×
Author ID: glynn.peter-w Recent zbMATH articles by "Glynn, Peter W."
Published as: Glynn, Peter W.; Glynn, Peter; Glynn, P. W.; Glynn, P.
Further Spellings: Glynn, Peter Winston Gunnar
Homepage: https://web.stanford.edu/~glynn/
External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef
all top 5

Co-Authors

20 single-authored
27 Blanchet, Jose H.
18 Whitt, Ward
15 Iglehart, Donald Lee
8 Asmussen, Søren
8 Heidelberger, Philip
7 Infanger, Alex
6 Araman, Victor F.
6 Bambos, Nicholas
6 L’Ecuyer, Pierre
5 Fox, Bennett Louis
5 Henderson, Shane G.
5 Thorisson, Hermann
5 Wang, Rob J.
5 Xia, Li
5 Zeevi, Assaf J.
5 Zheng, Zeyu
5 Zhou, Zhengyuan
4 Calvin, James M.
4 Haas, Peter J.
4 Juneja, Sandeep
4 Rhee, Chang-Han
3 Andradóttir, Sigrún
3 Awad, Hernan P.
3 Glynn, John E.
3 Honnappa, Harsha
3 Mandjes, Michel Robertus Hendrikus
3 Mertikopoulos, Panayotis
3 Olvera-Cravioto, Mariana
3 Pihlsgård, Mats
3 Rubinstein, Reuven Y.
3 Sigman, Karl
3 Ward, Amy R.
3 Zhang, Xiaowei
3 Zheng, Shuheng
3 Zhou, Zhengqing
2 Andersen, Lars Nørvang
2 Chia, Yen Lin
2 Duffie, James Darrell
2 Ensor, Katherine Bennett
2 Fu, Michael C.
2 Giroux, Nataly
2 Goyal, Ambuj
2 Infanger, Gerd
2 Leder, Kevin
2 Lim, Eunji
2 Mahdian, Saied
2 Mazumdar, Ravi R.
2 Meyn, Sean P.
2 Muñoz, David Fernando
2 Nakayama, Marvin K.
2 Ormoneit, Dirk
2 Pasupathy, Raghu
2 Peng, Yijie
2 Shanbhag, Uday V.
2 Torres, Marcelo
2 Tuffin, Bruno
2 Wang, Shengbo
2 Wong, Eugene W.
2 Xia, Cathy Honghui
2 Ye, Yinyu
1 Agrawal, Shubhada
1 Albin, Susan L.
1 Altiok, Tayfur
1 Ata, Baris
1 Aurzada, Frank
1 Basawa, Ishwar V.
1 Bhat, U. Narayan
1 Boyd, Stephen Poythress
1 Bradley, James R.
1 Broemeling, Lyle David
1 Chan, Joshua C. C.
1 Chaudhry, Mohan L.
1 Chen, Hong
1 Chen, Xinyun
1 Crovelli, Robert A.
1 Damerdji, Halim
1 Dantzig, George Bernard
1 De Chalendar, Jacques A.
1 Delgoshaie, Amir H.
1 Desai, Paritosh Y.
1 DiCiccio, Thomas J.
1 Dolgin, Andrey
1 Duchi, John C.
1 Eaves, B. Curtis
1 Elsayed, Elsayed A.
1 Fan, Lin
1 Foley, Robert D.
1 Gani, Joseph Mark
1 Gaver, Donald Paul jun.
1 Gelenbe, Sami Erol
1 Ghosh, Soumyadip
1 Giesecke, Kay
1 Glasserman, Paul
1 Glickman, Theodore S.
1 Goldsmith, Andrea J.
1 Grassmann, Winfried
1 Gray, Henry L.
1 Green, Linda Vogel
1 Gupta, Abhishek Kr.
1 Gupta, Syamantak Datta
...and 84 more Co-Authors
all top 5

