Peter W. Glynn - Publications

2014

Exact Estimation for Equilibrium of Markov Chains

P. W. Glynn and C. Rhee

Unbiased Estimation with Square Root Convergence for SDE Models

C. Rhee and P. W. Glynn

Measuring the Initial Transient: Reflected Brownian Motion

R. J. Wang and P. W. Glynn

On the Marginal Standard Error Rule and the Testing of Initial Transient Deletion Methods

R. J. Wang and P. W. Glynn

Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes

P. W. Glynn and R. J. Wang

2013

On the Dynamics of Semimartingales with Two Reflecting Barriers

M. Philsgard and P. W. Glynn

Large Deviations for the Empirical Mean of an M/M/1 Queue

J. Blanchet, P. W. Glynn, and S. Meyn

The Cross-Entropy Method for Estimation

D. P. Kroese, R. Y. Rubinstein, and P. W. Glynn

On the Convergence of Finite Order Approximations of Stationary Time Series

S. D. Gupta, R. R. Mazumdar, P. W. Glynn

Simulation-based Confidence Bounds for Two-Stage Stochastic Programs

P. W. Glynn and G. Infanger

Limit Theorems for Simulation-based Optimization via Random Search

Y. L. Chia and P. W. Glynn

2012

A New Approach to Unbiased Estimation for SDEs

C. Rhee and P. W. Glynn

On Simulation of Non-Markovian Stochastic Petri Nets with Heavy-Tailed Firing Times

P. W. Glynn and P. J. Haas

Consistency of Multi-dimensional Convex Regression

E. Lim and P. W. Glynn

Fractional Brownian Motion with H < 1/2 As a Limit of Scheduled Traffic

V. F. Araman and P. W. Glynn

On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling

J. Blanchet, P. W. Glynn, and K. Leder

2011

Zero-Variance Importance Sampling Estimators for Markov Process Expectations

H. Awad, P. W. Glynn, and R. Y. Rubinstein

A New Proof of Convergence of MCMC via the Ergodic Theorem

S. Asmussen and P. W. Glynn

On the Transition from Heavy Traffic to Heavy Tails for the M/G/1 Queue: The Regularly Varying Case

M. Olvera-Cravioto, J. H. Blanchet, and P. W. Glynn

Uniform Approximations for the M/G/1 Queue with Subexponential Processing Times

M. Olvera-Cravioto and P. W. Glynn

On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss

X. Zhang and P. W. Glynn

On Exponential Limit Laws for Hitting Times of Rare Sets for Harris Chains and Processes

P. W. Glynn

2010

Wide-sense Regeneration for Harris Recurrent Markov Processes: An Open Problem

P. W. Glynn

A Comparison of Cross-Entropy and Variance Minimization Strategies

J. C. C. Chan, P. W. Glynn and D. P. Kroese

A Regenerative Bootstrap Approach to Estimating the Initial Transient

P. W. Glynn and X. Zhang

Simulation-based Computation of the Workload Correlation Function in a Lévy-driven Queue

P. W. Glynn and M. Mandjes

A Complementarity Framework for Forward Contracting Under Uncertainty

V. Shanbhag, G. Infanger, and P. W. Glynn

Asymptotic Robustness of Estimators in Rare-Event Simulation

P. L'Ecuyer, J. H. Blanchet, B. Tuffin, and P. W. Glynn

How to Generate Uniform Samples on Discrete Sets Using the Splitting Method

P. W. Glynn, A. Dolgin, R. Y. Rubinstein, and R. Vaisman

2009

New Estimators for Parallel Steady-State Simulations

M. Hsieh and P. W. Glynn

How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation

R. Y. Rubinstein and P. W. Glynn

Conditional Limit Theorems for Regulated Fractional Brownian Motion

H. Awad and P. W. Glynn

On Convergence to Stationarity of Fractional Brownian Storage

M. Mandjes, I. Norros, and P. W. Glynn

Rare Event Simulation for a Generalized Hawkes Process

X. Zhang, J. H. Blanchet, K. Giesecke, and P. W. Glynn

Asymptotic Validity of Batch Means Steady-State Confidence Intervals

P. W. Glynn and E. Lim

Robustness Properties and Confidence Interval Reliability

P. W. Glynn, G. Rubino, and B. Tuffin

Strongly Efficent Algorithms for Light-tailed Random Walks: An Old Folk Song Sung to a Faster New Tune

