## Glynn, Peter W.

Compute Distance To:
 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: 188 Publications since 1982, including 2 Books 3 Contributions as Editor · 1 Further Contribution Co-Authors: 108 Co-Authors with 172 Joint Publications 2,461 Co-Co-Authors
all top 5

### Co-Authors

 20 single-authored 18 Whitt, Ward 15 Iglehart, Donald Lee 14 Blanchet, Jose H. 8 Heidelberger, Philip 7 Asmussen, Søren 6 L’Ecuyer, Pierre 5 Bambos, Nicholas 5 Fox, Bennett Louis 5 Henderson, Shane G. 5 Zeevi, Assaf J. 4 Araman, Victor F. 4 Calvin, James M. 4 Haas, Peter J. 4 Thorisson, Hermann 4 Wang, Rob J. 4 Zhou, Zhengyuan 3 Andradóttir, Sigrún 3 Awad, Hernan P. 3 Glynn, John E. 3 Olvera-Cravioto, Mariana 3 Pihlsgård, Mats 3 Rubinstein, Reuven Y. 3 Sigman, Karl 3 Ward, Amy R. 3 Zheng, Zeyu 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 Juneja, Sandeep 2 Leder, Kevin 2 Mandjes, Michel Robertus Hendrikus 2 Mertikopoulos, Panayotis 2 Meyn, Sean P. 2 Muñoz, David Fernando 2 Nakayama, Marvin K. 2 Ormoneit, Dirk 2 Peng, Yijie 2 Rhee, Chang-Han 2 Torres, Marcelo 2 Tuffin, Bruno 2 Wong, Eugene W. 2 Xia, Cathy Honghui 2 Zhang, Xiaowei 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, Xinyun 1 Crovelli, Robert A. 1 Damerdji, Halim 1 Dantzig, George Bernard 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 K. 1 Gray, Henry L. 1 Green, Linda V. 1 Gupta, Syamantak Datta 1 Harris, Carl M. 1 Hashemi, Fatemeh S. 1 Heimann, D. I. 1 Heyman, Daniel P. 1 Holliday, Tim 1 Honnappa, Harsha 1 Hsieh, Ming-hua 1 Infanger, Alex 1 Jain, Joti Lal 1 Jaiswal, N. K. 1 Jo, Kyung Y. 1 Keilson, Julian 1 Kelton, Christina M. L. 1 Kelton, W. David 1 Kijima, Masaaki 1 Kolesar, Peter J. 1 Kroese, Dirk P. 1 Lam, Henry ...and 59 more Co-Authors
all top 5

### Serials

 19 Queueing Systems 17 Operations Research 16 ACM Transactions on Modeling and Computer Simulation 12 Management Science 11 Journal of Applied Probability 11 The Annals of Applied Probability 9 Mathematics of Operations Research 9 Operations Research Letters 8 Advances in Applied Probability 8 Stochastic Processes and their Applications 8 Probability in the Engineering and Informational Sciences 3 Communications in Statistics. Stochastic Models 3 Stochastic Models 2 Statistics & Probability Letters 2 Annals of Operations Research 2 SIAM Journal on Applied Mathematics 2 SIAM Journal on Optimization 2 Stochastic Systems 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 Naval Research Logistics 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 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
all top 5

### Fields

 141 Probability theory and stochastic processes (60-XX) 59 Numerical analysis (65-XX) 55 Operations research, mathematical programming (90-XX) 54 Statistics (62-XX) 19 Computer science (68-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Systems theory; control (93-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 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)

