- wsc24wafom.pdf
P. L'Ecuyer, Y. Cherkanihassani, M. Derkaoui,
``Pre-Scrambled Digital Nets for Randomized Quasi-Monte Carlo,''
Proceedings of the 2024 Winter Simulation Conference, forthcoming, 2024.
- glrrn.pdf
Y. Peng, M. C. Fu, J.-Q. Hu, P. L'Ecuyer, and B. Tuffin,
``A Generalized Likelihood Ratio Method for Stochastic Models with Uniform Random Numbers As Inputs,''
European Journal of Operations Research, to appear, 2024.
Free direct access for limited time.
- encystat-rng-2024.pdf
P. L'Ecuyer,
``Uniform Random Number Generators'',
draft revision for International Encyclopedia of Statistical Science, second edition,
Lovric, Miodrag (Ed.), Springer-Verlag, 2024.
- encystat-randvar-2024.pdf
P. L'Ecuyer,
``Non-Uniform Random Variate Generation'',
draft revision for International Encyclopedia of Statistical Science, second edition,
Lovric, Miodrag (Ed.), Springer-Verlag, 2024.
- mcqmc2022sss.pdf
R. El Haddad, C. Lécot, and P. L'Ecuyer,
``Simple stratified sampling for simulating multi-dimensional Markov chains,''
Monte Carlo and Quasi-Monte Carlo Methods: MCQMC 2022,
A. Hinrichs, P. Kritzer, F. Pillichshammer eds., Springer-Verlag, 2024, 313-331.
- book.pdf
P. L'Ecuyer,
`` Stochastic Simulation and Monte Carlo Methods,''
Partial draft of a forthcoming book, 2023.
- qmc-points-format-2023.pdf
P. L'Ecuyer,
``Proposal for a standard file format for lattice rules and digital nets,''
draft discussion paper, April 2023.
- wsc23boot.pdf
P. L'Ecuyer, M. Nakayama, A. B. Owen, and B. Tuffin,
``Confidence Intervals for Randomized Quasi-Monte Carlo Estimators,''
Proceedings of the 2023 Winter Simulation Conference, IEEE Press, 2023, 445-456.
- median-lattice.pdf
T. Goda and P. L'Ecuyer,
``Construction-free median quasi-Monte Carlo rules for function spaces
with unspecified smoothness and general weights,''
SIAM Journal on Scientific Computing, 44, 4 (2022), A2765-A2788.
https://arxiv.org/abs/2201.09413.
- wsc22logistic.pdf
T. A. Ta, T. Mai, F. Bastin, and P. L’Ecuyer,
``A Logistic Regression and Linear Programming Approach for Multiskill Staffing Optimization
in Call Centers,'' Proceedings of the 2022 Winter Simulation Conference, IEEE Press, 2022, 3087-3098.
- wsc22lrde.pdf
F. Puchhammer and P. L'Ecuyer,
``Likelihood Ratio Density Estimation for Simulation Models,''
Proceedings of the 2022 Winter Simulation Conference, IEEE Press, 2022, 109-120.
- density-cde.pdf
P. L'Ecuyer, F. Puchhammer, and A. Ben Abdellah,
``Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning,''
INFORMS Journal on Computing, 34, 3 (2022), 1729--1748.
Latest version on arXiv.
Online Supplement.
- rqmc-policy-learning
S. M. R. Arnold, P. L'Ecuyer, L. Chen, Y.-F. Chen, and F. Sha,
``Policy Learning and Evaluation with Randomized Quasi-Monte Carlo,''
Proceedings of The 25th International Conference on Artificial Intelligence and Statistics (AISTAT),
Proceedings of Machine Learning Research, vol. 131, 2022.
See also here.
- gpu-random.pdf
Ruoyong Xu, Patrick Brown, and Pierre L'Ecuyer,
``A tool set for random number generation on GPUs in R,'' submitted, 2022,
https://arxiv.org/abs/2201.06604.
