An Importance Sampling Method Based on a One-Step Look-Ahead Density from a Markov Chain'',
Proceedings of the 2011 Winter Simulation Conference,
IEEE Press, 2011, 528-539.
- wsc11zvis-reduct.pdf
P. L'Ecuyer, S. Saggadi and B. Tuffin,
``Graph Reductions to Speed Up Importance Sampling-Based Static Reliability Estimation'',
Proceedings of the 2011 Winter Simulation Conference, IEEE Press, 2011, 429-438.
- wsc11rmsim.pdf
M. Bijvank, P. L'Ecuyer, and P. Marcotte,
``RMSIM: A Java Library for Simulating Revenue Management Systems'',
Proceedings of the 2011 Winter Simulation Conference, IEEE Press, 2011, 2703-2714.
- Online access
J. F. Shortle and P. L'Ecuyer,
``Introduction to Rare-Event Simulation'',
in the Wiley Encyclopedia of Operations Research and Management Science,
John Wiley, 2011.
-
P. L'Ecuyer,
``Uniform Random Number Generators'',
in International Encyclopedia of Statistical Science,
Lovric, Miodrag (Ed.), Springer-Verlag, 2011, Part 21, 1625--1630.
-
P. L'Ecuyer,
``Non-Uniform Random Variate Generation'',
in International Encyclopedia of Statistical Science,
Lovric, Miodrag (Ed.), Springer-Verlag, 2011, Part 14, 991--995.
-
P. L'Ecuyer and B. Tuffin,
``Approximating Zero-Variance Importance Sampling in a Reliability Setting,''
Annals of Operations Research, 189 (2011), 277–297.
Online access.
- online access
P. L'Ecuyer, D. Munger, and B. Tuffin,
``On the Distribution of Integration Error by Randomly-Shifted Lattice Rules'',
Electronic Journal of Statistics, Volume 4 (2010), 950-993.
- wsc10lsm.pdf
M. Dion and P. L'Ecuyer,
``Americal Option Pricing with Randomized Quasi-Monte Carlo Simulation'',
Proceedings of the 2010 Winter Simulation Conference, 2010, 2705-2720.
- wsc10static.pdf
H. Cancela, P. L'Ecuyer, G. Rubino, and B. Tuffin,
``Combination of Conditional Monte Carlo and Approximate Zero-Variance Importance
Sampling for Network Reliability Estimation'',
Proceedings of the 2010 Winter Simulation Conference, 2010, 1263-1274.
- static-path-rel.pdf
H. Cancela, P. L'Ecuyer, M. Lee, G. Rubino, and B. Tuffin,
``Analysis and Improvements of Path-Based Methods for Monte Carlo
Reliability Evaluation of Static Models,''
Chapter 3 in ``Simulation Methods for Reliability and Availability of Complex Systems'',
J. Faulin, A. A. Juan, S. Martorell, and E. Ramirez-Marquez Eds.,
Springer-Verlag, 2010, 65-84.
See link
-
R. El Haddad, C. Lécot, P. L'Ecuyer, and N. Nassif,
``Quasi-Monte Carlo methods for Markov chains
with continuous multi-dimensional state space'',
Mathematics and Computers in Simulation, 81, 3 (2010), 560-567.
Online access. .
- cftpqmc.pdf
P. L'Ecuyer and C. Sanvido,
``Coupling from the Past with Randomized Quasi-Monte Carlo'',
Mathematics and Computers in Simulation, 81, 3 (2010), 476-489.
Online access. .
- eqf.pdf
P. L'Ecuyer,
``Pseudorandom Number Generators'', in
Encyclopedia of Quantitative Finance, R. Cont, Ed.,
in volume Simulation Methods in Financial Engineering,
E. Platen and P. Jaeckel Eds.,
John Wiley, Chichester, UK, 2010, 1431-1437.
- schedm.pdf
A. N. Avramidis, W. Chan, M. Gendreau, P. L'Ecuyer, and O. Pisacane,
``Optimizing Daily Agent Scheduling in a Multiskill Call Center'',
Earlier version in CIRRELT Report 2007-44.
European Journal of Operations Research, 200, 3 (2010), 822-832.
Online access.
-
F. Panneton and P. L'Ecuyer,
``Resolution-Stationary Random Number Generators'', was GERAD Report G-2006-60,
Mathematics and Computers in Simulation, 80, 6 (2010), 1096-1103.
Online access.
-
P. L'Ecuyer, J. Blanchet, B. Tuffin, and P. W. Glynn,
``Asymptotic Robustness of Estimators in Rare-Event Simulation'',
GERAD Report 2007-64, revised December 2008,
ACM Transactions on Modeling and Computer Simulation, 20, 1 (2010), Article 6, 41 pages.
Online access.
-
P. L'Ecuyer,
``Quasi-Monte Carlo Methods with Applications in Finance,''
Finance and Stochastics, 13, 3, 2009, 307-349.
Free online access
- wsc09lattice.pdf
P. L'Ecuyer and B. Tuffin,
``On the Error Distribution for Randomly-Shifted Lattice Rules'',
Proceedings of the 2009 Winter Simulation Conference, Dec. 2009, 392-402.
- wsc09copula.pdf
N. Channouf and P. L'Ecuyer,
``Fitting a Normal Copula for a Multivariate Distribution with Both
Discrete and Continuous Marginals'',
Proceedings of the 2009 Winter Simulation Conference, Dec. 2009, 352-358.
- mcqmc08-array.pdf
P. L'Ecuyer, C. Lécot, and A. L'Archevêque-Gaudet,
``On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates,''
Monte Carlo and Quasi-Monte Carlo Methods 2008, P. L'Ecuyer and A. B. Owen Eds,
Springer-Verlag, 2009, 485-500.
- mcqmc08-lattice.pdf
V. Sinescu and P. L'Ecuyer,
``On the Behavior of Weighted Star Discrepancy Bounds for Shifted Lattice Rules,''
to appear in Monte Carlo and Quasi-Monte Carlo Methods 2008,
P. L'Ecuyer and A. B. Owen Eds, Springer-Verlag, 2009, 603-616.
-
F. Bastin, C. Cirillo, P. L'Ecuyer, D. Munger, and B. Tuffin,
``Estimation strategies for mixed logit models'',
Proceedings of the 12th Conference of the The International Association for Travel Behavior Research,
Jaipur, India, dec. 2009, Paper 555.
-
P. L'Ecuyer,
``A Practical View of Randomized Quasi-Monte Carlo'', invited paper,
Proceedings of ValueTools 2009: International Conference
on Performance Evaluation Methodologies and Tools, Oct. 2009.
- Online access
P. L'Ecuyer and B. Tuffin,
``Limiting Distributions for Randomly-Shifted Lattice Rules'',
Proceedings of the Sixth St. Petersburg Workshop on Simulation,
St. Petersburg, Russia, June 2009, 885-889.