### Citations contained in zbMATH Open

160 Publications have been cited 2,031 times in 1,512 Documents Cited by Year
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
2007
A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063
Glynn, Peter W.; Meyn, Sean P.
1996
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
2003
Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093
Glynn, Peter W.; Whitt, Ward
1994
Importance sampling for stochastic simulations. Zbl 0691.65107
Glynn, Peter W.; Iglehart, Donald L.
1989
Queues with negative arrivals. Zbl 0744.60110
Gelenbe, Erol; Glynn, Peter; Sigman, Karl
1991
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
1991
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
2015
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
1995
The asymptotic efficiency of simulation estimators. Zbl 0760.62009
Glynn, Peter W.; Whitt, Ward
1992
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
2005
Parallel processors for planning under uncertainty. Zbl 0714.90074
Dantzig, George B.; Glynn, Peter W.
1990
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
2003
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
1995
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
2002
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
2008
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
2004
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
1992
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
2016
Simulation output analysis using standardized time series. Zbl 0704.65110
Glynn, Peter W.; Iglehart, Donald L.
1990
Large deviations behavior of counting processes and their inverses. Zbl 0805.60023
Glynn, Peter W.; Whitt, Ward
1994
A new view of the heavy-traffic limit theorem for infinite-server queues. Zbl 0716.60105
Glynn, Peter W.; Whitt, Ward
1991
A central-limit-theorem version of $$L=\lambda W$$. Zbl 0676.60088
Glynn, P. W.; Whitt, W.
1986
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W.
2006
Limit theorems for cumulative processes. Zbl 0779.60021
Glynn, Peter W.; Whitt, Ward
1993
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
2014
Sufficient conditions for functional-limit-theorem versions of $$L=\lambda W$$. Zbl 0681.60097
Glynn, P. W.; Whitt, W.
1987
The asymptotic validity of sequential stopping rules for stochastic simulations. Zbl 0792.68200
Glynn, Peter W.; Whitt, Ward
1992
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
2012
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
2000
Indirect estimation via $$L=\lambda W$$. Zbl 0719.62098
Glynn, Peter W.; Whitt, Ward
1989
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
2011
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
2002
Some topics in regenerative steady-state simulation. Zbl 0799.60084
Glynn, Peter W.
1994
Simulation methods of queues: An overview. Zbl 0665.60101
Glynn, Peter W.; Iglehart, Donald L.
1988
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.
1994
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.
2007
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
2000
An LIL version of $$L=\lambda W$$. Zbl 0665.90033
Glynn, Peter W.; Whitt, Ward
1988
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
2002
Ordinary CLT and WLLN versions of $$L=\lambda W$$. Zbl 0685.90043
Glynn, Peter W.; Whitt, Ward
1988
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
2002
Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071
Glynn, Peter W.; L’Ecuyer, Pierre
1995
Poisson’s equation for the recurrent $$M/G/1$$ queue. Zbl 0820.60073
Glynn, Peter W.
1994
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
2011
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
2006
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
2007
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
2018
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
2008
Upper bounds on Poisson tail probabilities. Zbl 0616.60020
Glynn, Peter W.
1987
Estimating the asymptotic variance with batch means. Zbl 0744.62113
Glynn, Peter W.; Whitt, Ward
1991
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
2006
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
2011
Stochastic optimization by simulation: Convergence proofs for the $$GI/G/1$$ queue in steady-state. Zbl 0823.90046
L’Ecuyer, Pierre; Glynn, Peter W.
1994
Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021
Glynn, Peter W.
1995
Analysis of parallel replicated simulations under a completion time constraint. Zbl 0842.65099
Glynn, Peter W.; Heidelberger, Philip
1991
Trading securities using trailing stops. Zbl 0859.90025
Glynn, Peter W.; Iglehart, Donald L.
1995
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
2015
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.
2009
Extensions of the queueing relations $$L=\lambda W$$ and $$H=\lambda G$$. Zbl 0677.90032
Glynn, Peter W.; Whitt, Ward
1989
Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
2004
Discrete-time conversion for simulating finite-horizon Markov processes. Zbl 0825.60043
Fox, Bennett L.; Glynn, Peter W.
1990
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
2004
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
2013
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988
Blanchet, Jose; Glynn, Peter; Leder, Kevin
2012
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
2011
Diffusion approximations. Zbl 0703.60072
Glynn, Peter W.
1990
Heavy-traffic extreme-value limits for queues. Zbl 0854.60094
Glynn, Peter W.; Whitt, Ward
1995
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
2001