J. H. Blanchet, K. Leder, and P. W. Glynn

2008

Performance Evaluation Methodologies and Tools: Selected papers from ValueTools 2007

P. W. Glynn and B. Tuffin eds.

Efficient Rare-event Simulation for the Maximum of Heavy-tailed Random Walks

J. Blanchet and P. W. Glynn

A Large Deviations View of Asymptotic Efficiency for Simulation Estimators

P. W. Glynn and S. Juneja

Bounding Stationary Expectations of Markov Processes

P. W. Glynn and A. Zeevi

2007

Uniform Renewal Theory with Applications to Expansions of Random Geometric Sums

J. Blanchet and P. W. Glynn

Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue

J. Blanchet, P. W. Glynn, and J. Liu

On the Theoretical Comparison of Low-Bias Steady-State Estimators

H. Awad and P. W. Glynn

A Natural History Model of Stage Progression Applied to Breast Cancer

S. Plevritis, P. Salzman, B. Sigal, and P. W. Glynn

Efficient Sub-Optimal Rare-Event Simulation

X. Zhang, P. W. Glynn, and J. Blanchet

Stochastic Simulation: Algorithms and Analysis

S. Asmussen and P. W. Glynn

Perwez Shahabuddin, 1962-2005: A Professional Appreciation

S. Andradóttir, P. Glasserman, P. W. Glynn, P. Heidelberger, and S. Juneja

2006

The Semi-Regenerative Method of Simulation Output Analysis

J. M. Calvin, P. W. Glynn, and M. Nakayama

Capacity of Finite State Channels Based on Lyapunov Exponents of Random Matrices

T. Holliday, A. Goldsmith, and P. W. Glynn

Complete Corrected Diffusion Approximations for the Maximum of a Random Walk

J. Blanchet and P. W. Glynn

Tail Asymptotics for the Maximum of Perturbed Random Walk

V. Araman and P. W. Glynn

Opportunities and Challenges in Using Online Preference Data for Vehicle Pricing: A Case Study at General Motors

P. Ruusmevichientong , J. A. Salisbury, L. T. Truss, B. Van Roy and P. W. Glynn

A Nonparametric Approach to Multiproduct Pricing

P. Ruusmevichientong, B. Van Roy and P. W. Glynn

Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes

P. W. Glynn and P. Haas

Simulation-based Response Surface Estimation in the Presence of Monotonicity

E. Lim and P. W. Glynn

On an Initial Transient Deletion Rule with Rigorous Theoretical Support

H. Awad and P. W. Glynn

A Stochastic Simulation Model of US Breast Cancer Mortality Trends from 1975 to 2000

S. Plevritis, B. Sigal, P. Salzman, J. Rosenberg, and P. W. Glynn

Simulation Algorithms for Regenerative Processes

P. W. Glynn

2005

Diffusion Approximations for the Maximum of a Perturbed Random Walk

V. Araman and P. W. Glynn

A Diffusion Approximation with a GIGI1 Queue with Balking or Reneging

A. Ward and P. W. Glynn

Interaction Value Analysis: When Structured Communication Benefits Organizations

W. Nasrallah, R.Levitt, and P. W. Glynn

The Initial Transient Problem for Steady-State Output Analysis

P. W. Glynn

Shannon Meets Lyapunov: Connections between Information Theory and Dynamical Systems

T. Holliday, P. W. Glynn, and A. Goldsmith

2004

Empirical Performance of Bias-reducing Estimators for Regenerative Steady-State Simulations

M. Hsieh, D. Iglehart, and P. W. Glynn

Simulation-based Parameter Estimation for Complex Models: A Breast Cancer Natural History Modelling Illustration