Serials

20 Queueing Systems
18 Operations Research
16 ACM Transactions on Modeling and Computer Simulation
12 Management Science
11 Journal of Applied Probability
11 Mathematics of Operations Research
11 The Annals of Applied Probability
10 Stochastic Processes and their Applications
9 Operations Research Letters
8 Advances in Applied Probability
8 Probability in the Engineering and Informational Sciences
3 Naval Research Logistics
3 Communications in Statistics. Stochastic Models
3 Stochastic Models
3 Stochastic Systems
2 Statistics & Probability Letters
2 Annals of Operations Research
2 SIAM Journal on Applied Mathematics
2 SIAM Journal on Optimization
1 IEEE Transactions on Information Theory
1 The Annals of Probability
1 Econometrica
1 IEEE Transactions on Automatic Control
1 Journal of Multivariate Analysis
1 Journal of Statistical Planning and Inference
1 SIAM Journal on Scientific and Statistical Computing
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Stochastic Hydrology and Hydraulics
1 ORSA Journal on Computing
1 Communications in Statistics. Theory and Methods
1 Journal of Statistical Computation and Simulation
1 Mathematical Programming. Series A. Series B
1 Bernoulli
1 Computational & Mathematical Organization Theory
1 INFORMS Journal on Computing
1 Statistical Methods in Medical Research
1 Computational Management Science
1 Lecture Notes in Mathematics
1 Stochastic Modelling and Applied Probability
1 Springer Proceedings in Mathematics & Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 Annals of Operations Research
1 Journal of Computational Physics: X