Discrete-time conversion for simulating semi-Markov processes. Zbl 0612.60081
Fox, Bennett L.; Glynn, Peter W.
1986
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
2006
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
2016
Regenerative structure of Markov chains simulated via common random numbers. Zbl 0576.60082
Glynn, Peter W.
1985
Some asymptotic formulas for Markov chains with applications to simulation. Zbl 0585.60072
Glynn, Peter W.
1984
A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088
Muñoz, David F.; Glynn, Peter W.
1997
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
2003
Fractional Brownian motion with $$H < \frac{1}{2}$$ as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
2012
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W.
2010
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
2002
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.
2000
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
2002
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
2015
Simulation output analysis for general state space Markov chains. Zbl 0642.65097
Glynn, Peter W.; Iglehart, Donald L.
1982
Uniform Cesaro limit theorems for synchronous processes with applications to queues. Zbl 0743.60023
Glynn, Peter; Sigman, Karl
1992
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
2001
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P.
2011
Large deviations for the empirical mean of an M/M/$$1$$ queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
2013
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
2016
On the Markov property of the GI/G/infinity Gaussian limit. Zbl 0482.60092
Glynn, Peter W.
1982
Estimating customer and time averages. Zbl 0771.60077
Glynn, Peter W.; Melamed, Benjamin; Whitt, Ward
1993
Notes: Conditions for the applicability of the regenerative method. Zbl 0796.62072
Glynn, Peter W.; Iglehart, Donald L.
1993
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
2017
Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053
Zeevi, Assaf; Glynn, Peter W.
2004
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
2009
Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084
Awad, Hernan; Glynn, Peter
2009
Simulating discounted costs. Zbl 0707.60082
Fox, Bennett L.; Glynn, Peter W.
1989
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
2000
Estimation of steady-state central moments by the regenerative method of simulation. Zbl 0631.62095
Glynn, Peter W.; Iglehart, Donald L.
1986
On the range of a regenerative sequence. Zbl 0573.60083
Glynn, Peter W.
1985
A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069
Glynn, J. E.; Glynn, P. W.
1996
Statistics of robust optimization: a generalized empirical likelihood approach. Zbl 1473.62292
Duchi, John C.; Glynn, Peter W.; Namkoong, Hongseok
2021
Efficient steady-state simulation of high-dimensional stochastic networks. Zbl 07547871
Blanchet, Jose; Chen, Xinyun; Si, Nian; Glynn, Peter W.
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.
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
2020
Likelihood ratio gradient estimation for steady-state parameters. Zbl 1435.60051
Glynn, Peter W.; Olvera-Cravioto, Mariana
2019
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
2018
Rates of convergence and CLTs for subcanonical debiased MLMC. Zbl 1405.60034
Zheng, Zeyu; Blanchet, Jose; Glynn, Peter W.
2018
On the rate of convergence to equilibrium for reflected Brownian motion. Zbl 1408.60019
Glynn, Peter W.; Wang, Rob J.
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
2018
Deterministic and stochastic wireless network games: equilibrium, dynamics, and price of anarchy. Zbl 1455.91060
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
2018
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
2017
An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments. Zbl 1370.60159
Ata, Baris; Glynn, Peter W.; Peng, Xiaoshan
2017
Recurrence classification for a family of non-linear storage models. Zbl 1393.60076
Glynn, Peter W.; Glynn, John E.; Rai, Sanatan
2017
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
2016
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
2016
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
2016
Dynamics on linear influence network games under stochastic environments. Zbl 1453.91036
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
2016
Computing Bayesian means using simulation. Zbl 1369.65016
Andradóttir, Sigrún; Glynn, Peter W.
2016
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
2015
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
2015
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
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
2015
Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. Zbl 1368.60083
Glynn, Peter W.; Wang, Rob J.
2015
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
2014
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
2013
Large deviations for the empirical mean of an M/M/$$1$$ queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
2013
On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047
Pihlsgård, Mats; Glynn, Peter W.
2013
Asymptotic simulation efficiency based on large deviations. Zbl 1386.65049
Glynn, Peter W.; Juneja, Sandeep
2013
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
2012
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988
Blanchet, Jose; Glynn, Peter; Leder, Kevin
2012
Fractional Brownian motion with $$H < \frac{1}{2}$$ as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
2012
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