Y. Chia, P. Salzman, S. Plevritis, and P. W. Glynn

Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals

D. Duffie and P. W. Glynn

The Mean Number-in-System Vector Range for a Multi-Class Queueing Network

B. C. Eaves, P. W. Glynn, and U.G. Rothblum

Limit Theory for Taboo-Regenerative Processes

P. W. Glynn and H. Thorisson

Estimating Tail Decay for Stationary Sequences via Extreme Values

A. Zeevi and P. W. Glynn

Recurrence Properties of Autoregressive Processes with Super-Heavy-Tailed Innovations

A. Zeevi and P. W. Glynn

Dynamic Modeling of the Trade-off Between Productivity and Safety in Critical Engineering Systems

M.M. Cowing, M.E. Pate-Cornell, and P. W. Glynn

Managing Power Consumption in Networks on Chips

T. Simunic, S. Boyd, and P. W. Glynn

On Functional Central Limit Theorems for Semi-Markov and Related Processes

P. W. Glynn and P. Hass

A Large Deviations Perspective on Ordinal Optimization

P. W. Glynn and S. Juneja

Distributed Power Control for Time-Varying Wireless Networks

T. Holliday, A. Goldsmith, N. Bambos, and P. W. Glynn

2003

Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces

S.H. Lee and P. W. Glynn

Nonexistence of a Class of Variate Generation Schemes

S.G. Henderson and P. W. Glynn

A Diffusion Approximation for a Markovian Queue with Reneging

A. Ward and P. W. Glynn

Properties of the Reflected Ornstein-Uhlenbeck Process

A. Ward and P. W. Glynn

Distributed Power Control for Time-Varying Wireless Networks: Optimality and Convergence

T. Holliday, N. Bambos, P. W. Glynn, and A. Goldsmith

Optimal Power Control for CDMA Systems in the Wideband Limit

T. Holliday, A. Goldsmith, and P. W. Glynn

Capacity of Finite State Markov Channels with General Inputs

T. Holliday, A. Goldsmith, and P. W. Glynn

2002

Kernel-Based Reinforcement Learning in Average-Cost Problems

D. Ormoneit and P. W. Glynn

On the Validity of Long-Run Estimation Methods for Discrete-Event Systems

P. J. Haas and P. W. Glynn

Structural Characterization of Taboo-Stationarity for General Processes in Two-sided Time

P. W. Glynn and H. Thorisson

Optimal Control of Parallel Queues with Batch Service

C. Xia, G. Michailidis, N. Bambos, and P. W. Glynn

Hoeffding's Inequality for Uniformly Recurrent Markov Chains

P. W. Glynn and D. Ormoneit

Approximating Martingales for Variance Reduction in Markov Process Simulation

S.G. Henderson and P. W. Glynn

Necessary Conditions in Limit Theorems for Cumulative Processes

P. W. Glynn and W. Whitt

Managing Capacity and Inventory Jointly in Manufacturing Systems

J. Bradley and P. W. Glynn

Confidence Regions for Stochastic Approximation Algorithms

M.-H. Hsieh and P. W. Glynn

Rare-Event Simulation for Infinite Server Queues

R. Szechtman and P. W. Glynn

Entropy and Mutual Information for Markov Channels with General Inputs

T. Holliday, A. Goldsmith, and P. W. Glynn

Optimal Link Adaptation in Wideband CDMA Systems

T. Holliday, A. Goldsmith, and P. W. Glynn

Wireless Link Adaptation Policies: QoS for Deadline Constrained Traffic with Imperfect Channel Estimates

T. Holliday, A. Goldsmith, and P. W. Glynn

Some New Perspectives on the Method of Control Variates

P. W. Glynn and R. Szechtman

2001

Regenerative Steady-State Simulation of Discrete-Event Systems

S.G. Henderson and P. W. Glynn

Multivariate Standardized Time Series for Steady-State Simulation Output Analysis

