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Peter W. Glynn - MaRDI portal

Peter W. Glynn

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Person:495566

Available identifiers

zbMath Open glynn.peter-wDBLPg/PeterWGlynnWikidataQ15840172 ScholiaQ15840172MaRDI QIDQ495566

List of research outcomes





PublicationDate of PublicationType
Probabilistic contraction analysis of iterated random operators2025-01-21Paper
Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation2024-11-15Paper
Solution Representations for Poisson’s Equation, Martingale Structure, and the Markov Chain Central Limit Theorem2024-04-09Paper
Lyapunov Conditions for Differentiability of Markov Chain Expectations2024-03-01Paper
Simulation-Based Prediction2024-02-26Paper
A heavy-traffic perspective on departure process variability2024-01-29Paper
Unbiased optimal stopping via the MUSE2024-01-29Paper
Refined behaviour of a conditioned random walk in the large deviations regime2024-01-16Paper
The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification2024-01-09Paper
Gaussian limits for scheduled traffic with super-heavy tailed perturbations2023-12-14Paper
A probabilistic proof of the <scp>Perron–Frobenius</scp> theorem2023-10-25Paper
Approximations for the distribution of perpetuities with small discount rates2023-10-25Paper
Moments of polynomial functionals in Levy-driven queues with secondary jumps2023-10-17Paper
Computable Bounds on Convergence of Markov Chains in Wasserstein Distance2023-08-20Paper
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation2023-07-17Paper
Asymptotic product-form steady-state for generalized Jackson networks in multi-scale heavy traffic2023-04-03Paper
Smoothed Variable Sample-Size Accelerated Proximal Methods for Nonsmooth Stochastic Convex Programs2023-01-23Paper
Stability of a Queue Fed by Scheduled Traffic at Critical Loading2022-12-08Paper
Distributed Stochastic Optimization with Large Delays2022-09-26Paper
A New Truncation Algorithm for Markov Chain Equilibrium Distributions with Computable Error Bounds2022-08-30Paper
A Short Proof of a Convex Representation for Stationary Distributions of Markov Chains with an Application to State Space Truncation2022-08-06Paper
Efficient Steady-State Simulation of High-Dimensional Stochastic Networks2022-06-24Paper
On Convergence of a Truncation Scheme for Approximating Stationary Distributions of Continuous State Space Markov Chains and Processes2022-06-23Paper
On Convergence of General Truncation-Augmentation Schemes for Approximating Stationary Distributions of Markov Chains2022-03-28Paper
Solving Poisson's Equation: Existence, Uniqueness, Martingale Structure, and CLT2022-02-21Paper
Solutions of Poisson's Equation for Stochastically Monotone Markov Chains2022-02-21Paper
Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates2022-02-16Paper
Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach2021-09-14Paper
Robust Power Management via Learning and Game Design2021-06-17Paper
On the spectral radius and stiffness of Markov jump process rate matrices2021-06-14Paper
On the Convergence of Mirror Descent beyond Stochastic Convex Programming2021-03-11Paper
Deterministic and Stochastic Wireless Network Games: Equilibrium, Dynamics, and Price of Anarchy2020-11-08Paper
Likelihood Ratio Gradient Estimation for Steady-State Parameters2020-06-18Paper
On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process2019-10-07Paper
Optimal $\delta$-Correct Best-Arm Selection for Heavy-Tailed Distributions2019-08-24Paper
Multivariate Distributionally Robust Convex Regression under Absolute Error Loss2019-05-29Paper
Rates of convergence and CLTs for subcanonical debiased MLMC2019-02-18Paper
On the rate of convergence to equilibrium for reflected Brownian motion2018-11-02Paper
Affine Jump-Diffusions: Stochastic Stability and Limit Theorems2018-10-31Paper
Likelihood robust optimization for data-driven problems2018-10-10Paper
https://portal.mardi4nfdi.de/entity/Q45783012018-08-08Paper
On preemptive-repeat LIFO queues2018-06-13Paper
Regenerative steady-state simulation of discrete-event systems2018-06-12Paper
Computing the distribution function of a conditional expectation via monte carlo2018-06-12Paper
Empirical performance of bias-reducing estimators for regenerative steady-state simulations2018-06-12Paper
The semi-regenerative method of simulation output analysis2018-06-12Paper
Approximating Performance Measures for Slowly Changing Non-stationary Markov Chains2018-05-04Paper