Publications by Year

Citations contained in zbMATH Open

167 Publications have been cited 2,419 times in 1,808 Documents Cited by Year
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
344
2007
A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063
Glynn, Peter W.; Meyn, Sean P.
89
1996
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
74
2003
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
73
2015
Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093
Glynn, Peter W.; Whitt, Ward
66
1994
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
64
1991
Queues with negative arrivals. Zbl 0744.60110
Gelenbe, Erol; Glynn, Peter; Sigman, Karl
63
1991
Importance sampling for stochastic simulations. Zbl 0691.65107
Glynn, Peter W.; Iglehart, Donald L.
63
1989
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
56
1995
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
51
2003
The asymptotic efficiency of simulation estimators. Zbl 0760.62009
Glynn, Peter W.; Whitt, Ward
51
1992
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
49
2005
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
48
1995
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
46
2016
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
46
2002
Parallel processors for planning under uncertainty. Zbl 0714.90074
Dantzig, George B.; Glynn, Peter W.
44
1990
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
38
2008
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
36
1992
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
36
2004
Large deviations behavior of counting processes and their inverses. Zbl 0805.60023
Glynn, Peter W.; Whitt, Ward
32
1994
Simulation output analysis using standardized time series. Zbl 0704.65110
Glynn, Peter W.; Iglehart, Donald L.
29
1990
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
28
2014
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
26
2012
A new view of the heavy-traffic limit theorem for infinite-server queues. Zbl 0716.60105
Glynn, Peter W.; Whitt, Ward
25
1991
A central-limit-theorem version of \(L=\lambda W\). Zbl 0676.60088
Glynn, P. W.; Whitt, W.
24
1986
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W.
23
2006
The asymptotic validity of sequential stopping rules for stochastic simulations. Zbl 0792.68200
Glynn, Peter W.; Whitt, Ward
22
1992
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
21
2002
Limit theorems for cumulative processes. Zbl 0779.60021
Glynn, Peter W.; Whitt, Ward
21
1993
Indirect estimation via \(L=\lambda W\). Zbl 0719.62098
Glynn, Peter W.; Whitt, Ward
20
1989
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
18
2000
Sufficient conditions for functional-limit-theorem versions of \(L=\lambda W\). Zbl 0681.60097
Glynn, P. W.; Whitt, W.
18
1987
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
18
2011
Some topics in regenerative steady-state simulation. Zbl 0799.60084
Glynn, Peter W.
17
1994
Diffusion approximations. Zbl 0703.60072
Glynn, Peter W.
17
1990
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
16
2018
Simulation methods of queues: An overview. Zbl 0665.60101
Glynn, Peter W.; Iglehart, Donald L.
16
1988
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
16
2002
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350
Blanchet, J.; Glynn, P.; Liu, J. C.
15
2007
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
15
2011
Stochastic optimization by simulation: Numerical experiments with the \(M/M/1\) queue in steady-state. Zbl 0822.90066
L’Ecuyer, Pierre; Giroux, Nataly; Glynn, Peter W.
14
1994
Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071
Glynn, Peter W.; L’Ecuyer, Pierre
14
1995
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
14
2002
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
14
2000
Poisson’s equation for the recurrent \(M/G/1\) queue. Zbl 0820.60073
Glynn, Peter W.
14
1994
An LIL version of \(L=\lambda W\). Zbl 0665.90033
Glynn, Peter W.; Whitt, Ward
14
1988
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
14
2008
Upper bounds on Poisson tail probabilities. Zbl 0616.60020
Glynn, Peter W.
13
1987
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
13
2007
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
13
2006
Ordinary CLT and WLLN versions of \(L=\lambda W\). Zbl 0685.90043
Glynn, Peter W.; Whitt, Ward
13
1988
Estimating the asymptotic variance with batch means. Zbl 0744.62113
Glynn, Peter W.; Whitt, Ward
12
1991
Recurrence properties of autoregressive processes with super-heavy-tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
12
2004
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
12
2015
Statistics of robust optimization: a generalized empirical likelihood approach. Zbl 1473.62292
Duchi, John C.; Glynn, Peter W.; Namkoong, Hongseok
12
2021
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
11
2015
On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033
Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter
11
2011
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
11
2006
Analysis of parallel replicated simulations under a completion time constraint. Zbl 0842.65099
Glynn, Peter W.; Heidelberger, Philip
10
1991
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
10
2003
Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002
Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W.
10
2009
Discrete-time conversion for simulating finite-horizon Markov processes. Zbl 0825.60043
Fox, Bennett L.; Glynn, Peter W.
9
1990
Stochastic optimization by simulation: Convergence proofs for the \(GI/G/1\) queue in steady-state. Zbl 0823.90046
L’Ecuyer, Pierre; Glynn, Peter W.
9
1994
Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021
Glynn, Peter W.
9
1995
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
9
2004
Trading securities using trailing stops. Zbl 0859.90025
Glynn, Peter W.; Iglehart, Donald L.
9
1995
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
9
2011
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
9
2013
Extensions of the queueing relations \(L=\lambda W\) and \(H=\lambda G\). Zbl 0677.90032
Glynn, Peter W.; Whitt, Ward
9
1989
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
9
2006
Heavy-traffic extreme-value limits for queues. Zbl 0854.60094
Glynn, Peter W.; Whitt, Ward
8
1995
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
8
2016
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
8