- glr-cmc-qmc.pdf
Y. Peng, M. C. Fu, J.-Q. Hu, P. L'Ecuyer, and B. Tuffin,
``Variance Reduction for Generalized Likelihood Ratio Method By
Conditional Monte Carlo and Randomized Quasi-Monte Carlo Methods,''
Journal of Management Science and Engineering, 7, 4 (2022), 550-577.
- mcqmc20density.pdf
P. L'Ecuyer and F. Puchhammer,
``Density Estimation by Monte Carlo and Quasi-Monte Carlo,''
Monte Carlo and Quasi-Monte Carlo Methods 2020, A. Keller, Ed., Springer-Verlag, 3-21, 2022.
- mcqmc20latnet.pdf
P. L'Ecuyer, P. Marion, M. Godin, and F. Puchhammer,
``A Tool for Custom Construction of QMC and RQMC Point Sets,''
Monte Carlo and Quasi-Monte Carlo Methods 2020, A. Keller, Ed., Springer-Verlag, 51-70, 2022.
- pmc-gs-maxflow.pdf
Z. I. Botev, P. L'Ecuyer, and B. Tuffin,
``Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities,''
Under revision.
- delay-dist-forecast.pdf
M. Thiongane, W. Chan, and P. L'Ecuyer,
``Learning-Based Prediction of Conditional Waiting Time Distributions in Multiskill Call Centers,''
in Operations Research and Entreprise Systems, G. H. Parlier, F. Liberatore, and M. Demange, eds,
Springer International Publishing, 83-106, 2022.
- wsc21rng.pdf
P. L'Ecuyer, O. Nadeau-Chamard, Y.-F. Chen, and J. Lebar,
``Multiple Streams with Recurrence-Based, Counter-Based, and Splittable Random Number Generators,''
Proceedings of the 2021 Winter Simulation Conference, invited paper, IEEE Press, 2021, 1-16.
- wsc21glr.pdf
Y. Peng, M. C. Fu, J.-Q. Hu, P. L'Ecuyer, and B. Tuffin,
``Variance Reduction for Generalized Likelihood Ratio Method in Quantile Sensitivity Estimation,''
Proceedings of the 2021 Winter Simulation Conference, 2021.
- arqmc-tau-leaping.pdf
F. Puchhammer, A. Ben Abdellah, and P. L'Ecuyer,
``Variance Reduction with Array-RQMC for Tau-Leaping Simulation of
Stochastic Biological and Chemical Reaction Networks,''
Bulletin of Mathematical Biology, 83, 91, (2021).
- ssa-2stage-decomp.pdf
T. A. Ta, W. Chan, F. Bastin, and P. L’Ecuyer,
``A Simulation-based Decomposition Approach for Two-stage Staffing Optimization in
Call Centers under Arrival Rate Uncertainty,''
European Journal of Operations Research, 293, 3 (2021), 966-979.
Online access.
- density-rqmc.pdf
A. Ben Abdellah, P. L'Ecuyer, A. B. Owen, and F. Puchhammer,
``Density Estimation by Randomized Quasi-Monte Carlo,''
SIAM Journal on Uncertainty Quantification, 9, 1 (2021), 280–301.
- ssa-2stage-convergence.pdf
T. A. Ta, T. Mai, F. Bastin, and P. L’Ecuyer,
``On a multistage discrete stochastic optimization problem with
stochastic constraints and nested sampling,''
Mathematical Programming, 190, 1-37, 2021.
Online access.
- MCQMC 2018 Book
B. Tuffin and P. L'Ecuyer, Editors,
Monte Carlo and Quasi-Monte Carlo Methods (MCQMC) 2018, 539 pages, Springer, 2020.
The Book in a .pdf file
- wsc20-qcmcrqmc.pdf
M. K. Nakayama, Z. T. Kaplan, B. Tuffin, and P. L'Ecuyer,
``Quantile Estimation via a Combination of Conditional Monte Carlo and Randomized Quasi-Monte Carlo,''
Proceedings of the 2020 Winter Simulation Conference, IEEE Press, 2020, 301-312.
