Group for Research in Decision Analysis

Publications

Pierre L'Ecuyer

Articles

A normal copula model for the arrival process in call centers
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International Transactions in Operational Research, 19, 771–787, 2012 BibTeX reference
Variance bounds and existence results for randomly shifted lattice rules
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Journal of Computational and Applied Mathematics, 236, 3296–3307, 2012 BibTeX reference
Estimation of the mixed logit likelihood function by randomized quasi-Monte Carlo
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Transportation Research Part B: Methodological, 4(2), 305–320, 2012 BibTeX reference
Approximating zero-variance importance sampling in a reliability setting
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Annals of Operations Research, 189, 277–297, 2011 BibTeX reference
Approximate zero-variance importance sampling for static network reliability estimation
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IEEE Transactions on Reliability, 8(4), 590–604, 2011 BibTeX reference
Computing the two-sided Kolmogorov-Smirnov distribution
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Journal of Statistical Software, 39(11), 2011 BibTeX reference
Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted-star discrepancy for general weights
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Journal of Complexity, 27(5), 449–465, 2011 BibTeX reference
Asymptotic robustness of estimators in rare-event simulation
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ACM Transactions on Modeling and Computer Simulation, 20(6), 41 pages, 2010 BibTeX reference
Agent scheduling in a multiskill call center
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European Journal of Operational Research, 200(3), 822–832, 2010 BibTeX reference
Coupling from the past with randomized quasi-Monte Carlo
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Mathematics and Computers in Simulation, 81(3), 476–489, 2010 BibTeX reference
On the limit distribution of integration error by randomly-shifted lattice rules
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Electronic J. of Statistics, 4, 950–993, 2010 BibTeX reference
Resolution-stationary random number generators
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Mathematics and Computers in Simulation, 80(6), 1096–1103, 2010 BibTeX reference
Quasi-Monte Carlo methods with applications in finance
Finance and Stochastics, 13(3), 307–349, 2009 BibTeX reference
Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal copula dependence
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INFORMS Journal on Computing, 21(1), 88–106, 2009 BibTeX reference
Staffing multi-skill call centers via search methods and a performance approximation
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IIE Transactions, 41(6), 483–497, 2009 BibTeX reference
A randomized quasi-Monte Carlo simulation method for Markov chains
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Operations Research, 54(4), 958–975, 2008 BibTeX reference
Efficient jumping ahead for f2-linear random number generators
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INFORMS Journal on Computing, 20(3), 385–390, 2008 BibTeX reference
Four canadian contributions to stochastic modeling
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INFOR, 46(1), 3–14, 2008 BibTeX reference
On the interaction between stratification and control variates, with application to a call center simulation
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Journal of Simulation, 2(1), 29–40, 2008 BibTeX reference
Staffing multiskill call centers via linear programming and simulation
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Management Science, 54(2), 310–323, 2008 BibTeX reference
Markov chain models of a telephone call center with call blending
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Computers & Operations Research, 34(6), 1616–1645, 2007 BibTeX reference
Rare-events, splitting, and quasi-Monte Carlo 
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ACM Transactions on Modeling and Computer Simulation, 17(2), 2007 BibTeX reference
TestU01: A C library for empirical testing of random number generators
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ACM Transactions on Mathematical Software, 33(4), 2007 BibTeX reference
The application of forecasting techniques to modeling emergency medical system calls in Calgary, Alberta 
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Health Care Management Science, 10(1), 25–45, 2007 BibTeX reference
Inverting the symmetrical beta distribution 
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ACM Transactions on Mathematical Software, 32(4), 509–520, 2006 BibTeX reference
Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance-gamma model
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Management Science, 52(12), 1930–1944, 2006 BibTeX reference
Improved long-period generators based on linear recurrences modulo 2
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ACM Transactions on Mathematical Software, 32(1), 1–16, 2006 BibTeX reference
Comment on "Control variates for quasi-Monte Carlo"
Statistical Science, 2005 BibTeX reference
On the Xorshift Random Number Generators
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ACM Transactions on Modeling and Computer Simulation, 15(4), 346–361, 2005 BibTeX reference
Modeling daily arrivals to a relephone call center
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Management Science, 50(7), 896–908, 2004 BibTeX reference
Combination of general antithetic transformations and control variables
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Mathematics of Operations Research, 29(4), 946–960, 2004 BibTeX reference
Randomized polynomial lattice tules for multivariate integration and simulation
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SIAM Journal on Scientific Computing, 24(5), 1768–1789, 2003 BibTeX reference
On the Deng-Lin random number generators and related methods
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Statistics and Computing, 14(1), 5–9, 2003 BibTeX reference
Combined generators with components from different families
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Mathematics and Computers in Simulation, 62, 395–404, 2003 BibTeX reference