-
P. L'Ecuyer, M. Mandjes, and B. Tuffin,
``Importance Sampling and Rare Event Simulation,''
in ``Rare Event Simulation Using Monte Carlo Methods'',
G. Rubino and B. Tuffin Eds, Wiley, 2009, 17-38.
Link.
-
P. L'Ecuyer, F. LeGland, P. Lezaud, and B. Tuffin,
``Splitting Techniques,''
in ``Rare Event Simulation Using Monte Carlo Methods'',
G. Rubino and B. Tuffin Eds, Wiley, 2009, 39-62.
Link.
- f2lin.pdf
P. L'Ecuyer and F. Panneton,
``F_2-Linear Random Number Generators'',
GERAD Report 2007-21, 2007, published in
"Advancing the Frontiers of Simulation:
A Festschrift in Honor of George Samuel Fishman,"
C. Alexopoulos, D. Goldsman, and J. R. Wilson Eds.,
Springer-Verlag, 2009, 169-193.
- nortadisc.pdf
A. N. Avramidis, N. Channouf, and P. L'Ecuyer,
``Efficient Correlation Matching for Fitting Discrete Multivariate
Distributions with Arbitrary Marginals and Normal Copula Dependence'',
INFORMS Journal on Computing, 21, 1 (2009), 88-106.
Implementation of the algorithms in Java.
- lossdelay.pdf
A. N. Avramidis, W. Chan, and P. L'Ecuyer,
``Staffing multi-skill call centers via search methods and
a performance approximation'',
IIE Transactions, 41, 2009, 483-497.
Online access.
The data for Example 2 is available
here.
- jumpf2.pdf
H. Haramoto, M. Matsumoto, T. Nishimura, F. Panneton, and P. L'Ecuyer,
``Efficient Jump Ahead for F_2-Linear Random Number Generators'',
GERAD Report G-2006-62. INFORMS Journal on Computing, 20, 3 (2008), 385-390.
- rng-story08.pdf
W. K. Grassmann, M. L. Puterman, P. L'Ecuyer, and A. Ingolfsson.
``Four canadian contributions to stochastic modeling'',
INFOR, 46, 1 (2008), 3--14.
- wsc08cc.pdf
E. Buist, W. Chan, and P. L'Ecuyer,
``Speeding up Call Center Simulation and Optimization by Markov Chain Uniformization,''
Proceedings of the 2008 Winter Simulation Conference, Dec. 2008, 1652-1660.
- wsc08zero.pdf
P. L'Ecuyer and B. Tuffin,
``Approximate Zero-Variance Simulation,''
Proceedings of the 2008 Winter Simulation Conference, Dec. 2008, 170-181.
- wsc08levy.pdf
P. L'Ecuyer, J.-S. Parent-Chartier, and M. Dion,
``Simulation of a Lévy Process by PCA Sampling to Reduce the Effective Dimension,''
Proceedings of the 2008 Winter Simulation Conference, Dec. 2008, 436-443
- jumpmt.pdf
H. Haramoto, M. Matsumoto, and P. L'Ecuyer,
``A Fast Jump Ahead Algorithm for Linear Recurrences in a Polynomial Space'',
Proceedings of SETA 2008, Lectures notes in Computer Science, Sept. 2008, 290-298.
- seta08qmc.pdf
P. L'Ecuyer,
``Comparison of Point Sets and Sequences for Quasi-Monte Carlo and
for Random Number Generation'',
Proceedings of SETA 2008, Lectures notes in Computer Science, Sept. 2008, pages 1-17.
Errata
- eicc.pdf
P. L'Ecuyer and E. Buist,
``On the Interaction Between Stratification and Control Variates,
with Illustrations in a Call Center Simulation'',
Journal of Simulation, 2008, 2, 29-40.
- arrayrqmc.pdf
P. L'Ecuyer, C. Lécot, and B. Tuffin, ``A Randomized Quasi-Monte
Carlo Simulation Method for Markov Chains'', first version in 2005,
Operations Research, 56, 4 (2008), 958-975.
- sbrms.pdf
T. Cezik and P. L'Ecuyer, ``Staffing Multiskill Call Centers via Linear
Programming and Simulation'', first draft in 2004,
Management Science, 54, 2 (2008), 310-323.
- cyclicnet06.pdf
Y. Edel and P. L'Ecuyer,
``A Coding Theoretic Approach to Building Nets
with Well-Equidistributed Projections'',
Monte Carlo and Quasi-Monte Carlo methods 2006},
S. Heinrich, A. Keller, and H. Niederreiter Eds., Springer-Verlag, 2008, 313-325.
% GERAD Report 2007-19.
- multiqmc06.pdf
R. El Haddad, C. Lécot, and P. L'Ecuyer,
``Quasi-Monte Carlo Simulation of Discrete-Time
Markov Chains in Multidimensional State Spaces'',
Monte Carlo and Quasi-Monte Carlo methods 2006},
S. Heinrich, A. Keller, and H. Niederreiter Eds., Springer-Verlag, Berlin, 2008,
413-429.
% GERAD Report 2007-20.
- wsc07rare.pdf
P.-T. de Boer, P. L'Ecuyer, G. Rubino, and B. Tuffin,
``Estimating the Probability of a Rare Event Over a Finite Horizon'',
Proceedings of the 2007 Winter Simulation Conference,
IEEE Press, Pistacaway, N.J., 2007, 403-411.
- wsclandmark.pdf
D. Goldsman, J. O. Henrickson, P. L'Ecuyer, B. L. Nelson, D. H. Withers, and N. T. Argon,
``Fortieth Annymersary Special Panel: Landmark Papers'',
Proceedings of the 2007 Winter Simulation Conference,
IEEE Press, Pistacaway, N.J., 2007, 2-13.
- esm07keynote.pdf
P. L'Ecuyer,
``Variance Reduction's Greatest Hits'',
Proceedings of the 2007 European Simulation and Modeling Conference,
2007, 5-12.
- esm07zero.pdf
P. L'Ecuyer and B. Tuffin,
``Effective Approximation of Zero-Variance Simulation in a Reliability Setting'',
Proceedings of the 2007 European Simulation and Modeling Conference,
2007, 48-54.
- robust-informs07.pdf
J. Blanchet, P. W. Glynn, P. L'Ecuyer, W. Sandmann, and B. Tuffin,
``Asymptotic Robustness of Estimators in Rare-Event Simulation'',
Proceedings of the 2007 INFORMS Simulation Society Research Workshop,
Fontainebleau, France, July 2007, paper 24, 5 pages.
- isc07cc.pdf
A. N. Avramidis, M. Gendreau, P. L'Ecuyer, and O. Pisacane,
``Simulation-Based Optimization of Agent Scheduling in Multiskill Call Centers'',
Proceedings of the 2007 Industrial Simulation Conference,
Delft University of Technology, June 2007, 255-263.