- statsref-rqmc-2020.pdf
P. L'Ecuyer,
``Randomized Quasi-Monte Carlo,''
Wiley StatsRef: Statistics Reference Online, Article 08240, 2020.
- splitting-cond-sampling.pdf
Z. I. Botev and P. L'Ecuyer,
``Sampling Conditionally on a Rare Event via Generalized Splitting,''
INFORMS Journal on Computing, 32, 4 (2020), 986-995.
Supplementary material
- tvalue.pdf
P. Marion, M. Godin, and P. L'Ecuyer,
``An algorithm to compute the t-value of a digital net and of its projections'',
Journal of Computational and Applied Mathematics, volume 371, paper 112669, June 2020.
Online access.
Last version on arXiv.
- delay-predictors-conf-2020
M. Thiongane, W. Chan, and P. L'Ecuyer,
``Delay Predictors in Multi-skill Call Centers: An Empirical Comparison with Real Data,''
Proceedings of the International Conference on Operations Research and Enterprise Systems (ICORES) 2020, 100-108.
Online access.
- mcqmc2018-sudoku.pdf
R. El Haddad, J. El Maalouf, C. Lécot, P. L'Ecuyer,
``Sudoku Sampling for Markov Chains Simulation'',
Monte Carlo and Quasi-Monte Carlo Methods 2018, Springer, 2020, 207-230.
- mixmax-lattice.pdf
P. L'Ecuyer, P. Wambergue, and E. Bourceret,
``Spectral Analysis of the MIXMAX Random Number Generators,''
INFORMS Journal of Computing, 32, 1 (2020), 135-144.
Online access.
- wsc19arqmc.pdf
A. Ben Abdellah, P. L'Ecuyer, F. Puchhammer,
``Array-RQMC for Option Pricing Under Stochastic Volatility Models,''
Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 2019, 440-451.
- mcm17coagul.pdf
C. Lécot, P. L'Ecuyer, R. El Haddad, and A. Tarhini,
``Quasi-Monte Carlo simulation of coagulation-fragmentation'',
Mathematics and Computers in Simulation, 161 (2019), 113-124.
Online access.
- mcm17-introduction-to-special-issue.pdf
P. L'Ecuyer, ``Editorial Introduction to the Special Issue on MCM2017'',
Mathematics and Computers in Simulation, 161 (2019), 1.
Online access.
- wsc18split-cond.pdf
P. L'Ecuyer, Z. I. Botev, and D. P. Kroese,
``On a Generalized Splitting Method for Sampling from a Conditional Distribution,''
Proceedings of the 2018 Winter Simulation Conference, IEEE Press, 2018, 1694-1705.
- wsc18bursts.pdf
P. L'Ecuyer, K. Gustavssom, and L. Olsson,
``Modeling Bursts in the Arrival Process to an Emergency Call Center,''
Proceedings of the 2018 Winter Simulation Conference, IEEE Press, 2018, 525-536.
Finalist for best applied paper.
- wsc18lasso.pdf
Z. I. Botev, Y.-L. Chen, P. L'Ecuyer, S. McNamara, and D. P. Kroese,
``Exact Posterior Simulation from the Linear Lasso regression,''
Proceedings of the 2018 Winter Simulation Conference, IEEE Press, 2018, 1706-1717.
Finalist for best theoretical paper.
- truncated-normal-book-chapter.pdf
Z. I. Botev and P. L'Ecuyer,
``Simulation from the Tail of the Univariate and Multivariate Normal Distribution,'' chapter 8
in Systems Modeling: Methodologies and Tools, Book Series on Innovations in Communications and Computing,
A. Puliafito and K. Trivedi Eds, Springer, 2018.
- mcm2015-arrayrqmc.pdf
P. L'Ecuyer, D. Munger, C. Lécot, and B. Tuffin,
``Sorting Methods and Convergence Rates for Array-RQMC: Some Empirical Comparisons'',
Mathematics and Computers in Simulation 143 (2018), 191-201.