Books

Monte Carlo and quasi-Monte Carlo methods 2008
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Springer-Verlag, 672 pages, 2009 BibTeX reference

Book chapters

Randomized quasi-Monte Carlo: An introduction for practitioners
To appear in: P. W. Glynn and A. B. Owen, Eds, Monte Carlo and Quasi Monte Carlo Methods 2016, Springer-Verlag, 2018 BibTeX reference
Random number generators
S. I. Gass and M. C. Fu, Encyclopedia of Operations Research and Management Science, 3, Springer-Verlag, 1256–1263, 2013 BibTeX reference
The cross-entropy method for optimization
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V. Govindaraju and C.R. Rao (eds.), Handbook of Statistics, Volume 31: Machine Learning, North Holland, 35–59, 2013 BibTeX reference
Random number generation
J. E. Gentle, W. Haerdle, and Y. Mori, Handbook of Computational Statistics, 2, Springer-Verlag, 35–71, 2012 BibTeX reference
Introduction to rare-event simulation
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Wiley Encyclopedia of Operations Research and Management Science, Wiley, 2011 BibTeX reference
Non-uniform random variate generation
M. Lovric, International Encyclopedia of Statistical Science, 14, Springer-Verlag, 991–995, 2011 BibTeX reference
Uniform random number generators
M. Lovric, International Encyclopedia of Statistical Science, 21, Springer-Verlag, 1625–1630, 2011 BibTeX reference
Analysis and improvements of path-based methods for Monte Carlo reliability evaluation of static models
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J. Faulin, A. A. Juan, S. Martorell, and E. Ramirez-Marquez, Simulation Methods for Reliability and Availability of Complex Systems, Springer-Verlag, 65–84, 2010 BibTeX reference
Pseudorandom number generators
Rama Cont, Eckhart Platen, Peter Jaeckel, Encyclopedia of Quantitative Finance, 1431–1437, 2010 BibTeX reference
F2-linear random number generators
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C. Alexopoulos, D. Goldsman, and J. R. Wilson, Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Springer-Verlag, 169–193, 2009 BibTeX reference
Importance sampling and rare event simulation
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G. Rubino and B. Tu_x000E_n, Rare Event Simulation Using Monte Carlo Methods, Wiley, 17–38, 2009 BibTeX reference
Splitting techniques
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G. Rubino and B. Tu_x000E_n, Rare Event Simulation Using Monte Carlo Methods, Wiley, 39–62, 2009 BibTeX reference
Random number generation
S.G. Henderson & B.L. Nelson (eds.), Elsevier Handbooks in Operations Research and Management Science: Simulation, 13, 55–81, 2006 BibTeX reference
Random number generation
Eds S. G. Henderson and B. L. Nelson, Elsevier Handbooks in Operations Research and Management Science: Simulation, (3), Elsevier Science, 2005 BibTeX reference
Random number generation
Eds JE Gentle, W Haerdle, and Y Mori, Handbook of Computational Statistics, 2, Springer-Verlag, 35–70, 2004 BibTeX reference
Random number generation and quasi-Monte Carlo
Eds J Teugels and B Sundt, Encyclopedia of Actuarial Science, 3, John Wiley, Chichester, UK, 1363–1369, 2004 BibTeX reference
Computational science and its applications
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volumes 2667-2669 (3 livres), ICCSA 2003, Lecture Notes in Computer Science, volumes 2667-2669 (3 livres, Springer-Verlag, Berlin, 2667–2669, 2003 BibTeX reference

