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AUTHOR="P. Acworth and M. Broadie and P. Glasserman",
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EDITOR = {P. Hellekalek and G. Larcher and H. Niederreiter
and P. Zinterhof},
PUBLISHER={Springer-Verlag},
ADDRESS={New York},
SERIES={Lecture Notes in Statistics},
VOLUME={127},
YEAR={1998},
PAGES={1--18} }
@ARTICLE {vAHA06a,
AUTHOR={I. Ahamed and V. S. Borkar and S. Juneja},
YEAR={2006},
TITLE="Adaptive Importance Sampling for {M}arkov Chains using Stochastic Approximation",
JOURNAL={Operations Research},
VOLUME={54},
NUMBER={3},
PAGES={489--504} }
@INPROCEEDINGS {vAKI01a,
AUTHOR="O. Akin and J. K. Townsend",
TITLE="Efficient Simulation of {TCP/IP} Networks Characterized by
Non-Rare Events Using {DPR}-Based Splitting",
PAGES = {1734--1740},
BOOKTITLE={Proceedings of {IEEE Globecom}},
YEAR={2001} }
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journal = {Probability in the Engineering and Informational Sciences},
year = {1992},
volume = {6},
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pages = {99--118}
}
@Article{vALE93a,
author = {C. Alexopoulos and G. S. Fishman},
title = {Sensitivity Analysis in Stochastic Flow Networks Using the {M}onte {C}arlo method},
journal = {Networks},
year = {1993},
volume = {23},
number = {},
pages = {605--621}
}
@ARTICLE {vALE01a,
AUTHOR="C. Alexopoulos and B. C. Shultes",
YEAR={2001},
TITLE="Estimating Reliability Measures for Highly-Dependable
{M}arkov Systems, Using Balanced Likelihood Ratios",
JOURNAL={{IEEE} Transactions on reliability},
VOLUME={50},
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PAGES={265--280} }
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AUTHOR="W. A. Al-Qaq and M Devetsikiotis and K. R. Townsend",
YEAR={1993},
TITLE="Importance Sampling Methodologies for Simulation of
Communication Systems with Adaptive Equalizers and
Time-Varying Channels",
JOURNAL={IEEE Journal on Selected Areas in Communications},
VOLUME={11},
PAGES={317--327} }
@article{vAMR11a,
author = {M. Amrein and H. K\"unsch},
title = {A Variant of Importance Splitting for Rare Event Estimation:
Fixed Number of Successes},
pages = {Article 12},
year = {2011},
volume = {21},
number = {2},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
}
@ARTICLE {vANA92a,
AUTHOR="V. Anantharam",
YEAR={1992},
TITLE="On Fast Simulation of the Time to Saturation of
Slotted {ALOHA}",
JOURNAL={Journal of Applied Probability},
VOLUME={29},
PAGES={682--690} }
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author = {I. J. Andr\'easson and G. Dahlquist},
title = {Groups of antithetic transformations in simulation},
institution = {Royal Institute of Technology},
year = {1972},
address = {Stockholm, Sweden},
note = {Technical Report NA 72.57},
OPTannote = {}
}
@TechReport{vAND72b,
author = {I. J. Andr\'easson},
title = {Combinations of antithetic methods in simulation},
institution = {Royal Institute of Technology},
year = {1972},
address = {Stockholm, Sweden},
note = {Technical Report NA 72.49},
OPTannote = {}
}
@ARTICLE {vAND93a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
YEAR={1993},
TITLE="Variance Reduction Through Smoothing and Control Variates
for {M}arkov Chain Simulations",
JOURNAL={ACM Transactions on Modeling and Computer Simulation},
VOLUME={3},
NUMBER={3},
PAGES={167--189} }
@ARTICLE {vAND95a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
YEAR={1995},
TITLE="On the Choice of Alternative Measures in
Importance Sampling with {M}arkov Chains",
JOURNAL={Operations Research},
VOLUME={43},
NUMBER={3},
PAGES={509--519} }
@ARTICLE{vAND95b,
AUTHOR = {S. Andrad\'ottir and J. M. Calvin and P. W. Glynn},
TITLE = {Accelerated regeneration for {M}arkov chain simulations},
YEAR = {1995},
