Pierre L'Ecuyer

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Monte Carlo (MC) is widely used for the simulation of discrete time Markov chains. We consider the case of a \(d\)-dimensional continuous state space and w...

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Randomized Quasi-Monte Carlo (RQMC) methods provide unbiased estimators whose variance often converges at a faster rate than standard Monte Carlo as a functi...

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We study a staffing optimization problem in multi-skill call centers. The objective is to minimize the total cost of agents under some quality of service (Q...

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We consider the problem of estimating the density of a random variable \(X\) which is the output of a simulation model. We show how an unbiased density ...

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We study quasi-Monte Carlo (QMC) integration of smooth functions defined over the multi-dimensional unit cube. Inspired by a recent work of Pan and Owen, we ...

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We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating...

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We give an overview of the state of the art on the design and implementation of random number generators for simulation and general Monte Carlo sampling in p...

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Based on data from real call centers, we develop, test, and compare forecasting methods to predict the waiting time of a call upon its arrival to the center,...

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We study a solution approach for a staffing problem in multi-skill call centers. The objective is to find a minimal-cost staffing solution while meeting a ta...

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We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte...

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Estimating the unknown density from which a given independent sample originates is more difficult than estimating the mean, in the sense that for the best po...

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Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to...

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We extend a quasi-Monte Carlo scheme designed for coagulation to the simulation of the coagulation-fragmentation equation. A number \(N\) of particles is ...

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We consider a two-stage stochastic discrete program in which some of the second stage constraints involve expectations that cannot be computed easily and a...

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In emergency call centers (for police, firemen, ambulances, rescue teams) a single event can sometimes trigger many incoming calls to the center in a short p...

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We study the behavior of a generalized splitting method for sampling from a given distribution conditional on the occurrence of a rare event. The method retu...

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Random number generators were invented before there were symbols for writing numbers, and long before mechanical and electronic computers. All major civiliza...

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We consider a network whose links have random capacities and in which a certain target amount of flow must be carried from some source nodes to some destina...

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We study the behavior of a generalized splitting method for sampling from a given distribution conditional on the occurrence of a rare event. The method retu...

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We survey basic ideas and results on randomized quasi-Monte Carlo (RQMC) methods, discuss their practical aspects, and give numerical illustrations. RQM...

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