Online access.
- mcqmc16tutorial-paper.pdf
P. L'Ecuyer,
``Randomized Quasi-Monte Carlo: An Introduction for Practitioners'',
invited tutorial, in Monte Carlo and Quasi Monte Carlo Methods: MCQMC 2016,
P. W. Glynn and A. B. Owen, Eds., Springer, 2018, 29-52.
- search-neut.pdf
P. L'Ecuyer, P. Maillé, N. Stier-Moses, and B. Tuffin,
``Non-Neutrality of Search Engines and its Impact on Innovation'',
Internet Technology Letters, 1, 1, 2017, doi = 10.1002/itl2.10,
Online access.
- wsc17rng-history.pdf
P. L'Ecuyer,
``History of Uniform Random Number Generation,''
Proceedings of the 2017 Winter Simulation Conference, invited paper, 2017, 202-230.
- wsc17lognormal.pdf
Z. I. Botev and P. L'Ecuyer,
``Accurate Computation of the Right Tail of the Sum of Dependent Lognormal Variates,''
Proceedings of the 2017 Winter Simulation Conference, 2017, 1880--1890.
- pagerank.pdf
P. L'Ecuyer, P. Maillé, N. Stier-Moses, and B. Tuffin,
``Revenue-Maximizing Rankings for Online Platforms with Quality-Sensitive Consumers'',
Operations Research, 65, 2 (2017), 408-423.
Online access.
- parallel-rng-imacs.pdf
P. L'Ecuyer, D. Munger, B. Oreshkin, and R. Simard,
``Random Numbers for Parallel Computers: Requirements and Methods,''
Mathematics and Computers in Simulation, 135, (2017), 3-17.
Open Online access.
- vt16truncnormal.pdf
Z. Botev and P. L'Ecuyer,
``Simulation from the Normal Distribution Truncated to an Interval in the Tail,''
Proceedings of ValueTools 2016.
- mosim16emergency.pdf
T. A. Ta, P. L'Ecuyer, and F. Bastin,
``Staffing Optimization with Chance Constraints for Emergency Call Centers,''
Processings of MOSIM 2016: the 11th International Conference on Modeling, Optimization and Simulation,
2016.
- wsc16staffing.pdf
W. Chan, T. A. Ta, P. L'Ecuyer, and F. Bastin,
``Two-stage chance-constrainted staffing with agent recourse for
multi-skill call centers,''
Proceedings of the 2016 Winter Simulation Conference, IEEE Press, 2016, 3189-3200.
- wsc16delay.pdf
M. Thiongane, W. Chan, and P. L'Ecuyer,
``New History-Based Delay Predictors for Service Systems,''
Proceedings of the 2016 Winter Simulation Conference, IEEE Press, 2016, 425-436.
- netecon16-neutrality.pdf
P. L'Ecuyer, P. Maillé, N. Stier-Moses, and B. Tuffin,
``Search (Non-)Neutrality and Impact on Innovation,''
Proceedings of NetEcon 2016:
The 11th Workshop on the Economics of Networks, Systems and Computation, 2016.
- arrival-rates-pg.pdf
B. N. Oreshkin, N. Régnard, and P. L'Ecuyer,
``Rate-Based Daily Arrival Process Models with Application to Call Centers'',
Operations Research, 64, 2 (2016), 510-525.
Online access.
- latbuilder.pdf
P. L'Ecuyer and D. Munger,
``Algorithm 958: LatticeBuilder: A General Software Tool for Constructing Rank-1 Lattice Rules'',
ACM Transactions on Mathematical Software, 42, 2 (2016), Article 15.
Online access.