Asymptotic robustness of estimators in rare-event simulation2018-04-16Paper
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling2018-04-16Paper
Limit Theorems for Simulation-Based Optimization via Random Search2018-04-16Paper
Asymptotic Simulation Efficiency Based on Large Deviations2018-04-16Paper
A CLT for infinitely stratified estimators, with applications to debiased MLMC2018-03-07Paper
Smoothed Variable Sample-size Accelerated Proximal Methods for Nonsmooth Stochastic Convex Programs2018-03-01Paper
On Sampling Rates in Simulation-Based Recursions2018-01-17Paper
On Gaussian Limits and Large Deviations for Queues Fed by High Intensity Randomly Scattered Traffic2017-08-18Paper
An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments2017-08-14Paper
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes2017-07-05Paper
On the Marginal Standard Error Rule and the Testing of Initial Transient Deletion Methods2017-07-03Paper
Computing Bayesian Means Using Simulation2017-06-30Paper
On Transience and Recurrence in Irreducible Finite-State Stochastic Systems2017-06-30Paper
Kernel-based reinforcement learning in average-cost problems2017-06-20Paper
Dynamics on Linear Influence Network Games Under Stochastic Environments2016-12-21Paper
Accelerated Regeneration for Markov Chain Simulations2016-05-23Paper
Lévy Processes with Two-Sided Reflection2016-05-19Paper
A Martingale Approach to Regenerative Simulation2016-05-11Paper
Unbiased Estimation with Square Root Convergence for SDE Models2016-03-22Paper
Affine Point Processes: Approximation and Efficient Simulation2016-01-29Paper
Lévy matters V. Functionals of Lévy processes2015-09-14Paper
Selecting the best system and multi-armed bandits2015-07-16Paper
On the convergence of the spectrum of finite order approximations of stationary time series2015-06-25Paper
Exact estimation for Markov chain equilibrium expectations2015-04-14Paper
On the Limiting Ratio of Current Age to Total Life for Null Recurrent Renewal Processes2015-03-28Paper
Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains2015-02-23Paper
Zero-Variance Importance Sampling Estimators for Markov Process Expectations2014-07-11Paper
Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions2014-01-01Paper
Exact Simulation of Non-stationary Reflected Brownian Motion2013-12-22Paper
Wide-sense regeneration for Harris recurrent Markov processes: an open problem2013-11-25Paper
On the Dynamics of Semimartingales with Two Reflecting Barriers2013-10-17Paper
Large deviations for the empirical mean of an M/M/\(1\) queue2013-07-05Paper
Simulation-based confidence bounds for two-stage stochastic programs2013-05-06Paper
Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic2012-10-29Paper
A new approach to unbiased estimation for SDE's2012-07-10Paper
Consistency of Multidimensional Convex Regression2012-06-18Paper
A Complementarity Framework for Forward Contracting Under Uncertainty2012-03-26Paper
Managing Capacity and Inventory Jointly in Manufacturing Systems2012-02-19Paper
A comparison of cross-entropy and variance minimization strategies2011-10-25Paper
On exponential limit laws for hitting times of rare sets for Harris chains and processes2011-10-25Paper
On the Convergence of Finite Order Approximations of Stationary Time Series2011-09-16Paper
A new proof of convergence of MCMC via the ergodic theorem2011-08-16Paper
Uniform approximations for the \(M/G/1\) queue with subexponential processing times2011-06-17Paper
On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case2011-05-11Paper
Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue2011-04-05Paper
On the dynamics of a finite buffer queue conditioned on the amount of loss2011-03-15Paper
HOW TO GENERATE UNIFORM SAMPLES ON DISCRETE SETS USING THE SPLITTING METHOD2010-08-19Paper
Rare event simulation for a slotted time M/G/s model2010-03-17Paper
Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...2010-02-15Paper
Conditional limit theorems for regulated fractional Brownian motion2010-01-13Paper
How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation2009-12-18Paper
On convergence to stationarity of fractional Brownian storage2009-08-27Paper
A Nonparametric Approach to Multiproduct Pricing2009-08-13Paper
Multivariate Standardized Time Series for Steady-State Simulation Output Analysis2009-07-03Paper
https://portal.mardi4nfdi.de/entity/Q36297162009-06-02Paper
Bounding Stationary Expectations of Markov Processes2009-05-22Paper
