References
Index
Confidence Intervals
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- Daniel Dufresne, Concepts
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- Harold J. Larson, Introduction to the Theory of Statistics, John
Wiley & Sons, New York, 1973.
- Averill M. Law and W. David Kelton, Simulation Modeling & Analysis,
Second Edition, McGraw-Hill, Inc., 1991.
- Sheldon M. Ross, Simulation, Second Edition, Academic Press, Boston,
1997.
Variance Reduction Methods
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Phelim Boyle, Mark Broadie,
Paul Glasserman, "Monte Carlo Methods for Security Pricing", manuscript.
-
Paul Bratley, Bennett L. Fox, Linus E. Schrage, A Guide to Simulation,
Second Edition, Springer-Verlag New York Inc., 1987.
-
Daniel Dufresne,
Concepts
de probabilité, un document Postscript, 1997.
-
Pierre L'Ecuyer, "
Efficiency
Improvement and Variance Reduction", Proceedings 1994 Winter Simulation
Conference, December 1994.
-
P. L'Ecuyer and Y.
Champoux, "
Importance Sampling for Large ATM-Type Queueing Networks", Proceedings
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-
Averill M. Law and W. David Kelton, Simulation Modeling & Analysis,
Second Edition, McGraw-Hill, Inc., 1991.
-
Christiane Lemieux, "L'Évaluation
des Options Asiatiques", Mémoire de maîtrise, Université
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M. D. McKay, R. J. Beckman and W. J. Conover, "A Comparison of Three Methods
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Frédéric Michaud, "Estimating the Probability of Ruin for
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Sheldon M. Ross, Simulation, Second Edition, Academic Press, Boston,
1997.
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Michael Stein, "Large Sample Properties of Simulations using Latin Hypercube
Sampling", Technometrics, Vol. 29, No 2, May 1987.
-
F.J.Vázquez-Abad, ``Pathwise
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Generation of Random Variables
-
Paul Bratley, Bennett L. Fox, Linus E. Schrage, A Guide to Simulation,
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George E. Forsythe, "Von Neumann's Comparison Method for Random Sampling
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Averill M. Law and W. David Kelton, Simulation Modeling & Analysis,
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Bryan Ripley, Statistical Simulation, ? , 1987.
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Sheldon M. Ross, Simulation, Second Edition, Academic Press, Boston,
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Optimization: the Discrete Case
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Wei-Bo Gong, Yu-Chi Ho and Wengang Zhai, "Stochastic Comparison Algorithm
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Y.C. Ho, R.S. Sreenivas and P. Vakili, "Ordinal Optimization of DEDS",
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-
Tze-Leung Lai and Sid Yakowitz, "Machine Learning and Nonparametric Bandit
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Sheldon M. Ross, Simulation, Second Edition, Academic Press, Boston,
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A. Shapiro, "
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Leyuan Shi and Sigurdun Ólafsson, "Nested
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Leyuan Shi, Sigurdun Ólafsson and Ning Sun, "New
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Leyuan Shi and Sigurdun Ólafsson, "Convergence
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Sid Yakowitz and M. Kollier, "Machine Learning for Optimal Blackjack Counting
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Functional Estimation
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J. P. Dussault, D. Labrecque, P.
L'Ecuyer, and R. Y. Rubinstein, "Combining the Stochastic Counterpart
and Stochastic Approximation Methods", Cahier du GERAD, G-95-32, June 1995.
-
Kevin J. Healy and Yanqi Xu, "Simulation Based Retrospectives Approaches
to Stochastic System Optimization",1994.
-
William J. Hill and William G. Hunter, "A Review of Response Surface Methodology:
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Yu-Chi Ho, Leyuan Shi, Liyi Dai and Wei-Bo Gong, "Optimizing Discrete Event
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pp. 99-120, 1992.
-
Sheldon Jacobson and Lee W. Schruben, "Techniques for Simulation Response
Optimization", Operations Research Letters, 8, pp.1-9, 1989.
-
P. L'Ecuyer and F.
Vázquez-Abad, "
Functional Estimation with Respect to a Threshold Parameter via Dynamic
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vol 7, No. 1: 69-92, 1997.
-
P. L'Ecuyer,
"
Two Approaches for Estimating the Gradient in Functional Form", Proceedings
of the 1993 Winter Simulation Conference, dec 1993, 338-346.