JOURNAL = {Probability in the Engineering and Informational Sciences},
VOLUME = {9},
PAGES = {497-523} }
@ARTICLE {vAND96a,
AUTHOR="S. Andrad\'ottir and D. P. Heyman and T. J. Ott",
TITLE="Potentially Unlimited Variance Reduction
in Importance Sampling of {M}arkov Chains",
JOURNAL={Advances in Applied Probability},
YEAR={1996},
VOLUME = {28},
PAGES = {166-188} }
@inproceedings{vAND09a,
author = {C. Andrieu, A. Doucet and R. Holenstein},
title = {Particle {M}arkov Chain {M}onte {C}arlo for Efficient Numerical Simulation},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {45--60},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@inproceedings{vARN22a,
title={Policy Learning and Evaluation with Randomized Quasi-{Monte Carlo}},
author={Arnold, S\'ebastien M. R. and L'Ecuyer, Pierre and Chen, Liyu and Chen, Yi-fan and Sha, Fei},
year={2022},
booktitle={Proceedings of The 25th International Conference on Artificial Intelligence and Statistics},
volume={131},
series={Proceedings of Machine Learning Research},
publisher={PMLR},
}
@ARTICLE {vARV82a,
AUTHOR="N. I. Arvidsen and T. Johnsson",
YEAR={1982},
TITLE="Variance Reduction Through Negative Correlation,
a Simulation Study",
JOURNAL={Journal of Statistical and Computer Simulation},
VOLUME={15},
PAGES={119--127} }
@ARTICLE {vASM90a,
AUTHOR="S. Asmussen",
YEAR={1990},
TITLE="Exponential Families and Regression in the {M}onte {C}arlo
Study of Queues and Random Walks",
JOURNAL={Annals of Statistics},
VOLUME={18},
PAGES={1851--1867} }
@ARTICLE {vASM94a,
AUTHOR="S. Asmussen",
YEAR={1994},
TITLE="Busy Period Analysis, Rare Events, and Transient
Behaviour in Fluid Models",
JOURNAL={Journal of Applied Mathematics and Stochastic Analysis},
NOTE={To appear} }
@Article{vASM94b,
author = {S. Asmussen and R. Y. Rubinstein and C. L. Wang},
title = {Regenerative Rare Events Simulation via Likelihood Ratios},
journal = {Journal of Applied Probability},
year = {1994},
volume = {31},
pages = {797--815},
OPTannote = {}
}
@InCollection{vASM95a,
author = {S. Asmussen and R. Rubinstein},
title = {Complexity Properties of Steady-State Rare Events
Simulation in Queueing Models},
booktitle = {Advances in Queueing: Theory, Methods, and Open Problems},
publisher = {CRC Press},
year = {1995},
editor = {J. Dshalalow},
OPTaddress = {},
pages = {429--462},
OPTannote = {}
}
@incollection {vASM96a,
author = {S. Asmussen},
title = {Rare Events in the Presence of Heavy Tails},
booktitle = {Stochastic Networks: Stability and Rare Events},
editor = {P. Glasserman, K. Sigman, and D. D. Yao},
publisher = {Springer-Verlag},
address = {New York},
volume = {117},
pages = {197--214},
year = {1996},
series = {Lecture Notes in Statistics}
}
@Article{vASM97a,
author = {S. Asmussen and K. Binswanger},
title = {Simulation of ruin probabilities for subexponential claims},
journal = {{ASTIN} Bulletin},
year = {1997},
volume = {27},
number = {2},
pages = {297--318},
}
@Article{vASM00a,
author = {S. Asmussen and K. Binswanger and B. H{\o}jgaard},
title = {Rare events simulations for heavy-tailed distributions},
journal = {Bernoulli},
year = {2000},
volume = {6},
OPTnumber = {},
pages = {303--322},
}
@inproceedings {vASM02a,
AUTHOR = "S. Asmussen",
TITLE = {Large Deviations in Rare Events Simulation:
Examples, Counterexamples, and Alternatives},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
pages = {1--9},
year = {2002},
editor = {K.-T. Fang and F. J. Hickernell and H. Niederreiter},
address = {Berlin},
publisher = {Springer-Verlag},
}
@article{vASM18a,
author={Asmussen, S.},
title={Conditional {Monte Carlo} for sums, with applications to insurance and finance},
journal={Annals of Actuarial Science},
OPTpublisher={Cambridge University Press},
OPTdoi={10.1017/S1748499517000252},
year={2018},
volume={12},
number={2},
pages={455--478}}