2002
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W.
8
2010
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 1490.62211
Blanchet, Jose; Glynn, Peter; Leder, Kevin
8
2012
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
7
2001
Discrete-time conversion for simulating semi-Markov processes. Zbl 0612.60081
Fox, Bennett L.; Glynn, Peter W.
7
1986
Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
7
2012
A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088
Muñoz, David F.; Glynn, Peter W.
6
1997
Regenerative structure of Markov chains simulated via common random numbers. Zbl 0576.60082
Glynn, Peter W.
6
1985
Some asymptotic formulas for Markov chains with applications to simulation. Zbl 0585.60072
Glynn, Peter W.
6
1984
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
6
2002
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
6
2001
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P.
6
2011
How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076
Rubinstein, Reuven Y.; Glynn, Peter W.
6
2009
Uniform Cesaro limit theorems for synchronous processes with applications to queues. Zbl 0743.60023
Glynn, Peter; Sigman, Karl
5
1992
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
5
2016
Dynamics on linear influence network games under stochastic environments. Zbl 1453.91036
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
5
2016
Simulation output analysis for general state space Markov chains. Zbl 0642.65097
Glynn, Peter W.; Iglehart, Donald L.
5
1982
On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104
Zhang, Xiaowei; Glynn, Peter W.
5
2011
Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
5
2013
On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333
Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W.
5
2000
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
5
2009
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
5
2000
On the convergence of mirror descent beyond stochastic convex programming. Zbl 1461.90085
Zhou, Zhengyuan; Mertikopoulos, Panayotis; Bambos, Nicholas; Boyd, Stephen P.; Glynn, Peter W.
5
2020
Smoothed variable sample-size accelerated proximal methods for nonsmooth stochastic convex programs. Zbl 1511.90311
Jalilzadeh, Afrooz; Shanbhag, Uday; Blanchet, Jose; Glynn, Peter W.
5
2022
Analysis of initial transient deletion for parallel steady-state simulations. Zbl 0756.65164
Glynn, Peter W.; Heidelberger, Philip
4
1992
Estimating customer and time averages. Zbl 0771.60077
Glynn, Peter W.; Melamed, Benjamin; Whitt, Ward
4
1993
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
4
2017
Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. Zbl 1368.60083
Glynn, Peter W.; Wang, Rob J.
4
2015
Smoothed variable sample-size accelerated proximal methods for nonsmooth stochastic convex programs. Zbl 1511.90311
Jalilzadeh, Afrooz; Shanbhag, Uday; Blanchet, Jose; Glynn, Peter W.
5
2022
On a single server queue fed by scheduled traffic with Pareto perturbations. Zbl 1486.60038
Araman, Victor F.; Chen, Hong; Glynn, Peter W.; Xia, Li
1
2022
Distributed stochastic optimization with large delays. Zbl 1501.90059
Zhou, Zhengyuan; Mertikopoulos, Panayotis; Bambos, Nicholas; Glynn, Peter; Ye, Yinyu
1
2022
Statistics of robust optimization: a generalized empirical likelihood approach. Zbl 1473.62292
Duchi, John C.; Glynn, Peter W.; Namkoong, Hongseok
12
2021
Efficient steady-state simulation of high-dimensional stochastic networks. Zbl 1496.60111
Blanchet, Jose; Chen, Xinyun; Si, Nian; Glynn, Peter W.
2
2021
On the convergence of mirror descent beyond stochastic convex programming. Zbl 1461.90085
Zhou, Zhengyuan; Mertikopoulos, Panayotis; Bambos, Nicholas; Boyd, Stephen P.; Glynn, Peter W.
5
2020
Technical note – central limit theorems for estimated functions at estimated points. Zbl 1454.60034
Glynn, Peter W.; Fan, Lin; Fu, Michael C.; Hu, Jian-Qiang; Peng, Yijie
1
2020
Likelihood ratio gradient estimation for steady-state parameters. Zbl 1435.60051
Glynn, Peter W.; Olvera-Cravioto, Mariana
1
2019
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
16
2018
Rates of convergence and CLTs for subcanonical debiased MLMC. Zbl 1405.60034
Zheng, Zeyu; Blanchet, Jose; Glynn, Peter W.
3
2018
On the rate of convergence to equilibrium for reflected Brownian motion. Zbl 1408.60019
Glynn, Peter W.; Wang, Rob J.
3
2018
Deterministic and stochastic wireless network games: equilibrium, dynamics, and price of anarchy. Zbl 1455.91060
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
2
2018
Monte Carlo and quasi-Monte Carlo methods, MCQMC 2016. Proceedings of the 12th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Stanford, CA, August 14–19, 2016. Zbl 1400.65006
1
2018
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
4
2017
An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments. Zbl 1370.60159
Ata, Baris; Glynn, Peter W.; Peng, Xiaoshan
2
2017
Recurrence classification for a family of non-linear storage models. Zbl 1393.60076
Glynn, Peter W.; Glynn, John E.; Rai, Sanatan
1
2017
On preemptive-repeat LIFO queues. Zbl 1388.90035
Asmussen, Søren; Glynn, Peter W.
1
2017
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
46
2016
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
8
2016
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
5
2016
Dynamics on linear influence network games under stochastic environments. Zbl 1453.91036
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
5
2016
Computing Bayesian means using simulation. Zbl 1369.65016
Andradóttir, Sigrún; Glynn, Peter W.
1
2016
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
73
2015
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
12
2015
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
11
2015
Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. Zbl 1368.60083
Glynn, Peter W.; Wang, Rob J.
4
2015
Lévy matters V. Functionals of Lévy processes. Zbl 1337.60007
Andersen, Lars Nørvang; Asmussen, Søren; Aurzada, Frank; Glynn, Peter W.; Maejima, Makoto; Pihlsgård, Mats; Simon, Thomas
2
2015
On transience and recurrence in irreducible finite-state stochastic systems. Zbl 1371.60158
Glynn, Peter W.; Haas, Peter J.
1
2015
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
28
2014
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
9
2013
Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
5
2013
On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047
