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"The Semi-regenerative Method of Simulation Output Analysis" [with J. M. Calvin and M. K. Nakayama]. Submitted for publication. PDF " On the Validity of Long-Run Estimation Methods for Discrete-Event Systems " [ with P.J. Haas ]. To appear in Performance Evaluation Review. PDF " Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces " [ with S.-H. Lee ]. Submitted for publication " Computing Bayesian Means Using Simulation " [with S. Andradottir]. Submitted for publication Please contact Sigrun Andradottir for a copy at: sa @ isye.isye.gatech.edu " Kernel-Based Reinforcement Learning in Average-Cost Problems " [with D. Ormoneit]. Submitted for publication " Confidence Regions for Stochastic Approximation Algorithms " ( with M.-H. Hsieh ). To appear in Proceedings of the 2002 Winter Simulation Conference. " Kernel-Based Reinforcement Learning in Average-Cost Problems " [with D. Ormoneit]. To appear in IEEE Transactions on Automatic Control. " Nonexistence of a Class of Variate Generation Schemes " [with S. G. Henderson ]. To appear in Operations Research Letters PDF " Rare-Event Simulation for Infinite Server Queues " ( with R. Szechtman ). To appear in Proceedings of the 2002 Winter Simulation Conference PDF " Simulating the Maximum of a Random Walk " [with K. B. Ensor]. To appear in Journal of Statistical Planning and Inference " Transient Simulation Via Empirically-Based Coupling " [with D. L. Iglehart and E. Wong]. To appear in Probability in the Engineering and Informational Sciences " Approximating Martingales for Variance Reduction in Markov Process Simulation " [ with S. G. Henderson ]. Mathematics of Operations Research vol. 27, p. 253-271 ( 2002 ). PDF " Some New Perspectives on the Method of Control Variates " [ with R. Szechtman ]. Monte Carlo and Quasi-Monte Carlo Methods 2000 ( edited by K.T. Fang, F.J.Hickernell, and H. Niederreiter ), Springer-Verlag, Berlin, 27-49 ( 2002 ). PDF " Computing Densities for Markov Chains via Simulation " [ with S. G. Henderson ]. Mathematics of Operations Research 26, 375-400 ( 2001 ) More Info " A Markov Chain Perspective on Adaptive Monte Carlo Algorithms " [ with P. Desai ]. Proceedings of the 2001 Winter Simulation Conference, 379-384 ( 2001 ) PDF " Constrained Monte Carlo and the Method of Control Variates " [ with R. Szechtman ]. Proceedings of the 2001 Winter Simulation Conference, 394-400 ( 2001 ) PDF " Importance Sampling using the Semi-Regenerative Method " [ with J. Calvin and M. Nakayama ]. Proceedings of the 2001 Winter Simulation Conference, 441-450 ( 2001 ) PDF " Multivariate Standardized Time Series " [with D. Muñoz]. Operations Research Vol. 49, 413-422 ( 2001 ) PDF " Regenerative Steady-State Simulation
of Discrete-Event Systems " [with S.G. Henderson] ACM Transactions
on Modeling and Computer Simulation 11, 313-345 ( 2001 ). More
Info " On the Small-Sample Optimality of Multiple-Regeneration Estimators" [ with J. Calvin and M. Nakayama ]. Proceedings of the 1999 Winter Simulation Conference, 655-661 ( 1999 ) PDF " Can the Regenerative Method be Applied to Discrete-Event Simulations? " [ with S. G. Henderson ]. Proceedings of the 1999 Winter Simulation Conference, 367-373 ( 1999 ) PDF " Derandomizing Variance Estimators " [with S. G. Henderson]. Operations Research Vol. 47, 907-916 ( 1999 ) PDF " Limit Theory for Performance Modeling of Future Event Set Algorithms " [with H. Damerdji]. Management Science, Vol. 44, 1709-1722 ( 1998 ). " Estimation of Stationary Densities for Markov Chains " [with S. G. Henderson]. Proceedings of the 1998 Winter Simulation Conference, 647-652 ( 1998 ) PDF " A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean " [with D. F. Muñoz] Management Science Vol. 43, 1121-1135 ( 1997 ) " Computational Efficiency Evaluation in Output Analysis " [with H. Damerdji and S. G. Henderson]. Proceedings of the 1997 Winter Simulation Conference, 208-215 ( 1997 ) PDF " Stochastic Optimization via Grid Search ". In Mathematics of Stochastic Manufacturing Systems [G.G. Yin and Q. Zhang, eds.] Lectures in Applied Mathematics, vol. 33, American Mathematical Society, Providence, Rhode Island, 89 - 100 ( 1997 ) " Efficient Simulation via Coupling "[with E. Wong]. Probability in the Engineering and Informational Sciences Vol. 10, 165-186 ( 1996 ) " Numerical Computation of Large Deviations Exponents via Simulation ". Proceedings of the 1996 Allerton Conference on Communication, Control, and Computing , 790-797 ( 1996 ) " Selecting the Best System in Transient
Simulations with Variances Known " [with H. Damerdji, M. K.