GERAD Report 2007-17.
-
P. L'Ecuyer and R. Simard, ``TestU01: A C Library
for Empirical Testing of Random Number Generators'',
ACM Transactions on Mathematical Software, 33, 4, Article 22, August 2007, 40 pages.
Online access
-
P. L'Ecuyer, V. Demers, and B. Tuffin,
``Rare-Events, Splitting, and Quasi-Monte Carlo'',
revised September 20, 2006,
ACM Transactions on Modeling and Computer Simulation,
17, 2, Article 9, 2007, 45 pages.
Online access
- callput.pdf
H. Ben-Ameur, M. Breton, L. Karoui, and P. L'Ecuyer,
``A Dynamic Programming Approach for Pricing Options Embedded in
Bonds'', GERAD report G-2004-35, June 2004, Revised June 2006.
Journal of Economic Dynamics and Control, 31 (2007), 2212-2233.
- ambul.pdf
N. Channouf, P. L'Ecuyer, A. Ingolfsson, and A. N. Avramidis,
``The Application of Forecasting Techniques to Modeling Emergency Medical
System Calls in Calgary, Alberta'',
Health Care Management Science, 10, 1 (2007), 25--45.
- ctmc1.pdf
A. Deslauriers, J. Pichitlamken, P. L'Ecuyer, A. Ingolfsson, and A. N. Avramidis,
``Markov chain models of a telephone call center with call blending'',
Computers and Operations Research, 34, 6 (2007), 1616--1645.
- horms.pdf
P. L'Ecuyer,
``Random Number Generation'',
chapter 3 of Elsevier Handbooks in Operations Research and Management Science:
Simulation, S. G. Henderson and B. L. Nelson, eds.,
Elsevier Science, Amsterdam, 2006, 55--81.
-
P. L'Ecuyer and R. Simard, ``Inverting the Symmetrical Beta
Distribution'', ACM Transactions on Mathematical Software, 32, 4 (2006), 509-520.
Online access
The C code.
- vg.pdf
A. N. Avramidis and P. L'Ecuyer, ``Efficient Monte Carlo and
Quasi-Monte Carlo Option Pricing Under the Variance-Gamma Model'',
Management Science, 52, 12 (2006), 1930-1944.
-
F. Panneton, P. L'Ecuyer, and M. Matsumoto, ``Improved Long-Period
Generators Based on Linear Recurrences Modulo 2'',
ACM Transactions on Mathematical Software, 32, 1 (2006), 1-16.
Online access
Errata for the WELL paper.
The code
in C.
-
P. L'Ecuyer, V. Demers, and B. Tuffin,
``Splitting for Rare-Event Simulation'',
Proceedings of the 2006 Winter Simulation Conference,
IEEE Press, 2006, 137-148.
Online access
-
P. L'Ecuyer and E. Buist,
``Variance Reduction in the Simulation of Call Centers'',
Proceedings of the 2006 Winter Simulation Conference,
IEEE Press, 2006, 604-613.
Online access
- valuetools06.pdf
P. L'Ecuyer and B. Tuffin,
``Splitting with Weight Windows to Control the
Likelihood Ratio in Importance Sampling'',
Proceedings of ValueTools 2006, ACM Press.
- resim06.pdf
B. Tuffin, P. L'Ecuyer, and W. Sandman,
``Robustness Properties for Simulations of Highly Reliable Systems'',
Proceedings of RESIM'2006, 107-118.
Also GERAD Report G-2006-63.
- qest06cc.pdf
P. L'Ecuyer, ``Modeling and Optimization Problems in Contact Centers'',
Proceedings of the Third International Conference on
Quantitative Evaluation of Systems (QEST 2006),
University of California, Riversdale, IEEE Computing Society, 2006, 145-154.
- mcqmc04-array.pdf
P. L'Ecuyer, C. Lécot, and B. Tuffin, ``Randomized Quasi-Monte
Carlo Simulation of Markov Chains with an Ordered State Space'',
Monte Carlo and Quasi-Monte Carlo Methods 2004,
H. Niederreiter and D. Talay eds., Springer-Verlag, 2006, 331-342.
- mcqmc04-f2w.pdf
F. Panneton and P. L'Ecuyer, ``Infinite-Dimensional Highly-Uniform
Point Sets Defined via Linear Recurrences in F_{2^w}'',
Monte Carlo and Quasi-Monte Carlo Methods 2004, H. Niederreiter and
D. Talay eds., Springer-Verlag, 2006, 419-429.
-
F. Panneton and P. L'Ecuyer, ``On the Xorshift Random Number Generators'',
ACM Transactions on Modeling and Computer Simulation, 15, 4 (2005), 346-361.
Online access
- rstream.pdf
P. L'Ecuyer and J. Leydold, ``rstream: Streams of Random Numbers for
Stochastic Simulation'', vol.5, no.2 (2005), 16-19.
Online access
- esm05split.pdf
V. Demers, P. L'Ecuyer, and B. Tuffin,
``A Combination of Randomized Quasi-Monte Carlo with Splitting for
Rare-Event Simulation'',
Proceedings of the 2005 European Simulation and Modeling Conference,
EUROSIS, 2005, 25-32.
-
P. L'Ecuyer and F. Panneton, ``Fast Random Number Generators Based on
Linear Recurrences Modulo 2: Overview and Comparison'',
Proceedings of the 2005 Winter Simulation Conference, pages 110-119.
Online access
-
P. L'Ecuyer and E. Buist, ``Simulation in Java with SSJ'',
Proceedings of the 2005 Winter Simulation Conference, pages 611-620.
Online access
-
A. N. Avramidis and P. L'Ecuyer,
``Modeling and Simulation of Call Centers'',
Proceedings of the 2005 Winter Simulation Conference, 2005, pages 144-152.
Online access
-
E. Buist and P. L'Ecuyer, ``A Java Library for Simulating Contact Centers'',
Proceedings of the 2005 Winter Simulation Conference, pages 556-565.
Online access
- cvqmc.pdf
P. L'Ecuyer, ``Comment on ``Control Variates for Quasi-Monte Carlo''''
Statistical Science, 20, 1 (2005), 19--21.
- wsc04qmc.pdf (with a correction)
P. L'Ecuyer,
``Quasi-Monte Carlo Methods in Finance'',
Proceedings of the 2004 Winter Simulation Conference, IEEE Press, 2004,
1645-1655.
- handstat.pdf
P. L'Ecuyer,
``Random Number Generation'',
chapter 2 of the Handbook of Computational Statistics, J. E. Gentle, W.
Haerdle, and Y. Mori, eds., Springer-Verlag, 2004, 35-70.
