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University of Montreal


Faculty of Arts and Sciences 
Department of Computer Science and Operations Research

Available Papers

Felisa J. Vázquez-Abad, Associate Professor

The following are draft versions (preprint versions which do not correspond to the actual published paper) of the corresponding papers and are available in PostScript (click the paper icon). You are also welcome to see my curriculum vitae.

Gradient Estimation for Discrete Event Systems
Stochastic Optimization
Advanced Simulation Methods
Telecommunications
Transportation
Actuarial and Finance Applications
Manufacturing Applications

Gradient Estimation for Discrete Event Systems

General Theory:

B. Heidergott and F.J. Vázquez-Abad, ``Measure Valued Differentiation for Stochastic Processes: The Finite Horizon Case'', submitted to Advances in Applied Probability.

B. Heidergott and F.J. Vázquez-Abad, ``Measure Valued Differentiation for Stochastic Processes: The Random Horizon Case'', submitted to Advances in Applied Probability.

F.J. Vázquez-Abad (2000) ``A Course on Sensitivity Analysis for Gradient Estimation of DES Performance Measures'', Part I of III, in Discrete Event Systems, Analysis and Control, R. Boel and G. Stremersch Editors, Kluwer Academic Publishers, Boston: 3--28.

F. J. Vázquez-Abad and L. Zubieta, "Generalizations of the surrogate estimation approach for sensitivity analysis", in Proceedings of the 38-th IEEE Conference on Decision and Control, Phoenix Dec, 1999, Edited by IEEE Control Systems Society : 1796-1803.

Mostly Phantoms:

F.J.Vázquez-Abad and S. Jacobson, "Phantom Harmonic Gradient Estimators for Nonpreemptive Priority Queueing Systems", to appear in INFORMS Journal on Computing.

F.J.Vázquez-Abad and P. LeQuoc (2001) ``Sensitivity Analysis for Ruin Probabilities'', The Journal of the Operational Research Society, 52(1): 71-81.

F.J.Vázquez-Abad (2000) ``RPA Pathwise Derivative Estimation of Ruin Probabilities'', Insurance: Mathematics and Economics, No. 26: 269--288.

F. J. Vázquez-Abad and Manuel Cepeda-Jüneman, "The Phantom SPA Method: an Inventrory Problem Revisited", in Proceedings of the Winter Simulation Conference, Phoenix, December 1999, P.~Farrington, H.~Nembhard, D.~Sturrock and G.~Evans, Editors : 1664--1669.

F. J. Vázquez-Abad, "The Case of the Swapping and of the Disappearing Phantoms", invited paper Proceedings of WODES98, Cagliari, August 1998, Edited by The Institute of Electrical Engineers, Great Brittan : 102--107.

Stochastic Optimization

Gradient Based:

F. J. Vázquez-Abad and L. Zubieta, "Distributed stochastic aproximation for adaptive frequency allocation in subway networks", Proceedings of the 39th Conference on Decision and Control, Sydney, Australia, December 2000, Edited by IEEE Control Systems Society: 4729-4734.

F.J.Vázquez-Abad (1999) ``Strong Points of Weak Convergence: A Study Using RPA Gradient Estimation for Automatic Learning'', in Automatica, vol 35, No. 7: 1255--1274.

F.J.Vázquez-Abad and L.G.Mason (1999) ``Decentralized Adaptive Flow Control of High Speed Connectionless Data Networks'', Operations Research, vol 47, No 6 : 928-942.

F.J.Vázquez-Abad, Cassandras, C.G., Julka, V.  (1998) ``Centralized and Decentralized Asynchronous Optimization of Stochastic Discrete Event Systems'', IEEE Transactions on Automatic Control, vol 43, No 5: 631-655.

Functional Estimation and Global Optimization:

S. Yakowitz, P. L'Ecuyer, and F.J.Vázquez-Abad (2000) ``Global Stochastic Optimization with Low-Dispersion Point Sets'', Operations Research, vol 48, No 6 :939-950 .

L'Ecuyer, P., B. Martin and F.J.Vázquez-Abad (1999) ``Functional Estimation for a Multicomponent Age Replacement Model'', American Journal of Mathematical and Management Sciences, vol 19, Nos. 1 & 2, Special issue on Modern Digital Methodology: 135--156.

L'Ecuyer, P., F.J.Vázquez-Abad (1997) ``Functional Estimation with Respect to a Threshold Parameter'', DEDS, Theory and Appl., vol 7 , No. 1: 69-92.

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", Proceeding of WODES'96: International Workshop on Discrete Event Systems, Edinburgh, August 1996: 57-62.

Advanced Simulation Methods

L. Andrew and F.J. Vázquez-Abad (2002) "Filtered Gibbs sampler for estimating blocking probabilities in product form networks", submitted to Wireless and Optical Communications (WOC) 2002, sponsored by IASTED.