Nakayama and J.R. Wilson]. Proceedings of the 1996 Winter Simulation
Conference ,281-286 ( 1996 ) " Importance Sampling for Monte Carlo Estimation of Quantiles ". Proceedings of the Second International Workshop on Mathematical Methods in Stochastic Simulation and Experimental Design, St. Petersburg, 180-185 ( 1996 ) " Likelihood Ratio Gradient Estimation
for Stochastic Recursions " [with P. L’Ecuyer]. Advances
in Applied Probability Vol. 27, 1019-1053 ( 1995 ) PS " Efficient Monte Carlo Simulation of Security Prices " [with J.D. Duffie]. Annals of Applied Probability, Vol. 5, No. 4, 897-905 ( 1995 ) " A Set of Extensions to the SIMAN/ARENA Simulation Environment " [with M. J. Torres]. Proceedings of the 1995 Winter Simulation Conference , 285-293 ( 1995 ) " Some New Results on the Initial Transient Problem ". Proceedings of the 1995 Winter Simulation Conference,165-170 ( 1995 ) " Performance Analysis of Future Event
Sets " [with H. Damerdji]. Proceedings of the 1995 Winter Simulation
Conference, 316-321 ( 1995 ) " Accelerated Regeneration for Markov Chain Simulations " [with S. Andradottir and J. M. Calvin]. Probability in the Engineering and Informational Sciences Vol. 9, 497-523 ( 1995 ) " A Martingale Approach to Regenerative Simulation " [with D. L. Iglehart]. Probability in the Engineering and Informational Sciences Vol. 9, 123-131 ( 1995 ) " On the Value of Function Evaluation Location Information in Monte Carlo Simulation " [with T. J. DiCiccio]. Management Science Vol. 41, 733-737 ( 1995 ) " Increasing the Frequency of Regeneration for Markov Processes " [with J. Calvin and S. Andradottir]. Proceedings of the 1994 Winter Simulation Conference, 320-323 ( 1994 ) " Some Topics in Regenerative Steady-State Simulation ". Acta Applicandae Mathematicae Vol. 34, 225-236 ( 1994 ) " On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions " [with P. L’Ecuyer], 11th International Conference on Analysis and Optimization of Systems, Lecture Notes in Control and Information Sciences, Vol 199 , Springer-Verlag, New York, 429-442 ( 1994 ) " Efficiency Improvement Techniques ". The Annals of Operations Research Vol. 53, 175-198 ( 1994 ) " Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State " [with P. L’Ecuyer]. Management Science Vol. 40,1562-1578 ( 1994 ) " Stochastic Optimization by Simulation:
Numerical Experiments with the M/M/1 Queue in Steady-State "
[with P. L’Ecuyer and N. Giroux]. Management Science Vol. 40)
1245-1261 ( 1994 ) " Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems " [with M. Nakayama and A. Goyal]. Operations Research Vol. 42 , 137-157 ( 1994 ) " Efficient Estimation of the Mean Time Between Failures in Non-regenerative Dependability Models " [with P. Heidelberger, V. Nicola, and P. Shahabuddin]. Proceedings of the 1993 Winter Simulation Conference , 311-316 ( 1993 ) " Conditions for the Applicability of the Regenerative Method " [with D.L. Iglehart]. Management Science Vol. 39, 1108-1111 ( 1993 ) " Fast Simulation of Steady-State Availability in Non-Markovian Highly Dependable Systems " [with V. Nicola, P. Shahabuddin, and P. Heidelberger]. Proceedings of the 23rd International Symposium on Fault-Tolerant Computing, IEEE Computer Society Press, 38-47 ( 1993 ) " Estimating Customer and Time Averages " [with B. Melamed and W. Whitt]. Operations Research Vol. 41, 400-408 ( 1993 ) PDF " Experimental Results for Gradient Estimation and Optimization of a Markov Chain in Steady-State "[with P. L’Ecuyer and N. Giroux]. Proceedings of the 1990 Vienna Conference on Computationally Intensive Methods in Simulation and Optimization, Lecture Notes in Economics and Mathematical Systems, No. 374, 14-23 ( 1992 ) " Gradient Estimation for Regenerative Processes " [with P. Glasserman]. Proceedings of the 1992 Winter Simulation Conference, 