- plr02.pdf
P. L'Ecuyer,
``Polynomial Integration Lattices.''
Monte Carlo and Quasi-Monte Carlo Methods 2002, H. Niederreiter ed.,
Springer-Verlag, 2004, 73-98.
- f2w.pdf
F. Panneton and P. L'Ecuyer,
``Random Number Generators Based on Linear Recurrences in F_{2^w}'',
Monte
Carlo and Quasi-Monte Carlo Methods 2002, H. Niederreiter ed.,
Springer-Verlag, 2004, 367-378.
- gacv.pdf
H. Ben-Ameur, P. L'Ecuyer, and C. Lemieux,
``Combination of general antithetic transformations and control variables'',
Mathematics of Operations research, 29, 4 (2004), 946-960.
- input1.pdfA. N. Avramidis, A.
Deslauriers, and P. L'Ecuyer,
``Modeling Daily Arrivals to a Telephone Call center'',
Management Science, 50, 7 (2004), 896--908.
- denglin.pdf
P. L'Ecuyer and R. Touzin
``On the Deng-Lin Random Number Generators and Related Methods'',
Statistics and Computing, 14 (2004), 5-9.
- P. L'Ecuyer,
``Random Number Generation and Quasi-Monte Carlo'', in Encyclopedia of
Actuarial Science, J. Teugels and B. Sundt Eds., John Wiley,
Chichester, UK, (2004), vol. 3, 1363-1369.
- P. L'Ecuyer,
``Quasi-Monte Carlo Methods for Simulation'',
Proceedings of the 2003 Winter Simulation Conference.
Online
access
- A. N. Avramidis, P.
L'Ecuyer, and P.-A. Tremblay, ``Efficient Simulation of Gamma and
Variance-Gamma Processes'',
Proceedings of the 2003 Winter Simulation Conference.
Online
access
- J. Pichitlamken, A.
Deslauriers, P. L'Ecuyer, and A. N. Avramidis, ``Modeling and
simulation of a telephone call center'',
Proceedings of the 2003 Winter Simulation Conference.
Online
access
- latpoly-short.pdf
C. Lemieux and P. L'Ecuyer,
``Randomized Polynomial Lattice Rules for Multivariate Integration
and Simulation'', SIAM Journal on
Scientific Computing, 24, 5 (2003), 1768-1789.
Extended version
(with additional details and material).
-
P. L'Ecuyer and J. Granger-Piché, ``Combined Generators with
Components from Different Families'',
Mathematics and Computers in Simulation, 62 (2003), 395--404.
Online access
- P. L'Ecuyer, L.
Meliani, and J. Vaucher,
``SSJ: A Framework for Stochastic Simulation in Java'',
Proceedings of the 2002 Winter Simulation Conference, IEEE Press, Dec.
2002, 234-242.
Online
access
- survey01.ps
P. L'Ecuyer and C. Lemieux
``Recent Advances in Randomized Quasi-Monte Carlo Methods'',
in Modeling Uncertainty: An Examination of Stochastic Theory,
Methods, and Applications, M.~Dror, P.~L'Ecuyer, and F.~Szidarovszki,
eds.,
Kluwer Academic Publishers, 2002, 419-474.
- streams00.pdf
P. L'Ecuyer, R. Simard, E. J. Chen, and W. D. Kelton,
``An Objected-Oriented Random-Number Package with Many Long
Streams and Substreams'',
Operations Research, 50, 6 (2002), 1073--1075.
The code in C, C++, Java, and
FORTRAN.
- ensbs.pdf
P. L'Ecuyer, ``Random Numbers'', in the International Encyclopedia of
the Social and Behavioral Sciences,
N. J. Smelser and Paul B. Baltes Eds.,
Pergamon, Oxford, 2002, 12735-12738.
(A short and easy introduction to random number generation.)
- ameras.pdf
H. Ben-Ameur, M. Breton, and P. L'Ecuyer,
``A Dynamic Programming Procedure for Pricing American-Style
Asian Options'', Management Science, 48, 5 (2002), 625-643.
Original version: GERAD report G-99-39, 1999.
- serial.pdf
P. L'Ecuyer, R. Simard, and S. Wegenkittl,
``Sparse Serial Tests of Uniformity for Random Number Generators'',
SIAM Journal on Scientific Computing, 24, 2 (2002), 652-668.
Original version: GERAD Report G-98-65, 1998.
- mcqmc00.ps
P. L'Ecuyer and F. Panneton,
``Construction of Equidistributed Generators Based on
Linear Recurrences Modulo 2'', Monte Carlo and Quasi-Monte Carlo
Methods 2000, K.-T. Fang, F. J. Hickernell, and H. Niederreiter eds.,
Springer-Verlag, 2002, 318-330.
- P. L'Ecuyer,
``Software for Uniform Random Number Generation:
Distinguishing the Good and the Bad'',
Proceedings of the 2001 Winter Simulation Conference, IEEE Press, Dec.
2001, 95-105.
Online
access
- T. Altiok, P. L'Ecuyer, B. Schmeiser, L. Schruben,
W. D. Kelton, B. L. Nelson, T. Schriber, and J. R. Wilson,
``Various Ways Adacemics Teach Simulation: Are They All Appropriate?'',
Proceedings of the 2001 Winter Simulation Conference, Dec. 2001,
1580-1591.
Online
access
- P. L'Ecuyer,
``Random Number Generators'', in
Encyclopedia of Operations Research and Management Science,
Second Edition, S. I. Gass and C. M. Harris Eds., Kluwer Academic
Publishers, 2001, 695-702.
-
P. L'Ecuyer and Y. Champoux,
``Estimating Small Cell-Loss Ratios in ATM Switches via
Importance Sampling'', ACM Transactions on Modeling and Computer
Simulation, 11, 1 (2001), 76--105.
Online access
- iccs01.pdf
C. Lemieux and P. L'Ecuyer,
``On the Use of Quasi-Monte Carlo Methods in Computational Finance'',
Computational Science -- ICCS 2001, May 2001,
Lecture Notes in Computer Science, Springer-Verlag, 2001, 607-616.
- latrules3.ps
F. J. Hickernell, H. S. Hong, P. L'Ecuyer, and C. Lemieux,
``Extensible Lattice Sequences for Quasi-Monte Carlo Quadrature'',
SIAM Journal on Scientific Computing, 22, 3 (2001), 1117-1138.
- birth.ps
P. L'Ecuyer and R. Simard, ``On the Interaction of Birthday Spacings
Tests with Certain Families
of Random Number Generators'', Mathematics and Computers in Simulation
(selected papers from the 1999 IMACS Seminar on Monte Carlo Methods),
55, 1-3 (2001), 131-137.