- arrivals-survey15.pdf
R. Ibrahim, H. Ye, P. L'Ecuyer, and H. Shen,
``Modeling and Forecasting Call Center Arrivals: A Literature Survey'',
International Journal of Forecasting, 32, 3 (2016), 865-874.
Online access.
- split-static-mo.pdf
Z. I. Botev, P. L'Ecuyer, R. Simard, and B. Tuffin,
``Static Network Reliability Estimation under the Marshall-Olkin Copula,''
ACM Transactions on Modeling and Computer Simulation, 26, 2 (2016), Article 14.
- agent-dependent-service.pdf
R. Ibrahim, P. L'Ecuyer, H. Shen, and M. Thiongane,
``Inter-Dependent, Heterogeneous, and Time-Varying Service-Time Distributions in Call Centers'',
European Journal of Operations Research, 250 (2016), 480-492.
Online access.
- wsc15rng.pdf
P. L'Ecuyer,
``Random Number Generation with Multiple Streams for Sequential and Parallel Computers,''
invited advanced tutorial,
Proceedings of the 2015 Winter Simulation Conference, IEEE Press, 2015, 31-44.
- wsc15delay.pdf
M. Thiongane, W. Chan, and P. L'Ecuyer,
``Waiting Time Predictors for Multiskill Call Centers,''
Proceedings of the 2015 Winter Simulation Conference, IEEE Press, 2015, 3073-3084.
- wsc15student.pdf
Z. I. Botev and P. L'Ecuyer,
``Efficient Estimation and Simulation of the Truncated Multivariate Student-t Distribution,''
Proceedings of the 2015 Winter Simulation Conference, IEEE Press, 2015, 380-391.
- clrng-api.pdf
P. L'Ecuyer, D. Munger, and N. Kemerchou,
``clRNG: A Random Number API with Multiple Streams for OpenCL,''
technical report (user guide), 2015.
- gerber-chopin-comment.pdf
P. L'Ecuyer,
``Discussion of "Sequential Quasi-Monte-Carlo Sampling" by M. Gerber and N. Chopin,''
Journal of the Royal Statistical Society, Series B, 77, part 3 (2015), 565--566.
Paper discussed: https://arxiv.org/abs/1402.4039
- statsref14.pdf
P. L'Ecuyer,
``Random Number Generation and Quasi-Monte Carlo,''
in Wiley StatsRef: Statistics Reference Online, John Wiley, 2014.
Online access
- wsc14network-flow.pdf
Z. I. Botev, S. Vaisman, R. Y. Rubinstein, and P. L'Ecuyer,
``Reliability of Stochastic Flow Networks with Continuous Link Capacities,''
Proceedings of the 2014 Winter Simulation Conference, IEEE Press, 2014, 543--552.
- wsc14staff.pdf
W. Chan, T. A. Ta, P. L'Ecuyer, and F. Bastin,
``Chance-Constrained Staffing with Recourse for Multi-Skill Call Centers with Arrival-Rate Uncertainty,''
Proceedings of the 2014 Winter Simulation Conference, IEEE Press, 2014, 4103--4104.
- https://cp2014.a4cp.org/
M. Pelleau, L.-M, Rousseau, P. L'Ecuyer, W. Zegal, and L. Delorme,
``Scheduling agents using forecast call arrivals at Hydro-Quebec's call centers'',
Proceedings of the 20th International Conference on Principles and Practice of Constraint Programming (CP 2014),
Lyon, France, Lectures Notes in Computer Science, Vol. 8656, B. O'Sullivan (Ed.), 2014, 862-869.
Online access.
- retail-sched.pdf
N. Chapados, M. Joliveau, P. L'Ecuyer, and L.-M. Rousseau,
``Retail Store Scheduling for Profit'',
European Journal of Operations Research, 239, 3 (2014), 609-624.
Online access.
- weightrouting.pdf
W. Chan, G. Koole, and P. L'Ecuyer,
``Dynamic Call Center Routing Policies Using Call Waiting and Agent Idle Times,''
Manufacturing and Service Operations Management, 16, 4 (2014), 544-560.