280-288 ( 1992 ) " Jackknifing Under a Budget Constraint [with P. Heidelberger]. ORSA Journal on Computing Vol. 4 , 226-234 ( 1992 ) " Stationarity Detection in the Initial Transient Problem " [with S. Asmussen and H. Thorisson]. ACM Transactions on Modeling and Computer Simulation Vol. 2, 130-157 ( 1992 ) " Pathwise Convexity and its Relation to Convergence of Time-Average Derivatives ". Management Science Vol. 38, 1360-1366 ( 1992 ) " Experiments with Initial Transient Deletion for Parallel, Replicated Steady-State Simulations " [with P. Heidelberger]. Management Science Vol. 3, 400-418 ( 1992 ) " The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations " [with W. Whitt]. Annals of Applied Probability Vol. 2, 180-198 ( 1992 ) " The Asymptotic Efficiency of Simulation Estimators " [with W. Whitt]. Operations Research Vol. 40, 505-520 ( 1992 ) " Analysis of Initial Transient Deletion for Parallel Steady-State Simulations " [with P. Heidelberger]. SIAM J. Scientific Stat. Computing Vol. 13, 904-922 ( 1992 ) " A GSMP Formalism for Discrete Event Systems ". In Discrete Event Dynamic Systems [Yu-Chi Ho, ed.]. IEEE Press, Piscataway, NJ (1992) " A Unified Framework for Simulating Markovian Models of Highly Dependable Systems " [with A. Goyal, P. Shahabuddin, P. Heidelberger, V.F. Nicola]. IEEE Transactions on Computers Vol. 41, 36-51 ( 1992 ) " Analysis of Parallel, Replicated Simulations
Under a Completion Time Constraint " [with P. Heidelberger].
ACM Transactions on Modeling and Simulation Vol.1, 3-23 ( 1991 )
" Estimating the Asymptotic Variance with Batch Means " [with W. Whitt]. Operations Research Letters Vol. 10, 431-435 ( 1991 ) " Analysis of Initial Transient Deletion for Replicated Steady-State Simulations " [with P. Heidelberger]. Operations Research Letters Vol. 10, 437-443 ( 1991 ) " Gradient Estimation for Ratios " with P. L’Ecuyer and M. Ades]. Proceedings of the 1991 Winter Simulation Conference, 986-993 ( 1991 ) " Decomposition and Parallel Processing Techniques for Large Scale Electric Power System Planning Under Uncertainty " [with M. Avriel and G.B. Dantzig]. Proceedings of NSF Workshop on Resource Planning Under Uncertainty, 3-34 ( 1990 ) " Likelihood Ratio Gradient Estimation for Stochastic Systems ". Communications of the ACM Vol. 33, 75-84 ( 1990 ) " Bias Properties of Budget Constrained Monte Carlo Simulations " [with P. Heidelberger]. Operations Research Vol. 38, 801-814 ( 1990 ) " Discrete-time Conversion for Simulating Finite-Horizon Markov Processes " [with B.L. Fox]. SIAM J. Appl. Math. Vol. 50, 1457-1473 ( 1990 ) " Simulation Output Analysis Using Standardized Time Series " [with D.L. Iglehart]. Mathematics of Operations Research Vol. 15, 1-16 ( 1990 ) " Replication Schemes for Limiting Expectations " [with B.L. Fox]. Probability in the Engineering and Informational Sciences Vol. 3, 299-318 ( 1989 ) " Importance Sampling for Stochastic Simulation " [with D.L. Iglehart]. Management Science Vol. 35, 1367-1392 ( 1989 ) " Estimating Discounted Costs " [with B.L. Fox]. Management Science Vol. 35, 1297-1325 ( 1989 ) " The Optimal Linear Combination of Control Variates in the Presence of Bias " [with D.L. Iglehart]. Naval Research Logistics Vol. 36, 683-692 ( 1989 ) " A GSMP Formalism for Discrete-Event Systems ". Proceedings of the IEEE Vol. 77, 14-23 ( 1989 ) " Indirect Estimation via L = lW " [with W. Whitt]. Operations Research Vol. 37, 82-103 ( 1989 ) " Likelihood Ratio Derivative Estimators for Stochastic Systems ". Proceedings of the 1989 Winter Simulation Conference, 374-380 ( 1989 ) " Optimization of Stochastic Systems via Simulation ". Proceedings of the 1989 Winter Simulation Conference, 90-105 ( 1989 ) " Variance Reduction in Mean Time to Failure Simulations " [with P. Shahabuddin, V. Nicola, P. Heidelberger, A. Goyal]. Proceedings