Edit Profile (opens in new tab) Glynn, Peter W. Co-Author Distance Author ID: glynn.peter-w Published as: Glynn, Peter W.; Glynn, Peter; Glynn, P. W.; Glynn, P. more...less Further Spellings: Glynn, Peter Winston Gunnar Homepage: https://web.stanford.edu/~glynn/ External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef Documents Indexed: 235 Publications since 1982, including 2 Books and 36 Additional arXiv Preprints 3 Contributions as Editor · 1 Further Contribution Co-Authors: 133 Co-Authors with 217 Joint Publications 3,381 Co-Co-Authors 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 all top 5 Fields 160 Probability theory and stochastic processes (60-XX) 63 Numerical analysis (65-XX) 60 Operations research, mathematical programming (90-XX) 58 Statistics (62-XX) 19 Computer science (68-XX) 13 Systems theory; control (93-XX) 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 General and overarching topics; collections (00-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Ordinary differential equations (34-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Measure and integration (28-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications 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’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 cited Publications top 5 cited Publications 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 Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.