Stochastic simulation: Algorithms and analysis
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random number generationvariance-reductiontextbookstochastic optimizationstochastic differential equationsstochastic algorithmssteady state simulationstatistical simulationsimulation of queuessampling-based methodssampling strategiesrare-event simulationblack-box algorithmsoutput analysisnumerical integrationnumerical algorithmsMonte Carlo methodsMarkov chainsLévy processesGaussian processesderivative estimationconvergence propertiescomputational efficiencybranching processes
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- A stochastic quasi-Newton method for large-scale optimization
- A general control variate method for option pricing under Lévy processes
- Multiresolution functional ANOVA for large-scale, many-input computer experiments
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- Comments on: ``Polling: past, present and perspective
- Approximation and simulation of infinite-dimensional Lévy processes
- Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process
- Derivatives of the stochastic growth rate
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- The sample size required in importance sampling
- Representations of \(\max\)-stable processes via exponential tilting
- Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
- Scalable information inequalities for uncertainty quantification
- Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- On the generalization of the hazard rate twisting-based simulation approach
- Efficient simulation for dependent rare events with applications to extremes
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Robust bounds in multivariate extremes
- Evolution of resistance to anti-cancer therapy during general dosing schedules
- A unified framework for stochastic optimization
- Importance sampling the union of rare events with an application to power systems analysis
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
- Refined large deviations asymptotics for Markov-modulated infinite-server systems
- The coalescence of intrahost HIV lineages under symmetric CTL attack
- Latent Gaussian random field mixture models
- Stochastic algorithms
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Simulation-based confidence bounds for two-stage stochastic programs
- Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations
- A painless intrusive polynomial chaos method with RANS-based applications
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- Adaptive sampling of large deviations
- A broad view of queueing theory through one issue
- Monte Carlo estimation of the density of the sum of dependent random variables
- Hybrid simulation scheme for volatility modulated moving average fields
- DGM: a deep learning algorithm for solving partial differential equations
- Large deviations of empirical measures of diffusions in weighted topologies
- Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
- Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
- Generalized parallel tempering on Bayesian inverse problems
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
- Product-form estimators: exploiting independence to scale up Monte Carlo
- Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
- Large deviations for the empirical measure of the zig-zag process
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
- On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
- Adaptive sampling line search for local stochastic optimization with integer variables
- Plateau proposal distributions for adaptive component-wise multiple-try metropolis
- Exact simulation for the first hitting time of Brownian motion and Brownian bridge
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Importance sampling for maxima on trees
- A Koopman framework for rare event simulation in stochastic differential equations
- A theoretical and empirical comparison of gradient approximations in derivative-free optimization
- Moments and polynomial expansions in discrete matrix-analytic models
- On accelerating Monte Carlo integration using orthogonal projections
- Efficient algorithms for tail probabilities of exchangeable lognormal sums
- On the effective dimension and multilevel Monte Carlo
- On a stochastic neuronal model integrating correlated inputs
- Fractional Erlang queues
- Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- Geometric ergodicity in a weighted Sobolev space
- On testing pseudorandom generators via statistical tests based on the arcsine law
- Efficient large deviation estimation based on importance sampling
- Excessive backlog probabilities of two parallel queues
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- Fast methods for computing centroidal Laguerre tessellations for prescribed volume fractions with applications to microstructure generation of polycrystalline materials
- Regeneration-enriched Markov processes with application to Monte Carlo
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
- An efficient simulation algorithm for the generalized von Mises distribution of order two
- Rare event simulation for a slotted time M/G/s model
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo
- Modeling past-dependent partial repairs for condition-based maintenance of continuously deteriorating systems
- A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- An algorithm to compute the \(t\)-value of a digital net and of its projections
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Integrating location and network restoration decisions in relief networks under uncertainty
- Generalized uniformly optimal methods for nonlinear programming
- Dimensional reduction for latent scores modeling using recursive integration
- Parallel computing, failure recovery, and extreme values
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Low variance couplings for stochastic models of intracellular processes with time-dependent rate functions
- Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
- Exact tail asymptotics of the supremum attained by a Lévy process
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Perfect and nearly perfect sampling of work-conserving queues
- Perfect sampling of a single-server queue with periodic Poisson arrivals
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- Efficient importance sampling for binary contingency tables
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