of the 1988 Winter Simulation Conference, 491-500 ( 1988 ) " Computational and Statistical Issues in Discrete-Event Simulation [with D.L. Iglehart]. Proceedings of the 34th Conference on the Design of Experiments in Army Research Development and Testing, 265-280 ( 1988 ) " A Non-Rectangular Sampling Plan for Estimating Steady-State Means ". Proceedings of the 6th Army Conference on Applied Mathematics and Computing, 965-978 ( 1988 ) " A New Class of Strongly Consistent Estimators for Steady-State Simulations " [with D.L. Iglehart]. Stochastic Processes and their Applications Vol. 28, 71-80 ( 1988 ) " Conditions under which a Markov Chain
Converges in Finite Time " [with D.L. Iglehart]. Probability
in the Engineering and Informational Sciences Vol. 2, 377-382 (
1988 ) " A Joint Central Limit Theorem for the Sample Mean and Regenerative Variance Estimator " [with D.L. Iglehart]. Annals of Operations Research Vol. 8, 41-55 ( 1987 ) " Limit Theorems for the Method of Replication ". Stochastic Models Vol. 4, 343-350 ( 1987 ) " Estimating Time Averages via Randomly-Spaced Observations " [with B.L. Fox]. SIAM J. Appl. Math. Vol. 47, 186-200 ( 1987 ) " Likelihood Ratio Gradient Estimation: An Overview ". Proceedings of the 1987 Winter Simulation Conference, 366-375 ( 1987 ) " A New Initial Bias Deletion Rule " [with D.L. Iglehart]. Proceedings of the 1987 Winter Simulation Conference, 318-319 ( 1987 ) " Monte Carlo Optimization of Stochastic Systems: Two New Approaches " [with J.L. Sanders]. Proceedings of the 1986 ASME Conference on Computers in Engineering Vol. 2, 219-223 ( 1986 ) " Sensitivity Analysis for Stationary Probabilities of a Markov Chain ". Proceedings of the 4th Army Conference on Applied Mathematics and Computing, 917-932 ( 1986 ) " Problems in Bayesian Analysis of Stochastic Simulation ". Proceedings of the 1986 Winter Simulation Conference, 376-379 ( 1986 ) " Optimization of Stochastic Systems ". Proceedings of the 1986 Winter Simulation Conference, 52-59 ( 1986 ) " Stochastic Approximation for Monte Carlo Optimization ". Proceedings of the 1986 Winter Simulation Conference, 356-365 ( 1986 ) " Estimation of Steady-State Central Moments by the Regenerative Method of Simulation " [with D.L. Iglehart]. Operations Research Letters Vol. 5, 271-276 ( 1986 ) " Recursive Moment Formulas for the Regenerative Method of Simulation [with D.L. Iglehart] In Semi-Markov Models [J. Janssen, ed.]. Plenum Press, New York, 99-110 ( 1986 ) " Discrete-Time Conversion for Simulating Semi-Markov Processes " [with B.L. Fox]. Operations Research Letters Vol. 5, 191-196 ( 1986 ) " Regenerative Structure of Markov Chains Simulated via Common Random Numbers ". Operations Research Letters Vol. 4, 49-53 ( 1985 ) " Large-Sample Theory for Standardized Times Series: An Overview " [with D.L. Iglehart]. Proceedings of the 1985 Winter Simulation Conference, 129-134 ( 1985 ) " Steady-State Confidence Interval Methodology: Regenerative Methods " [with D.L. Iglehart]. Proceedings of the 1984 Winter Simulation Conference, 248-249 ( 1984 ) " Some Asymptotic Formulas for Markov Chains with Applications to Simulation. Journal of Statistical Computation and Simulation Vol. 19, 97-112 ( 1984 ) " On Confidence Intervals for Cyclic Regenerative Processes ". Operations Research Letters Vol. 2, 66-71 ( 1983 ) " On the Role of Generalized Semi-Markov Processes in Simulation Output Analysis ". Proceedings of the 1983 Winter Simulation Conference, 38-42 ( 1983 ) " Simulation Output Analysis for General
State Space Markov Chains " [with D.L. Iglehart]. Proceedings
of the ORSA-TIMS Special Interest Meeting on Applied Probability-Computer
Science, The Interface , 71-87 ( 1982 ) |
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| School of Engineering | Stanford University |