Online access
Supplementary material.
- deng-mrg2.pdf
P. L'Ecuyer and R. Simard,
``On the Lattice Structure of a Special Class of Multiple Recursive Random Number Generators'',
INFORMS Journal on Computing, 26, 2 (2014), 449-460.
Online access.
- static-rel-zerovar2.pdf
B. Tuffin, S. Saggadi, and P. L'Ecuyer,
``An Adaptive Zero-Variance Importance Sampling Approximation for Static Network Dependability Evaluation'',
Computers and Operations Research, 45 (2014), 51--59.
Online access.
-
Z. Botev, P. L'Ecuyer, and B. Tuffin,
``Modeling and Estimating Small Unreliabilities for Static Networks with Dependent Components'',
Proceedings of SNA&MC 2013: Supercomputing in Nuclear Applications and Monte Carlo, Paris, 2014,
Online access, paper 03306.
-
P. L'Ecuyer, S. Saggadi, and B. Tuffin,
``An Adaptive Zero-Variance Importance Sampling Approximation for Static Network Dependability Evaluation'',
Proceedings of SNA&MC 2013: Supercomputing in Nuclear Applications and Monte Carlo, Paris, 2014,
Online access, paper 03305.
- wsc13challenges.pdf
C. M. Macal, P. L'Ecuyer, S. Chick, B. L. Nelson, S. Brailsford, and S. Taylor,
``Grand Challenges in Modeling and Simulation: An OR/MS Perspective'',
Proceedings of the 2013 Winter Simulation Conference, IEEE Press, 2013, 1269-1282.
-
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, 2013,
Chapter 958, pages 1256--1263.
Online access.
- handbook13-ce.pdf
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, 2013, Chapter 3, pages 35-59.
online access .
-
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,
89, 6 (2013), 722--734.
online access .
- fase13.pdf
A. Bouchoucha, H. Sahraoui, and P. L'Ecuyer,
``Towards Understanding the Behavior of Classes Using Probabilistic Models of Program Inputs,''
Proceedings of the 16th International Conference on Fundamental Approaches to Software Engineering (FASE),
V. Cortellessa and D. Varro (Eds.), Lecture Notes in Computer Science 7793, pages 99-113, Springer-Verlag, 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 access.
- 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 access.
-
P. L'Ecuyer and R. Simard, ``TestU01: A Software Library in ANSI C for Empirical Testing
of Random Number Generators: User’s Guide, compact version'', 219 pages, 2013.
Online access.
- 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.
- 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, pages 430-441.
- 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, pages 373-384.
- 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, pages 256-267.
-
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.
- handstat2.pdf
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.
Entire Handbook.
- 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.
- 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.
- 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.
Online entry access.
Entire Encyclopedia.
-
P. L'Ecuyer,
``Non-Uniform Random Variate Generation'',
in International Encyclopedia of Statistical Science,
Lovric, Miodrag (Ed.), Springer-Verlag, 2011, Part 14, 991--995.
Online entry access.
Entire Encyclopedia.
-
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,
``American 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.
Online access. .
- 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.
Additional material (online supplement).
-
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'',
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.
- MCQMC 2008 Book
P. L'Ecuyer and A. B. Owen, Editors,
Monte Carlo and Quasi-Monte Carlo Methods 2008, 672 pages,
Springer-Verlag, 2009.
- 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,''
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.
- is-rare07.pdf
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.
- splitting-rare07.pdf
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-jos.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.
Online access
- 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.
The data for the large example is available
here.
- 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.
- 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.
- 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'',
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'',
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.
-
P. L'Ecuyer and R. Simard, ``TestU01: A Software Library in ANSI C for Empirical Testing
of Random Number Generators: User’s Guide, compact version'', 2007. Updated in 2013.
Online access.
- 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.
- wellrng.pdf
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, IEEE Press, 2005, 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.pdf
A. 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.
- eoas2004.pdf
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.