D. Muñoz and P. W. Glynn

Two-sided Taboo Limits for Markov Processes and Associated Perfect Simulation

P. W. Glynn and H. Thorisson

Event-Driven Power Management

T. Simunic, L. Benini, P. W. Glynn, and G. DeMicheli

Computing Densities for Markov Chains via Simulation

S.G. Henderson and P. W. Glynn

A Markov Chain Perspective on Adaptive Monte Carlo Algorithms

P. Desai and P. W. Glynn

Constrained Monte Carlo and the Method of Control Variates

R. Szechtman and P. W. Glynn

Importance Sampling Using the Semi-Regenerative Method

J. M. Calvin, P. W. Glynn, and M.K. Nakayama

Dynamic Voltage Scaling for Portable Systems

T. Simunic, L. Benini, A. Acquaviva, P. W. Glynn, and G. DeMicheli

2000

On the Behavior of a Long Cascade of Linear Reservoirs

J. E. Glynn and P. W. Glynn

On the Asymptotic Optimality of the SPT Rule for the Static Flow Shop Average Completion Time Problem

C. H. Xia, J. G. Shanthikumar, and P. W. Glynn

Simulating the Maximum of a Random Walk

K. B. Ensor and P. W. Glynn

On the Maximum Workload of a Queue Fed by Fractional Brownian Motion

A. Zeevi and P. W. Glynn

Dynamic Power Management of Laptop Hard Disks

T. Simunic, L. Benini, P. W. Glynn, and G. DeMicheli

Energy Efficient Design of Portable Wireless Systems

T. Simunic, H. Vikalo, P. W. Glynn, and G. DeMicheli

Dynamic Power Management of Portable Systems

T. Simunic, L. Benini, P. W. Glynn, and G. DeMicheli

Estimating Tail Probabilities in Queues via Extremal Statistics

P. W. Glynn and A. Zeevi

1999

Transient Simulation via Empirically-Based Coupling

E.W. Wong, P. W. Glynn, and D. L. Iglehart

Derandomizing Variance Estimators

S. G. Henderson and P. W. Glynn

Can the Regenerative Method be Applied to Discrete-Event Simulations?

S. G. Henderson and P. W. Glynn

On the Small-Sample Optimality of Multiple-Regeneration Estimators

J. Calvin, P. W. Glynn, and M. Nakayama

Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces

S.H. Lee and P. W. Glynn

Winning the Hand of the Princess Saralinda

P. W. Glynn and W. Whitt

1998

Limit Theory for Performance Modeling of Future Event Set Algorithms

H. Damerdji and P. W. Glynn

Internet Service Performance Failure Detection

A.Ward, P. W. Glynn, and K.Richardson

Diversity and Popularity in Organizations and Communities

W. Nasrallah, P. W. Glynn, and R. Levitt

Independent Sampling of a Stochastic Process

P. W. Glynn and K. Sigman

Estimation of Stationary Densities for Markov Chains

P. W. Glynn and S. G. Henderson

Internet Service Performance Failure Detection

A. Ward, P. W. Glynn and K. Richardson

DTMW: A New Congestion Control Scheme for Long-Range Dependent Traffic

C. Huang, I. Lambadaris, M. Devetsikiotis, P. W. Glynn, and A.R. Kaye

Strong Approximations in Queueing Theory

P. W. Glynn

A Family of Regenerative Moment Identities

J. M. Calvin and P. W. Glynn

1997

A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean

D. F. Muñoz and P. W. Glynn

Average Case Behavior of Random Search for the Maximum

J. M. Calvin and P. W. Glynn

Computational Efficiency Evaluation in Output Analysis

H. Damerdji, S.G. Henderson, and P. W. Glynn

Stochastic Optimization via Grid Search

K. B. Ensor and P. W. Glynn

Parametric Estimation of Tail Probabilities for the Single-Server Queue

P. W. Glynn and M. Torres

The Covariance Function of a Regenerative Process

P. W. Glynn

Tightness for Non-irreducible Markov Chains

P. W. Glynn and S. Meyn

1996

Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions

J.M. Calvin and P. W. Glynn

A Diffusion Approximation for a Network of Reservoirs with Power Law Release Rule