Online publication
- latcrit.ps
C. Lemieux and P. L'Ecuyer,
``On Selection Criteria for Lattice Rules and Other
Quasi-Monte Carlo Point Sets'',
Mathematics and Computers in Simulation
(selected papers from the 1999 IMACS Seminar on Monte Carlo Methods),
55, 1-3 (2001), 139--148.
Online publication
- P. L'Ecuyer and R.
Touzin,
``Fast Combined Multiple Recursive Generators with Multipliers of the
form a = +/- 2^d +/- 2^e'',
Proceedings of the 2000 Winter Simulation Conference, Dec. 2000,
683--689.
Online
access
- P. L'Ecuyer and F.
Panneton,
``A New Class of Linear Feedback Shift Register Generators'',
Proceedings of the 2000 Winter Simulation Conference, Dec. 2000,
690--696.
Online
access
- C. Lemieux and P.
L'Ecuyer,
``Using Lattice Rules as a Variance Reduction Technique in
Simulation'',
Proceedings of the 2000 Winter Simulation Conference, Dec. 2000,
509--516.
Online
access
- latsurv.pdf
P. L'Ecuyer and C. Lemieux,
``Variance Reduction via Lattice Rules'',
Management Science, 46, 9 (2000), 1214-1235.
Earlier draft: GERAD report G-99-46, 1999.
- mc00.ps
P. L'Ecuyer and C. Lemieux,
``On the Choice of Quasi-Random Point Sets with a Lattice Structure'',
Proceedings of the International Conference on Monte Carlo Simulation,
Monte Carlo, June 2000, 11--17.
- latrules2.ps
K. Entacher, P. Hellekalek, and P. L'Ecuyer,
``Quasi-Monte Carlo Node Sets from Linear Congruential Generators'',
Monte Carlo and Quasi-Monte Carlo methods 1998,
H. Niederreiter and J. Spanier Eds., Springer, Berlin, 2000, 188--198.
- mcqmc98.ps
C. Lemieux and P. L'Ecuyer,
``A Comparison of Monte Carlo, Lattice Rules and Other
Low-Discrepancy Point Sets'',
Monte Carlo and Quasi-Monte Carlo methods 1998,
H. Niederreiter and J. Spanier Eds., Springer, Berlin, 2000, 326--340.
- dispers.pdf
S. Yakowitz and P. L'Ecuyer and F. Vazquez-Abad,
``Global Stochastic Optimization with Low-Dispersion Point Sets'',
Operations Research, 48, 6 (2000), 939--950.
- latcomp.ps
R. Couture and P. L'Ecuyer,
``Lattice Computations for Random Numbers'',
Mathematics of Computation, 69, 230 (2000), 757--765.
- npair.pdf
P. L'Ecuyer, J.-F. Cordeau, and R. Simard,
``Close-Point Spatial Tests and their Application to
Random Number Generators'',
Operations Research, 48, 2 (2000), 308--317
- parmsr.ps
Q.-Y. Tang, P. L'Ecuyer, and H.-F. Chen,
``Central-Limit Theorems for Stochastic Optimization Algorithms
using Infinitesimal Perturbation Analysis'', Discrete Event Dynamic
Systems: Theory and Applications, 10, 1 (2000), 5--32.
- simod99.ps
P. L'Ecuyer, ``SIMOD-99: Définition fonctionnelle et guide
d'utilisation'' (in french), Version de janvier 2000''.
- H. Ben Ameur, P. L'Ecuyer,
and C. Lemieux,
``Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo
Estimators for Stochastic Volatility Models in Finance'',
Proceedings of the 1999 Winter Simulation Conference,
IEEE Press, Dec. 1999, 336--343.
Online access
- wsc99qmc.pdf
P. L'Ecuyer and C. Lemieux,
``Quasi-Monte Carlo via Linear Shift-Register Sequences'',
Proceedings of the 1999 Winter Simulation Conference,
IEEE Press, Dec. 1999, 632--639.
- E. H. Page, D. M. Nicol, O. Balci, R. M. Fujimoto, P. A.
Fishwick,
P. L'Ecuyer, and R. Smith,
``Strategic Directions in Simulation Research'',
Proceedings of the 1999 Winter Simulation Conference,
IEEE Press, Dec. 1999, 1509--1520.
Online access
- parhed.ps
H. Ben Ameur, M. Breton, and P. L'Ecuyer,
``Partial Hedging for Options Based on Extreme Values and Passage
Times'', in Decision and Control in Management Science:
Essays in Honor of Professor Alain Haurie, G. Zaccour ed.,
Kluwer Academic Publishers, 2002, 179--200.
Also GERAD report G-99-15, 1999.
- S. Yakowitz, P. L'Ecuyer,
and F. Vazquez-Abad,
``Adaptation and Dispersion in Global Optimization'',
Proceedings of ASA 1999, Baltimore.
- bcir.ps
D. Choquet, P. L'Ecuyer, and C. Leger,
``Bootstrap Confidence Intervals for Ratios of Expectations'',
ACM Transactions on Modeling and Computer Simulation, 9, 4, (1999), 326-348.
- Online access
-
P. L'Ecuyer and R. Simard, ``Beware of Linear Congruential Generators
with Multipliers of the form a = +/- 2^q +/- 2^r'',
ACM Transactions on Mathematical Software, 25, 3 (1999), 367--374.
Online access
- esm99.ps
C. Lemieux and P. L'Ecuyer,
``Lattice Rules for the Simulation of Ruin Problems'',
Proceedings of the 1999 European Simulation Multiconference,
Vol. 2, Warsaw, The Society for Computer Simulation, 1999, 533--537.
-
P. L'Ecuyer,
``Some Recommendable Uniform Random Number Generators'',
Proceedings of the 1999 European Simulation Multiconference,
Vol. 1, Warsaw, The Society for Computer Simulation, 1999, 185--190.
- parmsrav.ps
Q.-Y. Tang, P. L'Ecuyer, and H.-F. Chen,
``Asymptotic Efficiency of Perturbation Analysis-Based Stochastic
Approximation with Averaging'',
SIAM Journal on Control and Optimization, 37, 6 (1999), 1822--1847.
- frepl.ps
P. L'Ecuyer, B. Martin, and F. Vazquez-Abad,
``Functional Estimation for a Multicomponent Age-Replacement Model'',
American Journal of Mathematical and Management Sciences, 19, 1--2,
(1999), 135--156.
- tausme2.ps
P. L'Ecuyer,
``Tables of Maximally-Equidistributed Combined LFSR Generators'',
Mathematics of Computation, 68, 225 (1999), 261--269.
- latrules.ps
P. L'Ecuyer,
``Tables of Linear Congruential Generators of Different Sizes and
Good Lattice Structure'', Mathematics of Computation, 68, 225 (1999),
249--260.
Errata: latrules.err
- combmrg2.ps
P. L'Ecuyer,
``Good Parameter Sets for Combined Multiple Recursive
Random Number Generators'', Shorter version in Operations Research, 47,
1 (1999), 159--164.