Proceedings

Accurate computation of the right tail of the sum of dependent log-normal variates
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To appear in: 2017 Winter Simulation Conference (WSC), IEEE Press, Las Vegas, NV, USA, 2017 BibTeX reference
History of random number generation
To appear in: 2017 Winter Simulation Conference (WSC), IEEE Press, Las Vegas, NV, USA, 2017 BibTeX reference
Simulation from the normal distribution truncated to an interval in the tail
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ValueTools 2016, IEEE Press, Taormina, Italy, 2016 BibTeX reference
Staffing optimization with chance constraints for emergency call centers
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MOSIM 2016 - 11th International Conference on Modeling, Optimization and Simulation, Montréal, Canada, 2016 BibTeX reference
Randomized quasi-Monte Carlo: An introduction for practitioners
To appear in: 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2016), Springer-Verlag, Berlin, 2016 BibTeX reference
Search (non-)neutrality and impact on innovation
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NetEcon 2016 : The 11th Workshop on the Economics of Networks, Systems and Computation, Juan-les-Pins, France, 2016 BibTeX reference
Towards understanding the behavior of classes using probabilistic models of program inputs
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Proceedings of the 16th International Conference on Fundamental Approaches to Software Engineering (FASE), Lecture Notes in Computer Science, 7793, Springer-Verlag, 99–113, 2013 BibTeX reference
On the choice of figure of merit for randomly-shifted lattice rules
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Monte Carlo and Quasi Monte Carlo Methods 2010, Springer-Verlag, Berlin, 133–159, 2012 BibTeX reference
Constructing adapted Lattice rules using problem-dependent criteria
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Proceedings of the 2012 Winter Simulation Conference, inv243, IEEE Press, 2012 BibTeX reference
Dependent failures in highly-reliable static networks
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Proceedings of the 2012 Winter Simulation Conference, con250, IEEE Press, 2012 BibTeX reference
On the modeling and forecasting of call center arrivals
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Proceedings of the 2012 Winter Simulation Conference, inv243, IEEE Press, 2012 BibTeX reference
On figures of merit for randomly-shifted lattice rules
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23, 133–159, 2012 BibTeX reference
An importance sampling method based on a one-step look-ahead density from a Markov chain
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Proceedings of the 2011 Winter Simulation Conference, IEEE Press, 528–539, 2011 BibTeX reference
Graph reductions to speed up importance sampling-based static reliability estimation
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Proceedings of the 2011 Winter Simulation Conference, IEEE Press, 429–438, 2011 BibTeX reference
RMSIM: A Java library for simulating revenue management systems
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Proceedings of the 2011 Winter Simulation Conference, IEEE Press, 2703–2714, 2011 BibTeX reference
Americal option pricing with randomized quasi-Monte Carlo simulation
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Proceedings of the 2010 Winter Simulation Conference, IEEE Press, 2705–2720, 2010 BibTeX reference
Combination of conditional Monte Carlo and approximate zero-variance importance sampling for network reliability estimation
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Proceedings of the 2010 Winter Simulation Conference, IEEE Press, 1263–1274, 2010 BibTeX reference
A practical view of randomized quasi-Monte Carlo
Proc. ValueTools 2009, ACM Pub., 2009 BibTeX reference
Estimation strategies for mixed logit models
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Proc. IATBR Conf., 555, Jaipur, India, 2009 BibTeX reference
Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals
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Proc. WSC, 352–358, 2009 BibTeX reference
Limiting distributions for randomly-shifted lattice rules
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Proc. St. Petersburg Workshop on Simul., 885–889, 2009 BibTeX reference
On array-RQMC for Markov chains: Mapping alternatives and convergence rates