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AUTHOR="S.-K. Au and J. L. Beck",
YEAR={2001},
TITLE="Simulation of Small Failure Probabilities in High Dimensions
by Subset Simulation",
JOURNAL={Probabilistic Engineering Mechanics},
VOLUME={16},
PAGES={263--277} }
@ARTICLE {vAU16a,
AUTHOR="S.-K. Au",
YEAR={2016},
TITLE="On {MCMC} Algorithm for Subset Simulation",
JOURNAL={Probabilistic Engineering Mechanics},
VOLUME={43},
PAGES={117--120} }
@ARTICLE {vAVR91a,
AUTHOR="A. N. Avramidis and K. W. {Bauer Jr.} and J. R. Wilson",
YEAR={1991},
TITLE="Simulation of Stochastic Activity Networks Using
Path Control Variates",
JOURNAL={Journal of Naval Research},
VOLUME={38},
PAGES={183--201} }
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AUTHOR="A. N. Avramidis and J. R. Wilson",
YEAR={1993},
TITLE="A Splitting Scheme for Control Variates",
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VOLUME={14},
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AUTHOR="A. N. Avramidis and J. R. Wilson",
TITLE="Integrated Variance Reduction Strategies for Simulation",
JOURNAL={Operations Research},
YEAR = {1996},
VOLUME = {44},
PAGES = {327-346} }
@ARTICLE {vAVR98a,
AUTHOR="A. N. Avramidis and J. R. Wilson",
TITLE="Correlation-Induction Techniques for Estimating Quantiles
in Simulation Experiments",
JOURNAL={Operations Research},
YEAR = {1998},
VOLUME = {46},
number = {4},
PAGES = {574--591} }
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AUTHOR="K. Baggerly and D. Cox and R. Picard",
TITLE="Exponential Convergence of Adaptive Importance Sampling for {M}arkov Chains",
JOURNAL={Journal of Applied Probability},
YEAR = {2000},
VOLUME = {37},
number = {2},
PAGES = {342--358} }
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author = {J. Barraquand},
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{E}uropean Securities},
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year = {1995},
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volume = {41},
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OPTmonth = {},
pages = {1882--1891},
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OPTannote = {}
}
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author = {O. Bardou and N. Frikha and G. Pag\`es},
title = {Recursive Computation of Value-at-Risk and Conditional
Value-at-Risk using {MC} and {QMC}},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {193--208},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
@PHDTHESIS {vBAU87a,
AUTHOR="K. W. {Bauer Jr.}",
YEAR={1987},
TITLE="Control-Variate Selection for Multiresponse Simulation",
SCHOOL={School of Industrial Engineering, Purdue University},
ADDRESS={West Lafayette, Indiana} }
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AUTHOR="K. W. {Bauer Jr.} and J. R. Wilson",
YEAR={1992},
TITLE="Control-Variate Selection Criteria",
JOURNAL={Naval Research Logistics},
VOLUME={39},
PAGES={307--321} }
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AUTHOR="A. J. Bayes",
YEAR={1972},
TITLE="A Minimum Variance Technique for Simulation Models",
JOURNAL={Journal of the {ACM}},
VOLUME={19},
PAGES={734--741} }
@ARTICLE {vBEC99a,
AUTHOR = {B. Beck and A. R. Dabrowski and D. R. McDonald},
TITLE = {A Unified Approach to Fast Teller Queues and {ATM}},
YEAR = {1999},
JOURNAL = {Journal of Applied Probability},
VOLUME = {31},
PAGES = {758-787} }
@Article{vBEN95a,
author = {K. {Ben Letaief}},
title = {Performance Analysis of Digital Lightwave Systems
Using Efficient Computer Simulation Techniques},
journal = {{IEEE} Transactions on Communications},
year = {1995},
volume = {43},
pages = {240--251},
OPTannote = {}
}
@Article{vBEN04a,
old = {vBEN03a},
author = {H. Ben-Ameur and P. L'Ecuyer and C. Lemieux},
title = {Combination of General Antithetic Transformations
