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...

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

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...

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 ...

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 ...

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...

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...

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,...

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...

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...

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...

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...

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

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...

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...

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...

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

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...

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...

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