F.J.Vázquez-Abad, L. Andrew and D. Everitt (2002) "Estimation of blocking probabilities in cellular networks with dynamic channel assignment", ACM Trans on Modeling and Computer Simulation, special issue on Rare event estimation, vol 11, No 4.

F.J. Vázquez-Abad and L. Andrew, "Filtered Gibbs Sampler for Estimating Blocking Probabilities in WDM Optical Networks'', Proceedings of the 14th European Simulation Multiconference, Ghent, May, 2000, D.Van Landeghem Editor, Published by the Society for Computer Simulation : 548--555.

F. J. Vázquez-Abad and D. Dufresne, "Accelerated Simulation for Pricing Asian Options", invited paper Winter Simulation Conference, Washington, December 1998, D.J. Medeiros, E.F. Watson, J.S. Carson and M.S. Manivannan, Editors : 1493--1500.

Classification by Applications:

Telecommunications:

L. Andrew and F.J. Vázquez-Abad (2002) "Filtered Gibbs sampler for estimating blocking probabilities in product form networks", submitted to Wireless and Optical Communications (WOC) 2002, sponsored by IASTED.

F.J.Vázquez-Abad, L. Andrew and D. Everitt (2002) "Estimation of blocking probabilities in cellular networks with dynamic channel assignment", ACM Trans on Modeling and Computer Simulation, special issue on Rare event estimation, vol 11, No 4.

F.J. Vázquez-Abad and L. Andrew, "Filtered Gibbs Sampler for Estimating Blocking Probabilities in WDM Optical Networks'', Proceedings of the 14th European Simulation Multiconference, Ghent, May, 2000, D.Van Landeghem Editor, Published by the Society for Computer Simulation : 548--555.

F. J. Vázquez-Abad and L. Zubieta, "Generalizations of the surrogate estimation approach for sensitivity analysis", in Proceedings of the 38-th IEEE Conference on Decision and Control, Phoenix Dec, 1999, Edited by IEEE Control Systems Society : 1796-1803.

F.J.Vázquez-Abad and L.G.Mason (1999) ``Decentralized Adaptive Flow Control of High Speed Connectionless Data Networks'', Operations Research, vol 47, No 6 : 928-942.

F.J.Vázquez-Abad, Cassandras, C.G., Julka, V.  (1998) ``Centralized and Decentralized Asynchronous Optimization of Stochastic Discrete Event Systems'', IEEE Transactions on Automatic Control, vol 43, No.5: 631-655.

Transportation:

F. J. Vázquez-Abad and L. Zubieta, "Distributed stochastic aproximation for adaptive frequency allocation in subway networks", Proceedings of the 39th Conference on Decision and Control, Sydney, Australia, December 2000, Edited by IEEE Control Systems Society: 4729-4734.

F. J. Vázquez-Abad and L. Zubieta, "Generalizations of the surrogate estimation approach for sensitivity analysis", in Proceedings of the 38-th IEEE Conference on Decision and Control, Phoenix Dec, 1999, Edited by IEEE Control Systems Society : 1796-1803.

Actuarial and Finance Applications:

F.J.Vázquez-Abad and P. LeQuoc, ``Sensitivity Analysis for Ruin Probabilities'', The Journal of the Operational Research Society, 52(1): 71-81.

F.J.Vázquez-Abad (2000) ``RPA Pathwise Derivative Estimation of Ruin Probabilities'', Insurance: Mathematics and Economics, No. 26: 269--288.

F. J. Vázquez-Abad and D. Dufresne, "Accelerated Simulation for Pricing Asian Options", invited paper Winter Simulation Conference, Washington, December 1998, D.J. Medeiros, E.F. Watson, J.S. Carson and M.S. Manivannan, Editors : 1493--1500.

Manufacturing and Maintenance Applications:

F. J. Vázquez-Abad and Manuel Cepeda-Jüneman, "The Phantom SPA Method: an Inventrory Problem Revisited", in Proceedings of the Winter Simulation Conference, Phoenix, December 1999, P.~Farrington, H.~Nembhard, D.~Sturrock and G.~Evans, Editors : 1664--1669.

F. J. Vázquez-Abad, "The Case of the Swapping and of the Disappearing Phantoms", invited paper Proceedings of WODES98, Cagliari, August 1998, Edited by The Institute of Electrical Engineers, Great Brittan : 102--107.

L'Ecuyer, P., B. Martin and F.J.Vázquez-Abad (1999) ``Functional Estimation for a Multicomponent Age Replacement Model'', American Journal of Mathematical and Management Sciences, vol 19, Nos. 1 & 2, Special issue on Modern Digital Methodology: 135--156.


Felisa J. Vázquez-Abad , vazquez@iro.umontreal.ca