Pierre L'Ecuyer
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105 results — page 4 of 6
The fastest long-period random number generators currently available are based on linear recurrences modulo 2. So far, software that provides multiple disjo...
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Besides speed and period length, the quality of uniform random number generators is usually assessed by measuring the uniformity of their point sets, formed...
BibTeX referenceOn the Xorshift Random Number Generators
G. Marsaglia introduced recently a class of very fast <i>xorshift</i> random number generators, whose implementation uses three "xorshift" operations. They ...
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We study an iterative cutting-plane algorithm on an integer program, for minimizing the staffing costs of a multiskill call center subject to service-level ...
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Fast uniform random number generators with extremely long periods have been defined and implemented based on linear recurrences modulo 2. The twisted GFSR ...
BibTeX referenceQuasi-Monte Carlo Methods in Finance
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction techniques, and the main classe...
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We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...
BibTeX referencePolynomial Integration Lattices
Lattice rules are quasi-Monte Carlo methods for estimating large-dimensional integrals over the unit hypercube. In this paper, after briefly reviewing key i...
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This paper explores new ways of constructing and implementing random number generators based on linear recurrences in a finite field with 2<sup><i>w</i></sup...
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Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...
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We study the structure and point out weaknesses of recently-proposed random number generators based on special types of linear recurrences with small coeffic...
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We develop stochastic models of time-dependent arrivals, with focus on the application to call centers. Our models reproduce essential features of call cen...
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Lattice rules are among the best methods to estimate integrals in a large number of dimensions. They are part of the <i>quasi-Monte Carlo</i> set of tools. ...
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Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...
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This is a review article on lattice methods for multiple integration over the unit hypercube, with a variance-reduction viewpoint. It also contains some new ...
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Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...
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A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...
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The cell-loss ratio at a given node in an ATM switch, defined as the steady-state fraction of packets of information that are lost at that node due to buffe...
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Different versions of the serial test for testing the uniformity and independence of vectors of successive values produced by a (pseudo)random number genera...
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Central limit theorems are obtained for the ``perturbation analysis Robbins-Monro single run'' (PARMSR) optimization algorithm, with updates either after ev...
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