The C code.
- P. L'Ecuyer,
``Uniform Random Number Generators'',
Proceedings of the 1998 Winter Simulation Conference,
IEEE Press, Dec. 1998, 97--104.
Online
access
- C. Lemieux and P.
L'Ecuyer,
``Efficiency Improvement by Lattice Rules for Pricing Asian Options'',
Proceedings of the 1998 Winter Simulation Conference,
IEEE Press, Dec. 1998, 579--586.
Online
access
- mascots98.ps
C. Lemieux and P. L'Ecuyer,
``An Empirical Comparison of Diffusion Approximation and Simulation
in ATM Networks'', Proceedings of the Sixth International
Symposium on Modeling, Analysis and Simulation of Computer and
Telecommunication Systems, 1998, 101--106.
- lns98.ps
P. L'Ecuyer and P. Hellekalek,
``Random Number Generators: Selection Criteria and Testing'', in Random
and Quasi-Random Point Sets,
Lectures Notes In Statistics, no. 138, Springer, 1998, 223--266.
- handsim.ps
P. L'Ecuyer,
``Random Number Generation'',
Chapter 4 of the Handbook on Simulation,
Jerry Banks Ed., Wiley, 1998, 93--137.
(Introductory tutorial on RNGs).
This handbook won the best book award for an engineering-related
handbook for 1998, by the Association of American Publishers.
- P. L'Ecuyer,
``Uniform Random Number Generation'', in
Encyclopedia of Computer Science and Technology, vol. 39,
A. Kent and J. G. Williams Eds., Marcel Dekker, New York,
1998, 323--339.
- ratesa (online)
P. L'Ecuyer and G. Yin,
``Budget-Dependent Convergence Rate of Stochastic Approximation'',
SIAM Journal on Optimization, 8, 1 (1998), 217--247.
- mcqmc96.ps
P. L'Ecuyer,
``Random Number Generators and Empirical Tests'',
Lecture Notes in Statistics 127, Springer-Verlag, 1998, 124--138.
- stableq.ps
Q.-Y. Tang and P. L'Ecuyer,
``Stochastic Stability of Queueing Network'', unpublished manuscript,
1997.
- entrop.ps P. L'Ecuyer,
J.-F. Cordeau, and A. Compagner,
``Entropy-Based tests for Random Number Generators'', unpublished
manuscript, 1997.
(An earlier version was published as ``Les cahiers du GERAD'' no.
G-96-41, 1996.)
- clcg4.ps
P. L'Ecuyer and T. H. Andres, ``A Random Number Generator Based on the
Combination of Four LCGs'',
Mathematics and Computers in Simulation, 44 (1997), 99--107.
This is a practical RNG package in C or in Modula-2.
The published paper is in fact a shortened version; the file clcg4.ps
contains the full version.
The C code is in clcg4.c
and clcg4.h .
A small test program: prg2.c
and the results: prg2.res .
The Modula-2 code is in clcg4.mod
and clcg4.def .
- spacings (online)
P. L'Ecuyer,
``Tests Based on Sum-Functions of Spacings for Uniform Random
Numbers'',
Journal of Statistical Computation and Simulation, 59 (1997), 251--269.
- P. L'Ecuyer,
``Uniform Random Number Generators: A Review'', Proceedings of the 1997
Winter Simulation Conference,
IEEE Press, Dec. 1997, 127--134.
Online access
- P. L'Ecuyer et R. Simard,
``Un test Méchant pour les Générateurs à
Congruence Linéaire'',
Compte-Rendus de ASU'97: Les XXIX-ièmes
Journées de Statistique, Carcassonne, Mai 1997, 539--540.
- P. L'Ecuyer,
``Quelques Nouveaux Générateurs de Valeurs Uniformes'',
Compte-Rendus de ASU'97: Les XXIX-ièmes
Journées de Statistique, Carcassonne, Mai 1997, 535--538.
- P. L'Ecuyer and R. Couture,
``An Implementation of the Lattice and Spectral Tests for Multiple
Recursive Linear Random Number Generators'', INFORMS Journal on
Computing, 9, 2 (1997), 206--217.
Online reprint
- mwc.ps
R. Couture and P. L'Ecuyer,
``Distribution Properties of Multiply-with-Carry Random Number
Generators'',
Mathematics of Computation, 66 (1997) 591--607.
- P. L'Ecuyer,
``Bad Lattice Structures for Vectors of Non-Successive Values Produced
by Some Linear Recurrences'', INFORMS Journal on Computing, 9, 1
(1997), 57--60.
Online reprint
- J. P.
Dussault, D. Labrecque, P. L'Ecuyer, and R. Y. Rubinstein,
``Combining the Stochastic Counterpart and Stochastic Approximation
Methods'', Discrete Event Dynamic Systems: Theory and Applications,
7, 1 (1997), 5--28.
- P.
L'Ecuyer and F. Vazquez-Abad,
``Functional Estimation with respect to a threshold parameter via
dynamic split-and-merge'',
Discrete Event Dynamic Systems: Theory and Applications, 7, 1 (1997),
69--92.
- combmrg.ps
P. L'Ecuyer,
``Combined Multiple Recursive Generators'', Operations Research, 44, 5
(1996), 816--822.
- tausme.ps
P. L'Ecuyer,
``Maximally Equidistributed Combined Tausworthe Generators'',
Mathematics of Computation, 65, 213 (1996), 203--213.
- R.
Couture and P. L'Ecuyer,
``Orbits and Lattices for Linear Random Number Generators
with Composite Moduli'', Mathematics of Computation, 65, 213 (1996),
189--201
- P. L'Ecuyer,
``Simulation of Algorithms for Performance Analysis'' (Commentary),
ORSA Journal on Computing, 8, 1 (1996), 16--20.
- P. L'Ecuyer and G. Yin, ``Rates of Convergence for
Budget-Dependent Stochastic Optimization Algorithms'',
Proceedings of the 35th IEEE Conference on Decision and Control, Dec
1996.
- atm96.ps
P. L'Ecuyer and Y. Champoux,
``Importance Sampling for Large ATM-Type Queueing Networks'',
Proceedings of the 1996 Winter Simulation Conference,
IEEE Press, Dec 1996, 309--316.
- F. J. Vázquez-Abad, P. L'Ecuyer, and B. Martin,
``On the Linear Growth of the Split-and-Merge Simulation Tree for a
Multicomponent Replacement Model'', WODES'96: International Workshop on
Discrete Event Systems, Edinburgh, Aug. 1996, 57--62.
- P. L'Ecuyer,
``Random Number Generators'', in
Encyclopedia of Operations Research and Management Science,
S. I. Gass and C. M. Harris Eds., Kluwer Academic Publishers, 1996,
571--578.