Capacity of Finite State Channels Based on Lyapunov Exponents of Random Matrices2008-12-21Paper
On the theoretical comparison of low-bias steady-state estimators2008-12-21Paper
Perwez Shahabuddin, 1962--20052008-12-21Paper
Efficient rare-event simulation for the maximum of heavy-tailed random walks2008-08-20Paper
Uniform renewal theory with applications to expansions of random geometric sums2008-02-20Paper
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue2008-01-07Paper
Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration2007-11-05Paper
Stochastic simulation: Algorithms and analysis2007-09-07Paper
Complete corrected diffusion approximations for the maximum of a random walk2007-08-08Paper
Tail asymptotics for the maximum of perturbed random walk2007-02-05Paper
Conditions Under Which a Markov Chain Converges to its Steady State in Finite Time2007-01-19Paper
Replication Schemes For Limiting Expectations2007-01-19Paper
Efficient Simulation via Coupling2006-08-30Paper
Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes2006-07-13Paper
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals2006-06-16Paper
Structural characterization of taboo-stationarity for general processes in two-sided time.2005-11-29Paper
Computing Densities for Markov Chains via Simulation2005-11-11Paper
Approximating Martingales for Variance Reduction in Markov Process Simulation2005-11-11Paper
The Mean Number-in-System Vector Range for Multiclass Queueing Networks2005-11-11Paper
A diffusion approximation for a GI/GI/1 queue with balking or reneging2005-11-07Paper
Diffusion approximations for the maximum of a perturbed random walk2005-10-17Paper
Recurrence properties of autoregressive processes with super-heavy-tailed innovations2005-04-18Paper
Necessary conditions in limit theorems for cumulative processes.2005-02-25Paper
On Functional Central Limit Theorems for Semi-Markov and Related Processes2005-01-14Paper
Two-sided taboo limits for Markov processes and associated perfect simulation.2004-09-22Paper
Limit theory for taboo-regenerative processes2004-08-10Paper
Estimating tail decay for stationary sequences via extreme values2004-05-27Paper
Nonexistence of a class of variate generation schemes.2003-11-17Paper
Properties of the reflected Ornstein-Uhlenbeck process2003-08-21Paper
On the maximum workload of a queue fed by fractional Brownian motion.2003-05-06Paper
A diffusion approximation for a Markovian queue with reneging2003-04-10Paper
OPTIMAL CONTROL OF PARALLEL QUEUES WITH BATCH SERVICE2002-12-10Paper
Hoeffding's inequality for uniformly ergodic Markov chains2002-09-05Paper
https://portal.mardi4nfdi.de/entity/Q45494892002-08-28Paper
Limit Theory for Performance Modeling of Future Event Set Algorithms2002-07-08Paper
On the Asymptotic Optimality of the SPT Rule for the Flow Shop Average Completion Time Problem2002-06-04Paper
https://portal.mardi4nfdi.de/entity/Q27023002002-03-04Paper
Derandomizing Variance Estimators2002-02-07Paper
Simulating the maximum of a random walk2001-12-16Paper
https://portal.mardi4nfdi.de/entity/Q49450342001-07-02Paper
On the behaviour of a long cascade of linear reservoirs2001-03-19Paper
https://portal.mardi4nfdi.de/entity/Q42468922000-06-07Paper
Independent sampling of a stochastic process1999-11-18Paper
Diversity and popularity in organizations and communities1999-01-01Paper
TRANSIENT SIMULATION VIA EMPIRICALLY BASED COUPLING1999-01-01Paper
https://portal.mardi4nfdi.de/entity/Q43540211998-08-30Paper
Average case behavior of random search for the maximum1998-07-07Paper
A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean1997-12-15Paper
Efficient Monte Carlo simulation of security prices1997-11-27Paper
A diffusion approximation for a network of reservoirs with power law release rule1997-10-29Paper
https://portal.mardi4nfdi.de/entity/Q31265671997-03-31Paper
https://portal.mardi4nfdi.de/entity/Q48951711997-02-24Paper
A Liapounov bound for solutions of the Poisson equation1997-02-20Paper
Heavy-traffic extreme-value limits for queues1997-01-22Paper
Trading Securities Using Trailing Stops1996-10-20Paper
Complexity of non–adaptive optimization algorithms for a class of diffusions1996-10-14Paper
Discretization error in simulation of one-dimensional reflecting Brownian motion1996-07-08Paper
Stationarity detection in the initial transient problem1996-04-28Paper
Likelihood ratio gradient estimation for stochastic recursions1996-04-21Paper