J. E. Glynn and P. W. Glynn

A Liapunov Bound for Solutions of Poisson's Equation

P. W. Glynn and S. Meyn

Efficient Simulation via Coupling

P. W. Glynn and E. W. Wong

Numerical Computation of Large Deviations Exponents via Simulation

P. W. Glynn

Selecting the Best System in Transient Simulations with Variances Known

H. Damerdji, P. W. Glynn, M. K. Nakayama, and J. R. Wilson

Grid-Based Simulation and the Method of Conditional Least Squares

K. B. Ensor and P. W. Glynn

Importance Sampling for Monte Carlo Estimation of Quantiles

P. W. Glynn

Nonparametric Estimation of Tail Probabilities for the Single-Server Queue

P. W. Glynn and M. Torres

Derandomizing and Rerandomizing Variance Estimators

S. G. Henderson and P. W. Glynn

1995

Heavy-Traffic Extreme-Value Limits for Queues

P. W. Glynn and W.Whitt

Likelihood Ratio Gradient Estimation for Stochastic Recursions

P. W. Glynn and P. L'Ecuyer

Discretization Error in Simulation of One-dimensional Reflecting Brownian Motion

S. Asmussen, P. W. Glynn, and J. Pitman

Efficient Monte Carlo Simulation of Security Prices

D. Duffie and P. W. Glynn

Accelerated Regeneration for Markov Chain Simulations

S. Andradóttir, J. M. Calvin, and P. W. Glynn

Trading Securities Using Trailing Stops

P. W. Glynn and D. L. Iglehart

A Martingale Approach to Regenerative Simulation

P. W. Glynn and D. L. Iglehart

On the Value of Function Evaluation Location Information in Monte Carlo Simulation

T. J. DiCiccio and P. W. Glynn

A Set of Extensions to the SIMAN/ARENA Simulation Environment

M. J. Torres and P. W. Glynn

Some New Results on the Initial Transient Problem

P. W. Glynn

Performance Analysis of Future Event Sets

H. Damerdji and P. W. Glynn

Two Approaches to the Initial Transient Problem

P. W. Glynn

Large Deviations for the Infinite Server Queue in Heavy Traffic

P. W. Glynn

1994

Large Deviations Behavior of Counting Processes and Their Inverses

P. W. Glynn and W. Whitt

Some Topics in Regenerative Steady-State Simulation

P. W. Glynn

Poisson's Equation for the Recurrent M/G/1 Queue

P. W. Glynn

On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions

P. W. Glynn and P. L'Ecuyer

Efficiency Improvement Techniques

P. W. Glynn

Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State

P. L'Ecuyer and P. W. Glynn

Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State

P. L'Ecuyer, N. Giroux, and P. W. Glynn

Logarithmic Asymptotics for Steady-State Tail Probabilities in a Single-Server Queue

P. W. Glynn and W. Whitt

Importance Sampling for Markov Chains: Asymptotics for the Variance

P. W. Glynn

Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems

M. Nakayama, A. Goyal, and P. W. Glynn

Increasing the Frequency of Regeneration for Markov Processes

S. Andradóttir, J. Calvin, and P. W. Glynn

1993

Limit Theorems for Cumulative Processes

P. W. Glynn and W. Whitt

Conditions for the Applicability of the Regenerative Method

P. W. Glynn and D. L. Iglehart

Estimating Customer and Time Averages

P. W. Glynn, B. Melamed and W. Whitt

Efficient Estimation of the Mean Time Between Failures in Non-regenerative Dependability Models

P. W. Glynn, P. Heidelberger, V. Nicola, and P. Shahabuddin

Fast Simulation of Steady-State Availability in Non-Markovian Highly Dependable Systems

V. Nicola, P. Shahabuddin, P. Heidelberger, and P. W. Glynn

1992

Jackknifing Under a Budget Constraint

P. W. Glynn and P. Heidelberger

Stationarity Detection in the Initial Transient Problem

S. Asmussen, P. W. Glynn, and H. Thorisson

Pathwise Convexity and its Relation to Convergence of Time-Average Derivatives

P. W. Glynn

Experiments with Initial Transient Deletion for Parallel, Replicated Steady-State Simulations