Online access
- P. L'Ecuyer,
``Quasi-Monte Carlo Methods for Simulation'',
Proceedings of the 2003 Winter Simulation Conference, IEEE Press, 2003, 81-89.
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, IEEE Press, 2003, 319-326.
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, IEEE Press, 2003, 1805-1812.
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 and R. Simard, ``TestU01: A Software Library in ANSI C for Empirical Testing
of Random Number Generators: User’s Guide'', 2003.
Updated in 2005, 2007, 2009, 2013.
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
- rqmc-survey-2002.pdf
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.
Online access
- 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.
Online access
- 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.
- guide-latmrg-m2.pdf
P. L'Ecuyer and R. Couture, ``LatMRG User’s Guide:
A Modula-2 software for the theoretical analysis
of linear congruential and multiple recursive random number generators'', 2000.
- guide-simod-2000.pdf
P. L'Ecuyer, ``SIMOD-99: Définition fonctionnelle et guide d'utilisation'',
DIRO, Université de Montréal, Jan. 2000.
- wsc99finance.pdf
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.
Online access
- 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 (with corrections): latrules99Errata.pdf
- combmrg2.pdf
P. L'Ecuyer,
``Good Parameter Sets for Combined Multiple Recursive
Random Number Generators'', Shorter version in Operations Research, 47,
1 (1999), 159--164.
Online access ;
The C code.
- wsc98rng.pdf
P. L'Ecuyer,
``Uniform Random Number Generators'',
Proceedings of the 1998 Winter Simulation Conference,
IEEE Press, Dec. 1998, 97--104.
- wsc98lattice.pdf
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.
- 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'',
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.
- wsc97rng.pdf
P. L'Ecuyer,
``Uniform Random Number Generators: A Review'', Proceedings of the 1997
Winter Simulation Conference,
IEEE Press, Dec. 1997, 127--134.
- 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.
- latmrg-accepted.pdf
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 access
- mwc.ps
R. Couture and P. L'Ecuyer,
``Distribution Properties of Multiply-with-Carry Random Number
Generators'',
Mathematics of Computation, 66 (1997) 591--607.
- badlac.ps
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
- expdes.ps
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.
- fthres.ps
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.
- combmrg1.pdf
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.
- composm.ps
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.
- wsc96atm.pdf
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.
- wsc95mcw.pdf
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.
- wsc94vrt.pdf
P. L'Ecuyer,
``Efficiency Improvement and Variance Reduction'',
Proceedings of the 1994 Winter Simulation Conference, Dec. 1994,
122--132.
- wsc94tutrng.pdf
P. L'Ecuyer,
``Recent Advances in Uniform Random Number Generation'',
Proceedings of the 1994 Winter Simulation Conference, Dec. 1994,
122--132.
- tutaor-1994.pdf
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.
Online Access
- intercha.pdf
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.
Online access
- wsc93funcgrad.pdf
P. L'Ecuyer,
``Two Approaches for Estimating the Gradient in Functional Form'',
Proceedings of the 1993 Winter Simulation Conference, dec 1993,
338--346.
- 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
- wsc92test.pdf
P. L'Ecuyer,
``Testing Random Number Generators'',
Proceedings of the 1992 Winter Simulation Conference, dec 1992,
305--313.
- wsc92awc.pdf
S. Tezuka and P. L'Ecuyer,
``Analysis of Add-with-Carry and Subtract-with-Borrow Generators'',
Proceedings of the 1992 Winter Simulation Conference, dec 1992,
443-447.
- ssderiv.pdf
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.
-
M. Breton and P. L'Ecuyer, ``Approximate Solutions to
Continuous Stochastic Games'',
in Lecture Notes in Control and Information Sciences 56:
Differential Games, Developments in Modelling and Computation,
edited by R. P. Hamalainen and H. Ehtamo, Springer-Verlag, 1992, 257--264.