Pihlsgård, Mats; Glynn, Peter W.
3
2013
Asymptotic simulation efficiency based on large deviations. Zbl 1386.65049
Glynn, Peter W.; Juneja, Sandeep
1
2013
On the convergence of the spectrum of finite order approximations of stationary time series. Zbl 1328.62519
Gupta, Syamantak Datta; Mazumdar, Ravi R.; Glynn, Peter
1
2013
Zero-variance importance sampling estimators for Markov process expectations. Zbl 1291.65029
Awad, Hernan P.; Glynn, Peter W.; Rubinstein, Reuven Y.
1
2013
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
26
2012
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 1490.62211
Blanchet, Jose; Glynn, Peter; Leder, Kevin
8
2012
Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
7
2012
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
18
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
15
2011
On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033
Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter
11
2011
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
9
2011
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P.
6
2011
On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104
Zhang, Xiaowei; Glynn, Peter W.
5
2011
Uniform approximations for the \(M/G/1\) queue with subexponential processing times. Zbl 1242.60095
Olvera-Cravioto, Mariana; Glynn, Peter W.
2
2011
On exponential limit laws for hitting times of rare sets for Harris chains and processes. Zbl 1233.60013
Glynn, Peter W.
2
2011
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L&rsquo;Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W.
8
2010
Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002
Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W.
10
2009
How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076
Rubinstein, Reuven Y.; Glynn, Peter W.
6
2009
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
5
2009
Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084
Awad, Hernan; Glynn, Peter
4
2009
Rare event simulation for a slotted time M/G/s model. Zbl 1209.90105
Blanchet, J.; Glynn, P.; Lam, H.
2
2009
Robustness properties and confidence interval reliability issues. Zbl 1165.62026
Glynn, Peter W.; Rubino, Gerardo; Tuffin, Bruno
1
2009
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
38
2008
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
14
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
344
2007
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350
Blanchet, J.; Glynn, P.; Liu, J. C.
15
2007
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
13
2007
On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187
Awad, Hernan P.; Glynn, Peter W.
3
2007
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W.
23
2006
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
13
2006
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
11
2006
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
9
2006
Laws of large numbers and functional central limit theorems for generalized semi-Markov processes. Zbl 1094.60020
Glynn, Peter W.; Haas, Peter J.
3
2006
The semi-regenerative method of simulation output analysis. Zbl 1478.62233
Calvin, James M.; Glynn, Peter W.; Nakayama, Marvin K.
1
2006
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
49
2005
Diffusion approximations for the maximum of a perturbed random walk. Zbl 1086.60020
Araman, Victor F.; Glynn, Peter W.
1
2005
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
36
2004
Recurrence properties of autoregressive processes with super-heavy-tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
12
2004
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
9
2004
Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053
Zeevi, Assaf; Glynn, Peter W.
4
2004
Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585
Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W.
3
2004
Limit theory for taboo-regenerative processes. Zbl 1061.90031
Glynn, Peter W.; Thorisson, Hermann
2
2004
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
74
2003
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
51
2003
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
10
2003
Nonexistence of a class of variate generation schemes. Zbl 1034.65002
Henderson, Shane G.; Glynn, Peter W.
3
2003
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
46
2002
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
21
2002
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
16
2002
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
14
2002
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
8
2002
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
6
2002
Optimal control of parallel queues with batch service. Zbl 1019.90016
Xia, Cathy H.; Michailidis, George; Bambos, Nicholas; Glynn, Peter W.
2
2002
Structural characterization of taboo-stationarity for general processes in two-sided time. Zbl 1075.60517
Glynn, Peter W.; Thorisson, Hermann
2
2002
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
7
2001
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
6
2001
Regenerative steady-state simulation of discrete-event systems. Zbl 1490.62219
Henderson, Shane G.; Glynn, Peter W.
4
2001
Multivariate standardized time series for steady-state simulation output analysis. Zbl 1163.62344
Muñoz, David F.; Glynn, Peter W.
2
2001
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
18
2000
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
14
2000
On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333
Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W.
5
2000
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
5
2000
Diversity and popularity in organizations and communities. Zbl 0917.90220
Nasrallah, Walid; Glynn, Peter; Levitt, Raymond
1
1999
Strong approximations in queueing theory. Zbl 0937.60021
Glynn, Peter W.
2
1998
Independent sampling of a stochastic process. Zbl 0932.60040
Glynn, Peter; Sigman, Karl
1
1998
Limit theory for performance modeling of future event set algorithms. Zbl 0988.90515
Damerdji, Halim; Glynn, Peter W.
1
1998
A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088
Muñoz, David F.; Glynn, Peter W.
6
1997
Parametric estimation of tail probabilities for the single-server queue. Zbl 0869.62057
Glynn, Peter W.; Torres, Marcelo
1
1997
Stochastic optimization via grid search. Zbl 0894.60022
Ensor, Katherine Bennett; Glynn, Peter W.
1
1997
...and 67 more Documents
all top 5