P. W. Glynn and P. Heidelberger

The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations

P. W. Glynn and W. Whitt

The Asymptotic Efficiency of Simulation Estimators

P. W. Glynn and W. Whitt

Analysis if Initial Transient Deletion for Parallel Steady-State Simulations

P. W. Glynn and P. Heidelberger

Uniform Cesaro Limit Theorems for Synchronous Processes with Applications to Queues

P. W. Glynn and K. Sigman

A Unified Framework for Simulating Markovian Models of Highly Dependable Systems

A. Goyal, P. Shahabuddin, P. Heidelberger, V. F. Nicola, and P. W. Glynn

Experimental Results for Gradient Estimation and Optimization of a Markov Chain in Steady-State

P. L'Ecuyer, N. Giroux, and P. W. Glynn

Gradient Estimation for Regenerative Processes

P. Glasserman and P. W. Glynn

A GSMP Formalism for Discrete Event Systems

P. W. Glynn

1991

Departures from Many Queues in Series

P. W. Glynn and W. Whitt

Analysis of Parallel Replicated Simulations Under a Completion Time Constraint

P. W. Glynn and P. Heidelberger

Estimating the Asymptotic Variance with Batch Means

P. W. Glynn and W. Whitt

Analysis of Initial Transient Deletion for Replicated Steady-State Simulations

P. W. Glynn and P. Heidelberger

A New View of the Heavy-Traffic Limit Theorem for Infinite-Server Queues

P. W. Glynn and W. Whitt

Queues with Negative Arrivals

E. Gelenbe, P. W. Glynn, and K. Sigman

Gradient Estimation for Ratios

P. W. Glynn, P. L'Ecuyer and M. Ades

1990

Likelihood Ratio Gradient Estimation for Stochastic Systems

P. W. Glynn

Bias Properties of Budget Constrained Monte Carlo Simulations

P. W. Glynn and P. Heidelberger

Discrete-time Conversion for Simulating Finite-Horizon Markov Processes

B. L. Fox and P. W. Glynn

Simulation Output Analysis Using Standardized Time Series

P. W. Glynn and D. L. Iglehart

Parallel Processors for Planning Under Uncertainty

G. B. Dantzig and P. W. Glynn

Decomposition and Parallel Processing Techniques for Large Scale Electric Power System Planning Under Uncertainty

M. Avriel, and G. B. Dantzig, and P. W. Glynn

Diffusion Approximations

P. W. Glynn

1989

Replication Schemes for Limiting Expectations

B. L. Fox and P. W. Glynn

Importance Sampling for Stochastic Simulation

P. W. Glynn and D. L. Iglehart

Simulating Discounted Costs

B. L. Fox and P. W. Glynn

The Optimal Linear Combination of Control Variates in the Presence of Asymptotically Negligible Bias

P. W. Glynn and D. L. Iglehart

Extensions of the Queueing Relations L = λW and H = λG

P. W. Glynn and W. Whitt

Indirect Estimation via L = λW

P. W. Glynn and W. Whitt

Likelihood Ratio Derivative Estimators for Stochastic Systems

P. W. Glynn

Optimization of Stochastic Systems via Simulation

P. W. Glynn

Smoothed Limit Theorems for Equilibrium Processes

P. W. Glynn and D. L. Iglehart

Decomposition Techniques for Multi-Area Generation and Transmission Planning Under Uncertainty

G.B. Dantzig and P. W. Glynn

Tightness of Synchronous Processes

P. W. Glynn and K. Sigman

1988

On the Valuation of Payoffs from a Geometric Random Walk of Oil Prices

P. W. Glynn and A. S. Manne

A New Class of Strongly Consistent Variance Estimators for Steady-State Simulations

P. W. Glynn and D. L. Iglehart

Simulation Methods for Queues: An Overview

P. W. Glynn and D. L. Iglehart

Conditions under which a Markov Chain Converges to its Steady State in Finite Time