and Control Variables},
journal = {Mathematics of Operations Research},
year = {2004},
volume = {29},
number = {4},
pages = {946--960},
OPTannote = {}
}
@article{vBEN19a,
author = {A. {Ben Abdellah} and P. L'Ecuyer and A. Owen and F. Puchhammer},
title = {Density estimation by Randomized Quasi-{Monte Carlo}},
journal = {SIAM Journal on Uncertainty Quantification},
year = {2019},
volume = {9},
number = {1},
pages = {280--301},
Xnote = {Manuscript, \url{arXiv:1807.06133}}
}
@InProceedings{vBEN19b,
author = "A. {Ben Abdellah} and P. L'Ecuyer and F. Puchhammer",
title = "{Array-RQMC} for Option Pricing Under Stochastic Volatility Models",
booktitle = {Proceedings of the 2019 Winter Simulation Conference},
OPTeditor = {},
year = {2019},
Xeditors = {N. Mustafee and K.-H.G. Bae and S. Lazarova-Molnar
and M. Rabe and C. Szabo and P. Haas and Y.-J. Son},
publisher = {IEEE Press},
pages = {440--451},
note = {},
url={https://www.informs-sim.org/wsc19papers/429.pdf}
}
@article{vBEN21a,
old = {vBEN19a},
author = {A. {Ben Abdellah} and P. L'Ecuyer and A. Owen and F. Puchhammer},
title = {Density estimation by Randomized Quasi-{Monte Carlo}},
journal = {SIAM Journal on Uncertainty Quantification},
year = {2021},
volume = {9},
number = {1},
pages = {280--301},
OPTnote = {\url{arXiv:1807.06133}}
}
@PHDTHESIS {vBEN21t,
old = {vBEN19t},
AUTHOR="A. {Ben Abdellah}",
YEAR={2021},
TITLE="Randomized Quasi-{Monte Carlo} Methods for Density
Estimation and Simulation of Markov Chains",
SCHOOL={DIRO, Universit\'e de Montr\'eal},
ADDRESS={Montr\'eal, Canada},
xNOTE={}
}
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author = {J. H. Blanchet and P. W. Glynn},
title = {Strongly efficient estimators for light-tailed sums},
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Performance Evaluation Methodologies and Tools},
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year = {2006},
address = {Pisa, Italy},
publisher = {{ACM} Publications},
}
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author = {J. H. Blanchet and P. W. Glynn and J. C. Liu},
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pages = {154--161},
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author = {J. H. Blanchet and C. Li},
title = {Notes on Importance Sampling for Geometric Sums},
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pages = {172--181},
year = {2006},
editor = {W. Sandmann},
address = {Bamberg, Germany},
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}
@unpublished{vBLA07a,
author = {J. H. Blanchet and P. W. Glynn},
title = {Efficient rare-event simulation for the maximum of a
random walk with heavy-tailed increments},
note = {Manuscript},
year = {2007},
OPTaddress = {},
}
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author = {J. H. Blanchet and K. Leder and P. W. Glynn},
title = {Efficient simulation of light-tailed sums:
an old folk song sung to a faster new tune},
note = {Manuscript},
year = {2008},
OPTaddress = {},
}
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new = {vBLA06a},
author = {J. H. Blanchet and P. W. Glynn},
title = {Building Strongly Efficient Estimators for Light-Tailed Sums},
note = {Manuscript},
year = {2006},
OPTaddress = {},
}
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author = {J. H. Blanchet and P. W. Glynn and J. C. Liu},
YEAR={2007},
TITLE="Fluid Heuristics, {L}yapunov Bounds, and Efficient Importance Sampling
for a Heavy-Tailed {$G/G/1$} Queue",
JOURNAL={Queueing Systems},
VOLUME={57},
PAGES={99--113} }
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AUTHOR = {J. Blanchet and M. Mandjes},
TITLE={Rare Event Simulation for Queues},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 5},
PAGES = {87--124}
}
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AUTHOR = {J. Blanchet and D. Rudoy},