- P. L'Ecuyer and J.-F. Cordeau,
``Tests sur les Points Rapprochés pour les
Générateurs de Valeurs
Aléatoires'', Compte-Rendus de ASU'96: Les XXVIII-ièmes
Journées de Statistique, Université Laval, May 1996,
479--482.
- lrsrec.ps
P. W. Glynn and P. L'Ecuyer,
``Likelihood Ratio Gradient Estimation for Regenerative Stochastic
Recursions'',
Advances in Applied Probability, 27, 4 (1995), 1019--1053.
- mwc95.ps
R. Couture and P. L'Ecuyer,
``Linear Recurrences with Carry a Uniform Random Number Generators'',
Proceedings of the 1995 Winter Simulation Conference, Dec 1995,
263--267.
- vrt94.ps
P. L'Ecuyer,
``Efficiency Improvement and Variance Reduction'',
Proceedings of the 1994 Winter Simulation Conference, Dec. 1994,
122--132.
- tutc94.ps
P. L'Ecuyer,
``Recent Advances in Uniform Random Number Generation'',
Proceedings of the 1994 Winter Simulation Conference, Dec. 1994,
122--132.
- tutaor.ps
P. L'Ecuyer,
``Uniform Random Number Generation'',
Annals of Operations Research, 53 (1994), 77--120.
(My best tutorial on RNGs)
- P. L'Ecuyer and G. Perron,
``On the Convergence Rates of IPA and FDC Derivative Estimators for
Finite-Horizon Stochastic Simulations'',
Operations Research, 42, 4 (1994), 643--656.
- P. L'Ecuyer,
``On the Interchange of Derivative and Expectation
for Likelihood Ratio Derivative Estimators'',
Management Science, 40, 11 (Dec. 1994).
- P. L'Ecuyer and P. W. Glynn,
``Stochastic Optimization by Simulation: Convergence Proofs
for the GI/G/1 Queue in Steady-State'',
Management Science, 40, 12 (Nov. 1994), 1562--1578.
- P. L'Ecuyer, N. Giroux, and P. W. Glynn,
``Stochastic Optimization by Simulation: Numerical Experiments with the
M/M/1 Queue in Steady-State'',
Management Science, 40, 10 (Oct. 1994), 1245--1261.
- R. Couture and P. L'Ecuyer,
``On the Lattice Structure of Certain Linear Congruential Sequences
Related to AWC/SWB Generators'',
Mathematics of Computation, 62, 206 (1994), 799--808.
- A. Haurie, P. L'Ecuyer, and Ch. Van Delft,
``Monte-Carlo Optimization of Parameterized Policies
in a Class of Piecewise Deterministic Control Systems
Arising in Manufacturing Flow Control'',
J. Discrete Event Dynamic Systems, 4, (1994), 87--111.
- P. L'Ecuyer and R. Couture,
``The Theoretical Underpinnings of Some Combined Random Number
Generators'',
Proceedings of the 1994 European Simulation Conference,
The Society for Computer Simulation, Oct. 1994, 55--59.
- P. W. Glynn and P. L'Ecuyer,
``On the Existence and Estimation of Performance Measure Derivatives
for Stochastic Recursions'',
Lectures Notes in Control and Information Sciences,
199, June 1994, 429--435.
- F. Vázquez-Abad and P. L'Ecuyer,
``Simulation Trees for Functional Estimation via the Phantom Method'',
Lectures Notes in Control and Information Sciences,
199, June 1994, 449--455.
- R. Couture, P. L'Ecuyer, and S. Tezuka,
``On the Distribution of $k$-Dimensional Vectors for Simple and
Combined
Tausworthe Sequences'',
Mathematics of Computation, 60 (1993), 749--761 and S11-S16.
- S. Tezuka, P. L'Ecuyer, and R. Couture,
``On the Add-with-Carry and Subtract-with-Borrow Random Number
Generators'',
ACM Trans. on Modeling and Computer Simulation, 3, 4 (1993), 315--331.
Online access
- P. L'Ecuyer, F. Blouin, and R. Couture,
``A Search for Good Multiple Recursive Generators'',
ACM Trans. on Modeling and Computer Simulation, 3, 2 (1993), 87--98.
Online access
- wsc93.pdf
P. L'Ecuyer,
``Two Approaches for Estimating the Gradient in Functional Form'',
Proceedings of the 1993 Winter Simulation Conference, dec 1993,
338--346.
- test92.ps
P. L'Ecuyer,
``Testing Random Number Generators'',
Proceedings of the 1992 Winter Simulation Conference, dec 1992,
305--313.
- P. L'Ecuyer, ``Convergence Rates for Steady-State Derivative
Estimators'',
Annals of Operations Research, 39 (1992), 121--136.
- P. L'Ecuyer, N. Giroux, and P. W. Glynn,
``Experimental Results for Gradient Estimation and Optimization of a
Markov
Chain in Steady-State'',
Lecture Notes in Economics and Mathematical Systems, no. 374,
Springer-Verlag, 1992, 14--23.
- wsc91.ps
P. L'Ecuyer,
``An Overview of Derivative Estimation'',
Proceedings of the 1991 Winter Simulation Conference, dec 1991,
207--217.
- F. Vazquez-Abad and P. L'Ecuyer,
``Comparing Alternative Methods for Derivative Estimation when IPA Does
Not Apply Directly'',
Proceedings of the 1991 Winter Simulation Conference, dec 1991,
1004-1011.
- P. W. Glynn, P. L'Ecuyer, and M. Adès,
``Gradient Estimation for Ratios'',
Proceedings of the 1991 Winter Simulation Conference, dec 1991,
986--993.
- S. Tezuka and P. L'Ecuyer,
``Efficient and Portable Combined Tausworthe Random Number Generators'',
ACM Trans. on Modeling and Computer Simulation, 1, 2 (1991), 99--112.
Online access
- P. L'Ecuyer, M. Mayrand and M. Dror,
``Dynamic Scheduling of a Robot Servicing Machines on a One-Dimensional
Line'',
IIE Transactions, 23 (1991), 371--382.
- P. L'Ecuyer and S. Tezuka,
``Structural Properties for Two Classes of Combined Generators'',
Mathematics of Computation, 57, (1991), 735--746.
- P. L'Ecuyer and S. Côté,
``Implementing A Random Number Package with Splitting Facilities'',
ACM Transactions on Mathematical Software, 17 (1991), 98--111.
Online access
- P. L'Ecuyer,
``A Unified View of the IPA, SF, and LR Gradient Estimation
Techniques'',
Managament Science, 36 (1990), 1364--1383.
- cacm90.pdf P. L'Ecuyer,
``Random Numbers for Simulation'',
Communications of the ACM, 33 (1990), 85--98.