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
2011
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
2011
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P.
2011
On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104
Zhang, Xiaowei; Glynn, Peter W.
2011
Uniform approximations for the $$M/G/1$$ queue with subexponential processing times. Zbl 1242.60095
Olvera-Cravioto, Mariana; Glynn, Peter W.
2011
On exponential limit laws for hitting times of rare sets for Harris chains and processes. Zbl 1233.60013
Glynn, Peter W.
2011
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L&rsquo;Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W.
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.
2009
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
2009
Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084
Awad, Hernan; Glynn, Peter
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.
2009
Rare event simulation for a slotted time M/G/s model. Zbl 1209.90105
Blanchet, J.; Glynn, P.; Lam, H.
2009
Robustness properties and confidence interval reliability issues. Zbl 1165.62026
Glynn, Peter W.; Rubino, Gerardo; Tuffin, Bruno
2009
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
2008
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
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.
2007
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
2007
On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187
Awad, Hernan P.; Glynn, Peter W.
2007
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W.
2006
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
2006
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
2006
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
2006
Laws of large numbers and functional central limit theorems for generalized semi-Markov processes. Zbl 1094.60020
Glynn, Peter W.; Haas, Peter J.
2006
The semi-regenerative method of simulation output analysis. Zbl 1478.62233
Calvin, James M.; Glynn, Peter W.; Nakayama, Marvin K.
2006
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
2005
Diffusion approximations for the maximum of a perturbed random walk. Zbl 1086.60020
Araman, Victor F.; Glynn, Peter W.
2005
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
2004
Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
2004
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
2004
Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053
Zeevi, Assaf; Glynn, Peter W.
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.
2004
Limit theory for taboo-regenerative processes. Zbl 1061.90031
Glynn, Peter W.; Thorisson, Hermann
2004
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
2003
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
2003
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
2003
Nonexistence of a class of variate generation schemes. Zbl 1034.65002
Henderson, Shane G.; Glynn, Peter W.
2003
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
2002
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
2002
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
2002
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
2002
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
2002
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
2002
Optimal control of parallel queues with batch service. Zbl 1019.90016
Xia, Cathy H.; Michailidis, George; Bambos, Nicholas; Glynn, Peter W.
2002
Structural characterization of taboo-stationarity for general processes in two-sided time. Zbl 1075.60517
Glynn, Peter W.; Thorisson, Hermann
2002
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
2001
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
2001
Regenerative steady-state simulation of discrete-event systems. Zbl 06886311
Henderson, Shane G.; Glynn, Peter W.
2001
Multivariate standardized time series for steady-state simulation output analysis. Zbl 1163.62344
Muñoz, David F.; Glynn, Peter W.
2001
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
2000
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
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.
2000
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
2000
Diversity and popularity in organizations and communities. Zbl 0917.90220
Nasrallah, Walid; Glynn, Peter; Levitt, Raymond
1999
Strong approximations in queueing theory. Zbl 0937.60021
Glynn, Peter W.
1998
Limit theory for performance modeling of future event set algorithms. Zbl 0988.90515
Damerdji, Halim; Glynn, Peter W.
1998
Independent sampling of a stochastic process. Zbl 0932.60040
Glynn, Peter; Sigman, Karl
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.
1997
Parametric estimation of tail probabilities for the single-server queue. Zbl 0869.62057
Glynn, Peter W.; Torres, Marcelo
1997
Stochastic optimization via grid search. Zbl 0894.60022
Ensor, Katherine Bennett; Glynn, Peter W.
1997
Average case behavior of random search for the maximum. Zbl 0891.60080
Calvin, James M.; Glynn, Peter W.
1997
A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063
Glynn, Peter W.; Meyn, Sean P.
1996
A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069
Glynn, J. E.; Glynn, P. W.
1996
Nonparametric estimation of tail probabilities for the single-server queue. Zbl 0856.62036
Glynn, Peter W.; Torres, Marcelo
1996
Efficient simulation via coupling. Zbl 1094.65504
Glynn, Peter W.; Wong, Eugene W.
1996
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
1995
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
1995
...and 60 more Documents
all top 5