P. W. Glynn and D. L. Iglehart

Operations Research: The Next Decade

P. W. Glynn

Computing Poisson Probabilities

B. L. Fox and P. W. Glynn

An LIL Version of L = λW

P. W. Glynn and W. Whitt

Ordinary CLT and WLLN Versions of L = λW

P. W. Glynn and W. Whitt

Variance Reduction in Mean Time to Failure Simulations

P. Shahabuddin, V. Nicola, P. Heidelberger, A.Goyal, and P. W. Glynn

Computational and Statistical Issues in Discrete-Event Simulation

P. W. Glynn and D. L. Iglehart

A Non-Rectangular Sampling Plan for Estimating Steady-State Means

P. W. Glynn

1987

A Joint Central Limit Theorem for the Sample Mean and Regenerative Variance Estimator

P. W. Glynn and D. L. Iglehart

Limit Theorems for the Method of Replication

P. W. Glynn

Estimating Time Averages via Randomly-Spaced Observations

B. L. Fox and P. W. Glynn

Upper Bounds for Poisson Tail Probabilities

P. W. Glynn

Likelihood Ratio Gradient Estimation: An Overview

P. W. Glynn

A New Initial Bias Deletion Rule

P. W. Glynn and D. L. Iglehart

Construction of Process Differentiable Representations for Parametric Families of Distributions

P. W. Glynn

On the Convergence of a Regenerative Process to its Steady-State

P. W. Glynn

1986

Sufficient Conditions for Functional Limit Theorem Versions of L = λW

P. W. Glynn and W. Whitt

Estimation of Steady-State Central Moments by the Regenerative Method of Simulation

P. W. Glynn and D. L. Iglehart

A Central-Limit-Theorem Version of L = λW

P. W. Glynn and W. Whitt

Discrete-Time Conversion for Simulating Semi-Markov Processes

B. L. Fox and P. W. Glynn

Monte Carlo Optimization of Stochastic Systems: Two New Approaches

P. W. Glynn and J. L. Sanders

Sensitivity Analysis for Stationary Probabilities of a Markov Chain

P. W. Glynn

Problems in Bayesian Analysis of Stochastic Simulation

P. W. Glynn

Optimization of Stochastic Systems

P. W. Glynn

Stochastic Approximation for Monte Carlo Optimization

P. W. Glynn

Recursive Moment Formulas for the Regenerative Simulation

P. W. Glynn and D. L. Iglehart

Consequences of Uniform Integrability for Simulation

P. W. Glynn and D. L. Iglehart

1985

Regenerative Processes and the ø-Mixing Property

P. W. Glynn

Regenerative Structure of Markov Chains Simulated via Common Random Numbers

P. W. Glynn

On the Range of a Regenerative Sequence

P. W. Glynn

Large-Sample Theory for Standardized Times Series: An Overview

P. W. Glynn and D. L. Iglehart

1984

Some Asymptotic Formulas for Markov Chain with Applications to Simulation

P. W. Glynn

Steady-State Confidence Interval Methodology: Regenerative Methods

P. W. Glynn and D. L. Iglehart

Equitable Assignment Rules

P. W. Glynn and J.L. Sanders

1983

Randomized Estimators for Time Integrals

P. W. Glynn

On ARMA Representations for White Noise in a Markovian Environment

P. W. Glynn

On Confidence Intervals for Cyclic Regenerative Processes

P. W. Glynn

On the Role of Generalized Semi-Markov Processes in Simulation Output Analysis

P. W. Glynn

1982

On the Markov Property of the GI/G/infty Gaussian Limit

P. W. Glynn

Simulation Output Analysis for General State Space Markov Chains

P. W. Glynn and D.L. Iglehart

Coverage Error for Confidence Intervals Arising in Simulation Output Analysis

P. W. Glynn

Regenerative Simulation of Harris Recurrent Markov Chains

P. W. Glynn

Some New Results in Regenerative Process Theory

P. W. Glynn

Regenerative Aspects of the Steady-State Simulation Problem for Markov Chains

P. W. Glynn

Asymptotic Theory for Nonparametric Confidence Intervals

P. W. Glynn

A Low Bias Steady-State Estimator for Equilibrium Processes

P. W. Glynn