-
Benoit Martin, "Estimation
fonctionelle dans le cadre de politiques de remplacement dans un système
à plusieurs composantes", Mémoire de maîtrise,
Université de Montréal, juin 1996.
-
Raymond H. Myers, "Response Surface Methodology", Allyn and Bacon, Inc.,
1971.
-
Dennis E. Smith, "An Empirical Investigation of Optimum-Seeking in the
Computer Simulation Situation", 1971.
-
Sid Yakowitz, "A Globally Convergent Stochastic Approximation",SIAM
Journal on Control and Optimization, Vol. 32, No 1, pp. 30-40, January
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-
Sid Yakowitz, Thusitha Jayawardena and Shu Li, "Theory for Automatic Learning
Under Partially Observed Markov-Dependant Noise", IEEE Transactions
on Automatic Control, Vol. 37, No 9, September 1992.
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Sid Yakowitz and E. Lugosi, "Random Search in the Presence of Noise with
Application to Machine Learning", SIAM Journal on Scientific and Statistical
Computing, Vol. 11, No 4, pp. 702-712, July 1990
-
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.
Gradient-Based Optimization
-
S. Andradóttir, "A Stochastic Approximation Algorithm with Bounded
Iterates", ???, January 1991.
-
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.
-
J. P. Dussault, D. Labrecque, P.
L'Ecuyer, and R. Y. Rubinstein, "Combining the Stochastic Counterpart
and Stochastic Approximation Methods", Cahier du GERAD, G-95-32, June 1995.
-
Y. M. Ermoliev and A. A. Gaivoronski, "Stochastic Quasigradient Methods
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for Optimization of Discrete Event Systems", Submitted to Annals of
operations Research.
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J. Kiefer and J. Wolfowitz, ``Stochastic Estimation
of the Maximum of a Regression Function'', Annals of Mathematical
Statistics, 23, pp.~462-466, 1952.
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H. J. Kushner and F. Vázquez-Abad,
"Stochastic Approximation Methods for Systems over an Infinite Horizon",
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-
H. J. Kushner and G.Yin, Stochastic Approximation Algorithms and Applications,
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-
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,
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-
G. CH. Pflug, "On-Line Optimization of Simulated Markovian Processes",
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-
H. Robbins and S. Monro, "A Stochastic Approximation Method", Annals
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-
F.J.Vázquez-Abad, Cassandras, C.G., Julka, V. ``
Centralized
and Decentralized Asynchronous Optimization of Stochastic Discrete Event
Systems'', to appear in IEEE Transactions on Automatic Control,
1998.
-
F.J.Vázquez-Abad, ``Strong
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Learning'', conditionally accepted in Automatica, 1998.
-
G. Yin and P. L'Ecuyer,
"
Budget-Dependent Convergence Rate of Stochastic Approximation", To
appear in SIAM Journal on Optimization.
-
H. Yan, X.Y.Zhou and G. Yin, "Approximating
an Optimal Production Policy in a Continuous Flow Line: Recurrence and
Asymptotic Properties", to appear in Operations Research.
Sensitivity Analysis
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F. Archetti, A. Gaivoronski and A, Sciomachen, "Sensitivity Analysis and
Optimization of Stochastic Petri Nets", Discrete Event Dynamic Systems:
Theory and Applications 3, 1993, pp. 5-37.
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-
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-
P. L'Ecuyer, "A Unified
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(1992), pp. 173-194.
-
S. Uryasev, "Analytic Perturbation Analisys for DEDS with Discontinuous
Sample-Path Functions", manuscript.
-
F. Vázquez-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.
-
F. Vázquez-Abad
and S. H. Jacobson, "Application of RPA and the Harmonic Gradient Estimators
to a Priority Queueing System", Proceedings of the 1994 Winter
Simulation Conference, pp. 369-376.
-
F.J.Vázquez-Abad, ``Convergence
Rates of the Phantom RPA Estimators for Stationary Sensitivities'',
to be submitted.
-
F.J.Vázquez-Abad, ``Strong
Points of Weak Convergence: A Study Using RPA Gradient Estimation for Automatic
Learning'', conditionally accepted in Automatica, 1998.
-
H. Yan, X.Y.Zhou and G. Yin, "Approximating
an Optimal Production Policy in a Continuous Flow Line: Recurrence and
Asymptotic Properties", to appear in Operations Research.
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