Online access
Also available in
Cahier du GERAD G-90-25
- wsc91deriv.pdf
P. L'Ecuyer,
``An Overview of Derivative Estimation'',
Proceedings of the 1991 Winter Simulation Conference, dec 1991,
207--217.
- wsc91deriv2.pdf
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.
- wsc91ratios.pdf
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
- ipalr90.pdf
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.
- 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.
- sgames.pdf
M. Breton and P. L'Ecuyer,
``Noncooperative Stochastic Games Under a N-stage Local Contraction Assumption'',
Stochastics, 26 (1989), 227--245.
- wsc89rng.pdf
P. L'Ecuyer, ``A Tutorial on Uniform Variate Generation'',
1989 Winter Simulation Conference Proceedings, Dec. 1989, 40--49.
- wsc89nlin.pdf
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.
- wsc88mrg.pdf
P. L'Ecuyer and F. Blouin,
``Linear Conguential Generators of Order $k>1$'', Proceedings of the 1988 Winter
Simulation
Conference, 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.
Also available in
Cahier du GERAD G-88-08
- 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.
- checkpoints88.pdf
P. L'Ecuyer and J. Malenfant,
``Computing Optimal Checkpointing Strategies for Rollback and Recovery
Systems'',
IEEE Trans. on Computers, 37 (1988), 491--496.
Online access.
- cacm88.pdf P. L'Ecuyer,
``Efficient and Portable Combined Random Number Generators'',
Communications of the ACM, 31 (1988), 742--749 and 774.
- dedp88.pdf
P. L'Ecuyer and A. Haurie,
``Discrete Event Dynamic Programming with Simultaneous Events'',
Mathematics of Operations Research, 13 (1988), 152--163.
Online access.
Prepublication as
Cahier du GERAD G-87-30
- 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.
- rapport-sentiers.pdf
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.
- guide-bongcl.pdf
P. L'Ecuyer and F. Blouin, ``BonGCL: Un logiciel pour la recherche
de bons générateurs à congruence linéaire'',
Report no. DIUL-RT-8803, 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.
- ratchet87.pdf
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.
- repair87.pdf
P. L'Ecuyer and A. Haurie,
``The Repair vs Replacement Problem: A Stochastic Control Approach'',
Optimal Control Applications and Methods, 8 (1987), 219--230.
Prepublication as
Cahier du GERAD G-86-05
- wsc87simod.pdf
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.
- approx86.pdf
A. Haurie and P. L'Ecuyer, ``Approximation and Bounds in Discrete
Event Dynamic Programming'',
IEEE Trans. on Automatic Control, AC-31 (1986), 227--235.
- wsc86rng.pdf
P. L'Ecuyer, ``Efficient and Portable 32-bit Random Variate
Generators'',
1986 Winter Simulation Conference Proceedings, Dec. 1986,
275--277.
- transfer85.pdf
``Computing Transfer Lines Performance Measures Using Dynamic
Programming'', Computers and Industrial Engineering,
9, 4 (1985), 387--393.
- taxincentive85.pdf
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.
Preprint in 1983:
Cahier du GERAD G-83-25
- opportunistic83.pdf
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.
Preprint in 1981:
Cahier du GERAD G8114.pdf
- 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.
- P. L'Ecuyer, ``Processus de décision markoviens à étapes discrètes:
application à des problèmes de remplacement d'équipement'',
Ph.D. thesis, DIRO, Université de Montréal,
submitted in December 1982, accepted after the defense in April 1983.
Full text available here:
Cahier du GERAD G8306.pdf
- preven82.pdf
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.
- P. L'Ecuyer,
``Politiques Optimales et Sous-Optimales pour le Remplacement des Composantes
d'un Système'', Mémoire de maitrise / M.Sc. Thesis, submitted in November 1980.
Available here:
Cahier du GERAD G-80-05 .
- 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.
This was also the very first Cahier du GERAD, number G-80-01, available here:
Cahier du GERAD G-80-01.pdf