### Cited by 2,163 Authors

 60 Glynn, Peter W. 40 Mandjes, Michel Robertus Hendrikus 36 Blanchet, Jose H. 33 Whitt, Ward 21 Zwart, Bert P. 20 Asmussen, Søren 17 Jasra, Ajay 17 Meyn, Sean P. 14 Roberts, Gareth O. 11 Lam, Henry 11 Sigman, Karl 11 van Leeuwaarden, Johan S. H. 10 Lee, Chihoon 9 Bo, Lijun 9 Dębicki, Krzysztof 9 Dupuis, Paul G. 9 Giles, Michael B. 9 Heidergott, Bernd F. 9 Liu, Jingchen 8 Fu, Michael C. 8 Goldsman, David M. 8 Guo, Yongjiang 8 L’Ecuyer, Pierre 8 Nakayama, Marvin K. 8 Shanbhag, Uday V. 8 Spiliopoulos, Konstantinos V. 8 Tempone, Raúl F. 8 Wang, Yongjin 7 Budhiraja, Amarjit S. 7 Glasserman, Paul 7 Hobert, James P. 7 Janssen, Augustus Josephus Elizabeth Maria 7 Miyazawa, Masakiyo 7 Rubinstein, Reuven Y. 7 Zhu, Lingjiong 6 Beskos, Alexandros 6 Flegal, James M. 6 Gobet, Emmanuel 6 Hernández-Lerma, Onésimo 6 Infanger, Gerd 6 Jones, Galin L. 6 Juneja, Sandeep 6 Khare, Kshitij 6 Law, Kody J. H. 6 Minkevičius, Saulius 6 Nelson, Barry L. 6 Thorisson, Hermann 6 Tuffin, Bruno 6 Yang, Xuewei 5 Boxma, Onno Johan 5 Chen, Anyue 5 Chen, Xinyun 5 Del Moral, Pierre 5 Dieker, A. B. 5 Doucet, Arnaud 5 Duffy, Ken R. 5 Haas, Peter J. 5 Hashorva, Enkelejd 5 Henderson, Shane G. 5 Hu, Yaozhong 5 Ivanovs, Jevgeņijs 5 Jasso-Fuentes, Héctor 5 Labbé, Martine V. 5 Latuszynski, Krzysztof 5 Li, Junping 5 Liu, Yunan 5 Macci, Claudio 5 Mandelbaum, Avi 5 Mehrotra, Sanjay 5 Morton, David P. 5 Moulines, Eric 5 Nobile, Amelia G. 5 O’Connell, Neil 5 Olvera-Cravioto, Mariana 5 Palmowski, Zbigniew 5 Pender, Jamol 5 Prabhakar, Balaji 5 Rhee, Chang-Han 5 Ridder, Ad 5 Sen, Suvrajeet 5 Seppäläinen, Timo 5 Taimre, Thomas 5 Vihola, Matti 5 Weerasinghe, Ananda P. N. 4 Albrecher, Hansjörg 4 Andrieu, Christophe 4 Araman, Victor F. 4 Ata, Baris 4 Barth, Andrea 4 Bayraksan, Güzin 4 Bertrand, J. Will M. 4 Bertsimas, Dimitris John 4 Botev, Zdravko I. 4 Bréhier, Charles-Edouard 4 Calvin, James M. 4 Chan, Joshua C. C. 4 Chen, Shih-Pin 4 Dassios, Angelos 4 Gao, Xuefeng 4 Gatto, Riccardo ...and 2,063 more Authors
all top 5