TITLE={Rare Event Simulation and Counting Problems},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 8},
PAGES = {171--192}
}
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author = {J. H. Blanchet and K. Leder and P. W. Glynn},
title = {Efficient Simulation of Light-Tailed Sums:
an Old-Folk Song Sung to a Faster New Tune...},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2008},
pages = {227--248},
year = {2009},
editor = {P. L'Ecuyer and A. B. Owen},
address = {Berlin},
publisher = {Springer-Verlag},
}
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author = {J. H. Blanchet and C. Li},
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pages = {Article 9},
year = {2011},
volume = {21},
number = {2},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
}
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title = "Rare Event Simulation Techniques",
booktitle = {Proceedings of the 2011 Winter Simulation Conference},
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publisher = {IEEE Press},
pages = {146--160},
OPTannote = {}
}
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pages = {Article 13},
year = {2012},
volume = {22},
number = {3},
journal = {{ACM} Transactions on Modeling and Computer Simulation},
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}
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AUTHOR = {H. A. P. Blom and G. J. Bakker and J. Krystul and
M. H. C. Everdij and B. K. Obbink and M. B. Klompstra},
TITLE = {Sequential {M}onte {C}arlo simulation of collision risk
in free flight air traffic},
INSTITUTION = {Project {HYBRIDGE IST-2001-32460}},
xNOTE = {Deliverable 9.4, available at
\url{http://hosted.nlr.nl/public/hosted-sites/hybridge/}},
YEAR = {2005}
}
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AUTHOR = {H. A. P. Blom and G. J. Bakker and J. Krystul},
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System with Air Traffic Application},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 9},
PAGES = {193--214}
}
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YEAR={2002},
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booktitle = {Proceedings of the 2004 Winter Simulation Conference},
year = {2004},
publisher = {IEEE Press},
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}
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author = {N. Bolia and S. Juneja},
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year = {2005},
publisher = {IEEE Press},
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pages = {1876--1883},
OPTannote = {}
}
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AUTHOR="M.-C. Bonneau",
TITLE={Accelerated Simulation of a Leaky Bucket Controller},
school={Department of Mathematics and Statistics,
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YEAR={1996} }
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author = "T. E. Booth",
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journal = "Transactions of the American Nuclear Society",
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}
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author = "T. E. Booth and J. S. Hendricks",
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year = {1984},
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pages = {90--100}
}
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author = "T. E. Booth",
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Sampled Splitting",
year = {1985},
journal = "Nuclear Science and Engineering",
volume = {89},
pages = {305--309}
}
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author = "T. E. Booth",
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year = {1985},
journal = "Transactions of the American Nuclear Society",