Cited by 2,624 Authors

67 Glynn, Peter W.
46 Mandjes, Michel Robertus Hendrikus
41 Blanchet, Jose H.
36 Whitt, Ward
23 Asmussen, Søren
23 Jasra, Ajay
22 Zwart, Bert P.
18 Meyn, Sean P.
16 Roberts, Gareth O.
14 Lam, Henry
13 Tempone, Raúl F.
12 Fu, Michael C.
12 Liu, Yuanyuan
12 Sigman, Karl
12 van Leeuwaarden, Johan S. H.
11 Dębicki, Krzysztof
11 Lee, Chihoon
11 Shanbhag, Uday V.
10 Heidergott, Bernd F.
10 Law, Kody J. H.
10 L’Ecuyer, Pierre
10 Liu, Jingchen
9 Bo, Lijun
9 Dupuis, Paul G.
9 Giles, Michael B.
9 Seppäläinen, Timo
9 Spiliopoulos, Konstantinos V.
9 Wang, Yongjin
8 Gobet, Emmanuel
8 Goldsman, David M.
8 Guo, Yongjiang
8 Janssen, Augustus Josephus Elizabeth Maria
8 Nakayama, Marvin K.
8 Zhu, Lingjiong
7 Ascione, Giacomo
7 Beskos, Alexandros
7 Budhiraja, Amarjit S.
7 Del Moral, Pierre
7 Glasserman, Paul
7 Henderson, Shane G.
7 Hobert, James P.
7 Minkevičius, Saulius
7 Miyazawa, Masakiyo
7 Nelson, Barry L.
7 Peng, Yijie
7 Pirozzi, Enrica
7 Rojas-Nandayapa, Leonardo
7 Rubinstein, Reuven Y.
6 Boxma, Onno Johan
6 Flegal, James M.
6 Hammond, Alan
6 Hernández-Lerma, Onésimo
6 Infanger, Gerd
6 Ivanovs, Jevgeņijs
6 Jones, Galin L.
6 Juneja, Sandeep
6 Khare, Kshitij
6 Latuszynski, Krzysztof
6 Liu, Xin
6 Liu, Yunan
6 Mehrotra, Sanjay
6 Morton, David P.
6 Palmowski, Zbigniew
6 Pender, Jamol J.
6 Thorisson, Hermann
6 Tuffin, Bruno
6 Vihola, Matti
6 Yang, Xuewei
5 Albrecher, Hansjörg
5 Araman, Victor F.
5 Bayraksan, Güzin
5 Ben Rached, Nadhir
5 Bertsimas, Dimitris John
5 Bisewski, Krzysztof
5 Bréhier, Charles-Edouard
5 Chen, Anyue
5 Chen, Xinyun
5 Dieker, A. B.
5 Doucet, Arnaud
5 Duffy, Ken R.
5 Haas, Peter J.
5 Hashorva, Enkelejd
5 Hu, Yaozhong
5 Jasso-Fuentes, Héctor
5 Kella, Offer
5 Labbé, Martine V.
5 Li, Junping
5 Macci, Claudio
5 Mandelbaum, Avi
5 Marzouk, Youssef M.
5 Moulines, Eric
5 Murthy, Karthyek R. A.
5 Nobile, Amelia G.
5 O’Connell, Neil
5 Olvera-Cravioto, Mariana
5 Pang, Guodong
5 Pasupathy, Raghu
5 Pavliotis, Grigorios A.
5 Prabhakar, Balaji
5 Rhee, Chang-Han
...and 2,524 more Authors
all top 5