### Cited in 244 Serials

 115 Queueing Systems 71 The Annals of Applied Probability 63 European Journal of Operational Research 58 Journal of Applied Probability 56 Annals of Operations Research 55 Stochastic Processes and their Applications 43 Advances in Applied Probability 43 Operations Research Letters 32 Probability in the Engineering and Informational Sciences 31 Statistics & Probability Letters 28 Operations Research 26 Methodology and Computing in Applied Probability 23 Mathematical Programming. Series A. Series B 20 Bernoulli 20 INFORMS Journal on Computing 20 Statistics and Computing 18 SIAM/ASA Journal on Uncertainty Quantification 17 Discrete Event Dynamic Systems 16 Journal of Statistical Physics 16 Mathematics of Operations Research 16 Stochastic Systems 15 The Annals of Probability 15 The Annals of Statistics 15 Journal of Econometrics 15 Electronic Journal of Statistics 13 ACM Transactions on Modeling and Computer Simulation 13 Quantitative Finance 13 Stochastic Models 12 Insurance Mathematics & Economics 12 Computers & Operations Research 12 SIAM Journal on Optimization 11 Automatica 11 Journal of Statistical Planning and Inference 11 Monte Carlo Methods and Applications 10 SIAM Journal on Scientific Computing 9 Stochastic Analysis and Applications 9 Applied Mathematical Modelling 9 Communications in Statistics. Theory and Methods 8 Journal of Computational Physics 8 Journal of Mathematical Analysis and Applications 8 Journal of Computational and Applied Mathematics 8 Probability Theory and Related Fields 8 Computational Statistics and Data Analysis 8 Finance and Stochastics 7 Journal of Theoretical Probability 7 Automation and Remote Control 7 Journal of Statistical Computation and Simulation 7 Electronic Journal of Probability 7 Multiscale Modeling & Simulation 6 Scandinavian Journal of Statistics 6 Applied Mathematics and Computation 6 Mathematics and Computers in Simulation 6 SIAM Journal on Numerical Analysis 6 Journal of Complexity 6 Statistical Science 6 Communications in Statistics. Simulation and Computation 6 Cybernetics and Systems Analysis 5 Applied Mathematics and Optimization 5 Journal of the American Statistical Association 5 Naval Research Logistics 5 Optimization 5 Mathematical and Computer Modelling 5 SIAM Review 5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 5 Mathematical Methods of Operations Research 5 Statistical Inference for Stochastic Processes 5 Scandinavian Actuarial Journal 5 Journal of Machine Learning Research (JMLR) 5 Frontiers of Mathematics in China 5 SIAM Journal on Financial Mathematics 5 Science China. Mathematics 4 Computers & Mathematics with Applications 4 Computer Methods in Applied Mechanics and Engineering 4 Bulletin of Mathematical Biology 4 Journal of Optimization Theory and Applications 4 Theoretical Computer Science 4 Probability and Mathematical Statistics 4 Acta Applicandae Mathematicae 4 Statistics 4 Algorithmica 4 International Journal of Computer Mathematics 4 SIAM Journal on Applied Mathematics 4 Computational Optimization and Applications 4 Top 4 Extremes 4 RAIRO. Operations Research 4 Sādhanā 4 North American Actuarial Journal 4 Computational Management Science 4 Stochastics 3 Journal of Mathematical Physics 3 Theory of Probability and its Applications 3 Journal of Multivariate Analysis 3 Theoretical Population Biology 3 Acta Mathematicae Applicatae Sinica. English Series 3 Sequential Analysis 3 Econometric Reviews 3 Asia-Pacific Journal of Operational Research 3 Random Structures & Algorithms ...and 144 more Serials
all top 5

### Cited in 38 Fields

 937 Probability theory and stochastic processes (60-XX) 495 Operations research, mathematical programming (90-XX) 396 Numerical analysis (65-XX) 380 Statistics (62-XX) 204 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 130 Computer science (68-XX) 76 Systems theory; control (93-XX) 49 Statistical mechanics, structure of matter (82-XX) 35 Biology and other natural sciences (92-XX) 29 Partial differential equations (35-XX) 26 Calculus of variations and optimal control; optimization (49-XX) 18 Dynamical systems and ergodic theory (37-XX) 15 Combinatorics (05-XX) 15 Ordinary differential equations (34-XX) 13 Information and communication theory, circuits (94-XX) 12 Approximations and expansions (41-XX) 8 Number theory (11-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 7 Operator theory (47-XX) 7 Fluid mechanics (76-XX) 5 Measure and integration (28-XX) 5 Special functions (33-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Global analysis, analysis on manifolds (58-XX) 4 General and overarching topics; collections (00-XX) 4 Functions of a complex variable (30-XX) 4 Integral transforms, operational calculus (44-XX) 3 Mechanics of deformable solids (74-XX) 2 Difference and functional equations (39-XX) 2 Functional analysis (46-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Quantum theory (81-XX) 2 Mathematics education (97-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Field theory and polynomials (12-XX) 1 Integral equations (45-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX)

### Wikidata Timeline

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