volume = {50},
pages = {267--268}
}
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author = "T. E. Booth",
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booktitle = {Proceedings of the 1987 Winter Simulation Conference},
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publisher = {IEEE Press},
pages = {445--451},
OPTannote = {}
}
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author = "T. E. Booth and S. P. Pederson",
title = "Unbiased Combinations of Nonanalog {M}onte {C}arlo Techniques and Fair Games",
year = {1992},
journal = "Nuclear Science and Engineering",
volume = {110},
pages = {254--261}
}
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author = "T. E. Booth",
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of Several Correlated Means",
year = {1998},
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pages = {199--202}
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year = {2000},
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}
@InProceedings{vBOO00b,
AUTHOR ="T. E. Booth",
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Constrained {M}onte {C}arlo},
booktitle = {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 1998},
pages = {1--15},
year = {2000},
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address = {Berlin},
publisher = {Springer-Verlag},
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}
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author = "T. E. Booth",
title = "An approximate {M}onte {C}arlo adaptive importance sampling method",
year = {2001},
journal = "Nuclear Science and Engineering",
volume = {138},
number = {1},
pages = {96--103}
}
@INCOLLECTION {vBOO09a,
AUTHOR = {T. Booth},
TITLE={Particle Transport Applications},
BOOKTITLE={Rare Event Simulation Using {Monte Carlo} Methods},
EDITOR={G. Rubino and B. Tuffin},
PUBLISHER={Wiley},
YEAR={2009},
note = {Chapter 10},
PAGES = {215--242}
}
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author = "Z. I. Botev and D. P. Kroese",
title = "Efficient {M}onte {C}arlo Simulation via the Generalized Splitting Method",
year = {2012},
journal = "Statistics and Computing",
OPTurl = {http://dx.doi.org/10.1007/s11222-010-9201-4},
volume = {22},
number = {1},
pages = {1--16}
}
@article{vBOT11a,
new = {vBOT13a},
author = "Z. I. Botev and P. L'Ecuyer and G. Rubino and R. Simard and B. Tuffin",
title = "Static Network Reliability Estimation Via Generalized Splitting",
year = {2012},
journal = "INFORMS Journal on Computing",
OPTurl = {},
OPTvolume = {},
OPTnumber = {},
note = {to appear},
OPTpages = {}
}
@article{vBOT11b,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "{Markov} Chain Importance Sampling with Application to Rare Event Probability Estimation",
year = {2013},
journal = "Statistics and Computing",
OPTurl = {},
volume = {25},
number = {1},
Xnote = {to appear; see \url{http://www.springerlink.com/content/p23x5452045r3786/fulltext.pdf}},
pages = {56--71}
}
@InProceedings{vBOT11c,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "An Importance Sampling Method Based on the One-Step Look-Ahead Density From a Markov Chain",
booktitle = {Proceedings of the 2011 Winter Simulation Conference},
OPTeditor = {},
year = {2011},
publisher = {IEEE Press},
pages = {528--539},
OPTannote = {}
}
@InProceedings{vBOT12a,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Dependent Failures in Highly-Reliable Static Networks",
booktitle = {Proceedings of the 2012 Winter Simulation Conference},
OPTeditor = {},
year = {2012},
publisher = {IEEE Press},
pages = {430--441},
Xnote = {paper inv250}
}
@article{vBOT12b,
author = "Z. I. Botev and D. P. Kroese",
title = "Efficient {M}onte {C}arlo Simulation via the Generalized Splitting Method",
year = {2012},
journal = "Statistics and Computing",