Cited in 282 Serials

123 Queueing Systems
80 The Annals of Applied Probability
71 European Journal of Operational Research
64 Journal of Applied Probability
61 Stochastic Processes and their Applications
60 Annals of Operations Research
47 Advances in Applied Probability
45 Operations Research Letters
35 Operations Research
34 Statistics & Probability Letters
34 Probability in the Engineering and Informational Sciences
31 Methodology and Computing in Applied Probability
30 Mathematical Programming. Series A. Series B
28 Statistics and Computing
26 INFORMS Journal on Computing
25 Bernoulli
23 Mathematics of Operations Research
21 SIAM/ASA Journal on Uncertainty Quantification
20 Stochastic Systems
18 Journal of Statistical Physics
18 The Annals of Statistics
18 Electronic Journal of Statistics
17 Discrete Event Dynamic Systems
16 Journal of Econometrics
15 Journal of Computational Physics
15 The Annals of Probability
15 SIAM Journal on Optimization
15 Stochastic Models
14 Insurance Mathematics & Economics
13 Automatica
13 ACM Transactions on Modeling and Computer Simulation
13 Quantitative Finance
12 Computers & Operations Research
12 SIAM Journal on Scientific Computing
11 Journal of Statistical Planning and Inference
11 Monte Carlo Methods and Applications
10 Stochastic Analysis and Applications
10 Communications in Statistics. Theory and Methods
10 Electronic Journal of Probability
9 Journal of Mathematical Analysis and Applications
9 Naval Research Logistics
9 Applied Mathematical Modelling
9 Computational Statistics and Data Analysis
8 Computer Methods in Applied Mechanics and Engineering
8 Journal of Computational and Applied Mathematics
8 Mathematics and Computers in Simulation
8 Probability Theory and Related Fields
8 Communications in Statistics. Simulation and Computation
8 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
8 Finance and Stochastics
8 Journal of Machine Learning Research (JMLR)
8 Multiscale Modeling & Simulation
7 Scandinavian Journal of Statistics
7 Applied Mathematics and Computation
7 Applied Mathematics and Optimization
7 Journal of the American Statistical Association
7 Journal of Theoretical Probability
7 Automation and Remote Control
7 Journal of Statistical Computation and Simulation
7 Cybernetics and Systems Analysis
6 SIAM Journal on Numerical Analysis
6 Journal of Complexity
6 Statistical Science
6 International Journal of Computer Mathematics
6 SIAM Review
6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
6 Scandinavian Actuarial Journal
6 Computational Management Science
6 Science China. Mathematics
6 Journal of Computational and Graphical Statistics
5 Computers & Mathematics with Applications
5 Journal of Optimization Theory and Applications
5 Theoretical Computer Science
5 Optimization
5 Mathematical and Computer Modelling
5 SIAM Journal on Applied Mathematics
5 Computational Optimization and Applications
5 Mathematical Finance
5 Mathematical Methods of Operations Research
5 Statistical Inference for Stochastic Processes
5 Stochastics
5 Frontiers of Mathematics in China
5 Journal of Physics A: Mathematical and Theoretical
5 SIAM Journal on Financial Mathematics
4 Bulletin of Mathematical Biology
4 SIAM Journal on Control and Optimization
4 Probability and Mathematical Statistics
4 Acta Applicandae Mathematicae
4 Statistics
4 Sequential Analysis
4 Algorithmica
4 Econometric Reviews
4 Machine Learning
4 Journal of Mathematical Sciences (New York)
4 Top
4 Electronic Communications in Probability
4 Extremes
4 Econometric Theory
4 RAIRO. Operations Research
4 Sādhanā
...and 182 more Serials
all top 5

Cited in 40 Fields

1,088 Probability theory and stochastic processes (60-XX)
574 Operations research, mathematical programming (90-XX)
470 Numerical analysis (65-XX)
467 Statistics (62-XX)
245 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
157 Computer science (68-XX)
86 Systems theory; control (93-XX)
64 Statistical mechanics, structure of matter (82-XX)
40 Partial differential equations (35-XX)
39 Biology and other natural sciences (92-XX)
32 Calculus of variations and optimal control; optimization (49-XX)
25 Dynamical systems and ergodic theory (37-XX)
20 Combinatorics (05-XX)
18 Ordinary differential equations (34-XX)
15 Information and communication theory, circuits (94-XX)
13 Operator theory (47-XX)
12 Approximations and expansions (41-XX)
10 Number theory (11-XX)
10 Linear and multilinear algebra; matrix theory (15-XX)
10 Fluid mechanics (76-XX)
5 Measure and integration (28-XX)
5 Functions of a complex variable (30-XX)
5 Special functions (33-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Integral transforms, operational calculus (44-XX)
5 Global analysis, analysis on manifolds (58-XX)
5 Mechanics of deformable solids (74-XX)
4 Quantum theory (81-XX)
3 General and overarching topics; collections (00-XX)
2 Difference and functional equations (39-XX)
2 Functional analysis (46-XX)
2 Mechanics of particles and systems (70-XX)
2 Classical thermodynamics, heat transfer (80-XX)
2 Mathematics education (97-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Field theory and polynomials (12-XX)
1 Real functions (26-XX)
1 Integral equations (45-XX)
1 Optics, electromagnetic theory (78-XX)
1 Geophysics (86-XX)

Citations by Year

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.