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Monte Carlo and Quasi-Monte Carlo Methods (MCQMC) 2008, Springer-Verlag, 485–500, 2009 BibTeX reference
On the behavior of weighted star discrepancy bounds for shifted lattice rules
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MCQMC 2008, Springer-Verlag, 603–616, 2009 BibTeX reference
On the error distribution for randomly-shifted lattice rules
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Proc. WSC, 392–402, 2009 BibTeX reference
A coding theoretic approach to building nets with well-equidistributed projections
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Monte Carlo and Quasi-Monte Carlo methods 2006, Springer-Verlag, 313–325, 2008 BibTeX reference
A fast jump ahead algorithm for linear recurrences in a polynomial space
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Proceedings of the Fifth International Conference on Sequences and Their Applications (SETA 2008), 290–298, 2008 BibTeX reference
Approximate zero-variance simulation
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Proceedings of the 2008 Winter Simulation Conference, 170–181, 2008 BibTeX reference
Comparison of point sets and sequences for quasi-Monte Carlo and for random number generation
Proceedings of the Fifth International Conference on Sequences and Their Applications (SETA 2008), 2008 BibTeX reference
Quasi-Monte Carlo simulation of discrete-time markov chains in multidimensional state spaces
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Monte Carlo and Quasi-Monte Carlo methods 2006, Springer-Verlag, 413–429, 2008 BibTeX reference
Simulation of a Lévy process by PCA sampling to reduce the effective dimension
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Proceedings of the 2008 Winter Simulation Conference, 436–443, 2008 BibTeX reference
Speeding up call center simulation and optimization by Markov chain uniformization
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Proceedings of the 2008 Winter Simulation Conference, 1652–1660, 2008 BibTeX reference
Variance reduction's greatest hits
Proceedings of the 2007 European Simulation and Modeling Conference, 5–12, 2007 BibTeX reference
Asymptotic robustness of estimators in rare-event simulation
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Proceedings of the 2007 INFORMS Simulation Society Research Workshop, Fontainebleau, France, 2007 BibTeX reference
Effective approximation of zero-variance simulation in a reliability setting
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Proceedings of the 2007 European Simulation and Modeling Conference, 48–54, 2007 BibTeX reference
Estimating the probability of a rare event over a finite horizon
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Proceedings of the 2007 Winter Simulation Conference, IEEE Press, Pistacaway, N.J., 403–411, 2007 BibTeX reference
Fortieth anniversary special panel: Landmark papers
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Proceedings of the 2007 Winter Simulation Conference, IEEE Press, Pistacaway, N.J., 2–13, 2007 BibTeX reference
Simulation-based optimization of agent scheduling in multiskill call centers
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Proceedings of the 2007 Industrial Simulation Conference, 255–263, 2007 BibTeX reference
Modeling and optimization problems in contact centers
Proceedings of the Third International Conference on Quantitative Evaluation of Systems (QEST 2006), University of California, Riversdale, IEEE Computing Society, 145–154, 2006 BibTeX reference
Robustness properties for simulations of highly reliable systems
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Proceedings of RESIM 2006, Bamberg, Allemagne, 107–118, 2006 BibTeX reference
Splitting for rare-event simulation
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IEEE Press, Monterey, USA, 137–148, 2006 BibTeX reference
Splitting with weight windows to control the likelihood ratio in importance sampling
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Proceedings of ValueTools 2006, Pise, Italy, 2006 BibTeX reference
Variance reduction in the simulation of call centers
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Proceedings of the 2006 Winter Simulation Conference, Monterey, USA, 604–613, 2006 BibTeX reference
Quasi-Monte Carlo Methods in Finance
Proceedings of the 2004 Winter Simulation Conference, IEEE Press, 1645–1655, 2004 BibTeX reference