- A. Haurie, P. L'Ecuyer, and Ch. van Delft,
``Monte Carlo Optimization of Parametrized Policies in a Class of
Piecewise Deterministic Control Systems Arising in Manufacturing Flow
Control'', Proceedings of the 29th IEEE Conference on Decision and
Control,
Dec. 1990, 587--589.
- M. Breton and P. L'Ecuyer, ``Approximative Solutions to
Continuous Stochastic Games'',
Fourth International Symposium on Differential Games and Applications,
Helsinki, Aug. 1990.
- A. Haurie, Ch. van Delft, and P. L'Ecuyer,
``Optimization by Simulation in Manufacturing Flow Control Models'',
Proceedings, Rensselaer's Second International Conference on
Computer Integrated Manufacturing, Troy, New York,
IEEE Press, May 1990, 214--221.
- M. Breton and P. L'Ecuyer
``Noncooperative Stochastic Games Under a Local Contraction
Assumption'',
Stochastics, 26 (1989), 227--245.
- P. L'Ecuyer, ``A Tutorial on Uniform Variate Generation'',
1989 Winter Simulation Conference Proceedings, Dec. 1989, 40--49.
- nlin89.ps
P. L'Ecuyer and R. Proulx,
``About Polynomial-Time ``Unpredictable'' Generators'',
1989 Winter Simulation Conference Proceedings, Dec. 1989, 467--476.
- approxpd.pdf
P. L'Ecuyer, ``Computing Approximate Solutions to Markov Renewal
Programs with Continuous State Spaces'',
Report no. DIUL-RT-8912, Dépt. d'informatique, Univ. Laval,
1989.
- P. L'Ecuyer and F. Blouin,
``Linear Conguential Generators of Order $k>1$'', 1988 Winter
Simulation
Conference Proceedings, Dec. 1988, 432--439.
- F. Chauny, A. Haurie, P. L'Ecuyer and R. Loulou,
``Dynamic Programming Solution to the Stochastic Multiple Lot
Dispatching
in a FMS'', Proc. Internat. Conf. on Computer Integrated Manufacturing,
IEEE Computer Society Press, May 1988, 238--243.
- P. L'Ecuyer and J. Malenfant,
``Computing Optimal Checkpointing Policies~:
A Dynamic Programming Approach'',
Lecture Notes in Economics and Mathematical Systems, no. 302,
Springer-Verlag, 1988, 214--229.
- M. Breton and P. L'Ecuyer, ``On the Existence and Computation of
Sequential Equilibria in Markov Renewal Games'',
Lecture Notes in Economics and Mathematical Systems, no. 302,
Springer-Verlag, 1988, 200--213
- P. L'Ecuyer and J. Malenfant,
``Computing Optimal Checkpointing Strategies for Rollback and Recovery
Systems'',
IEEE Trans. on Computers, 37 (1988), 491--496.
- cacm88.pdf P. L'Ecuyer,
``Efficient and Portable Combined Random Number Generators'',
Communications of the ACM, 31 (1988), 742--749 and 774.
- P. L'Ecuyer and A. Haurie,
``Discrete Event Dynamic Programming with Simultaneous Events'',
Mathematics of Operations Research, 13 (1988), 152--163.
- simod.ps
P. L'Ecuyer, ``SIMOD~: Définition fonctionnelle et guide
d'utilisation, Version 2.0'', Report no. DIUL-RT-8804, Dépt.
d'informatique, Univ. Laval, 1988.
- sentiers.ps
P. L'Ecuyer, G. Perron and F. Blouin, ``SENTIERS: Un logiciel
Modula-2 pour l'arithmétique sur les grands entiers'',
Report no. DIUL-RT-8802, Dépt. d'informatique,
Univ. Laval, 1988.
- P. L'Ecuyer,
``Formal Formatting Rules for Pascal Programs'',
The Journal of Systems and Software, 7 (1987), 311--322.
- A. Hollander, A. Haurie and P. L'Ecuyer, ``Ratchet Effects and
the Cost of Incremental Incentive Schemes'',
Journal of Economic Dynamics and Control, 11 (1987), 373--389.
- P. L'Ecuyer and A. Haurie,
``The Repair vs Replacement Problem: A Stochastic Control Approach'',
Optimal Control Applications and Methods, 8 (1987), 219--230.
- P. L'Ecuyer and N. Giroux,
``A Process-Oriented Simulation Package
Based on Modula-2'', 1987 Winter Simulation
Conference Proceedings, Dec. 1987, 165--174.
- P. L'Ecuyer, ``A Portable Random Number Generator for 16-bit
Computers'', Modeling and Simulation on Microcomputers 1987,
SCS, Jan. 1987, 45--49.
- A. Haurie and P. L'Ecuyer, ``Approximation and Bounds in Discrete
Event Dynamic Programming'',
IEEE Trans. on Automatic Control, AC-31 (1986), 227--235.
- P. L'Ecuyer, ``Efficient and Portable 32-bit Random Variate
Generators'',
1986 Winter Simulation Conference Proceedings, Dec. 1986,
275--277.
- ``Computing Transfer Lines Performance Measures Using Dynamic
Programming'', Computers and Industrial Engineering,
9, 4 (1985), 387--393.
- P. L'Ecuyer, A. Haurie and A. Hollander,
``Optimal Research and Development
Expenditures Under an Incremental Tax Incentive Scheme'',
Operations Research Letters, 4, (1985), 85--90.
- A. Haurie and P. L'Ecuyer,
``Approximation and Bounds in Discrete Event
Dynamic Programming'', Proc. of the 23th IEEE Conference on Decision
and
Control, Las Vegas, Dec. 1984, 1097--1100.
- P. L'Ecuyer and A. Haurie,
``Preventive Replacement for Multicomponent
Systems: An Opportunistic Discrete Time Dynamic Programming Model'',
IEEE Trans. on Reliability, R-32 (1983), 117--118.
- P. L'Ecuyer, ``Approximations and Bounds in Discrete Stage Markov
Decision
Processes'', Proceedings of the 11th IFIP Conference on
System Modelling and Optimization, Copenhagen, Jul. 1983, 603--608.
- A. Haurie and P. L'Ecuyer, ``A Stochastic Control Approach to
Group
Preventive Replacement in a Multicomponent System'', IEEE Trans. on
Automatic Control, AC-27 (1982), 387--393.
- A. Haurie and P. L'Ecuyer, ``A Discrete-Time Dynamic Programming
Model
for Group Preventive Replacement'', Applied Systems and
Cybernetics, Lasker, Ed., Pergamon Press, vol. II, 1981, 1083--1087.
- A. Haurie and P. L'Ecuyer,
``Optimal and Suboptimal Strategies for
Group Preventive Replacement'' Proceedings of the 19th IEEE Conference
on
Decision and Control, Albuquerque, Dec. 1980, 766--773.