Note: On the Value of Function Evaluation Location Information in Monte Carlo Simulation1996-02-01Paper
https://portal.mardi4nfdi.de/entity/Q48564531995-11-29Paper
Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State1995-10-25Paper
https://portal.mardi4nfdi.de/entity/Q48430091995-10-23Paper
Poisson's equation for the recurrent M/G/1 queue1995-09-11Paper
https://portal.mardi4nfdi.de/entity/Q47635991995-08-21Paper
Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State1995-05-28Paper
Efficiency improvement techniques1995-05-18Paper
Logarithmic asymptotics for steady-state tail probabilities in a single-server queue1995-02-02Paper
Large deviations behavior of counting processes and their inverses1995-01-08Paper
Importance sampling for markov chains: asymptotics for the variance1994-11-27Paper
Some topics in regenerative steady-state simulation1994-11-17Paper
Notes: Conditions for the Applicability of the Regenerative Method1994-10-11Paper
Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems1994-04-12Paper
Limit theorems for cumulative processes1994-01-19Paper
Estimating Customer and Time Averages1993-08-09Paper
Jackknifing under a Budget Constraint1993-04-01Paper
https://portal.mardi4nfdi.de/entity/Q40269741993-02-21Paper
The Asymptotic Efficiency of Simulation Estimators1993-01-16Paper
Note—Pathwise Convexity and its Relation to Convergence of Time-Average Derivatives1993-01-12Paper
Analysis of Initial Transient Deletion for Parallel Steady-State Simulations1992-09-27Paper
Experiments with Initial Transient Deletion for Parallel, Replicated Steady-State Simulations1992-09-27Paper
Departures from many queues in series1992-06-28Paper
Estimating the asymptotic variance with batch means1992-06-28Paper
Analysis of initial transient deletion for replicated steady-state simulations1992-06-28Paper
Uniform Cesaro limit theorems for synchronous processes with applications to queues1992-06-28Paper
The asymptotic validity of sequential stopping rules for stochastic simulations1992-06-28Paper
Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes1992-06-25Paper
Queues with negative arrivals1992-06-25Paper
Bias Properties of Budget Constrained Simulations1992-06-25Paper
A new view of the heavy-traffic limit theorem for infinite-server queues1991-01-01Paper
Analysis of parallel replicated simulations under a completion time constraint1991-01-01Paper
Parallel processors for planning under uncertainty1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q34826591990-01-01Paper
Simulation Output Analysis Using Standardized Time Series1990-01-01Paper
Importance Sampling for Stochastic Simulations1989-01-01Paper
Simulating Discounted Costs1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38260971989-01-01Paper
The optimal linear combination of control variates in the presence of asymptotically negligible bias1989-01-01Paper
Extensions of the Queueing Relations L = λW and H = λG1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q42049341989-01-01Paper
Indirect Estimation Via L = λW1989-01-01Paper
A new class of strongly consistent variance estimators for steady-state simulations1988-01-01Paper
Simulation methods of queues: An overview1988-01-01Paper
An LIL Version of L = λW1988-01-01Paper
Ordinary CLT and WLLN Versions of L = λW1988-01-01Paper
Upper bounds on Poisson tail probabilities1987-01-01Paper
Sufficient conditions for functional-limit-theorem versions of \(L=\lambda W\)1987-01-01Paper
Estimating Time Averages via Randomly-Spaced Observations1987-01-01Paper
Limit theorems for the method of replication1987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37771921987-01-01Paper
Discrete-time conversion for simulating semi-Markov processes1986-01-01Paper
Estimation of steady-state central moments by the regenerative method of simulation1986-01-01Paper
A central-limit-theorem version of \(L=\lambda W\)1986-01-01Paper
On the range of a regenerative sequence1985-01-01Paper
Regenerative structure of Markov chains simulated via common random numbers1985-01-01Paper
Some asymptotic formulas for markov chains with applications to simulation1984-01-01Paper
On confidence intervals for cyclic regenerative processes1983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37834841982-01-01Paper
On the Markov property of the GI/G/∞ Gaussian limit1982-01-01Paper
A Numerical Truncation Approximation with A Posteriori Error Bounds for the Solution of Poisson's EquationN/APaper

Research outcomes over time

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