OPTurl = {http://dx.doi.org/10.1007/s11222-010-9201-4},
volume = {22},
number = {1},
pages = {1--16}
}
@article{vBOT13a,
author = "Z. I. Botev and P. L'Ecuyer and G. Rubino and R. Simard and B. Tuffin",
title = "Static Network Reliability Estimation Via Generalized Splitting",
year = {2013},
journal = "INFORMS Journal on Computing",
OPTurl = {},
volume = {25},
number = {1},
pages = {56--71}
}
@article{vBOT13c,
old = {vBOT11b},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "{Markov} Chain Importance Sampling with Application to Rare Event Probability Estimation",
year = {2013},
journal = "Statistics and Computing",
volume = {25},
number = {1},
Xnote = {\url{http://www.springerlink.com/content/p23x5452045r3786/fulltext.pdf}},
pages = {56--71}
}
@InProceedings{vBOT14a,
author = "Z. I. Botev and S. Vaisman and R. Y. Rubinstein and P. L'Ecuyer",
title = "Reliability of Stochastic Flow Networks with Continuous Link Capacities",
booktitle = {Proceedings of the 2014 Winter Simulation Conference},
OPTeditor = {},
year = {2014},
publisher = {IEEE Press},
pages = {543--552},
Xnote = {}
}
@inproceedings{vBOT14b,
old={vBOT13b},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Modeling and Estimating Small Unreliabilities for Static Networks with Dependent Components",
year = {2014},
booktitle = "Proceedings of SNA\& MC 2013: Joint International Conference on
Supercomputing in Nuclear Applications and Monte Carlo",
editor = {D. Caruge and C. Calvin and C. M. Diop and F. Malvagi and J.-C. Trama},
DOI= "10.1051/snamc/201403306",
pages = {03306}
}
@article{vBOT16m,
old = {vBOT15m},
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Static Network Reliability Estimation under the {Marshall-Olkin} Copula",
year = {2016},
journal = "ACM Transactions on Modeling and Computer Simulation",
volume = {26},
number = {2},
pages = {Article 14, 28 pages},
XXnote = {PMC, GS, splitting},
}
@InProceedings{vBOT17l,
author = "Z. I. Botev and P. L'Ecuyer",
title = "Accurate Computation of the Right Tail of the Sum of Dependent Lognormal Variates",
booktitle = {Proceedings of the 2017 Winter Simulation Conference},
OPTeditor = {},
year = {2017},
publisher = {IEEE Press},
pages = {1880--1890},
}
@InProceedings{vBOT18a,
author = "Z. I. Botev and Y.-L. Chen and P. L'Ecuyer and S. McNamara and D. P. Kroese",
title = "Exact Posterior Simulation from the Linear Lasso regression",
booktitle = {Proceedings of the 2018 Winter Simulation Conference},
OPTeditor = {},
year = {2018},
publisher = {IEEE Press},
pages = {1706--1717},
}
@article{vBOT18f,
author = "Z. I. Botev and P. L'Ecuyer and B. Tuffin",
title = "Reliability Estimation for Networks with Minimal Flow Demand
and Random Link Capacities",
year = {2018},
Xjournal = "",
Xvolume = {},
Xnumber = {},
Xpages = {},
note = {See \url{https://hal.inria.fr/hal-01745187}},
}
@InCollection{vBOT19b,
author = "Z. I. Botev and P. L'Ecuyer",
title = "Simulation from the Tail of the Univariate and Multivariate Normal Distribution",
booktitle = {Systems Modeling: Methodologies and Tools,
EIA/Springer Innovations in Communication and Computing},
editor = {A. Puliafito and K. Trivedi},
year = {2019},
note = {Chapter 8},
publisher = {Springer},
pages = {115--132},
}
@article{vBOT20a,
author = "Z. I. Botev and P. L'Ecuyer",
title = "Sampling Conditionally on a Rare Event via Generalized Splitting",
journal = "INFORMS Journal on Computing",
volume = {32},
number = {4},
year = {2020},
pages = {986--995}
}
@InProceedings{vBOY95a,
author = {P. Boyle and M. Broadie and P. Glasserman},
title = {Recent Advances in Simulation for Security Pricing},
booktitle = {Proceedings of the 1995 Winter Simulation Conference},
OPTeditor = {C. Alexopoulos and K. Kang and W. R. Lilegdon and
D. Goldsman},
year = {1995},