5 citations · 8 across the 2 of their papers we have counts for
3 papers
math.ST2019★ 3 cited
Unbiased Multilevel Monte Carlo: Stochastic Optimization, Steady-state Simulation, Quantiles, and Other Applications
Jose H. Blanchet, Peter W. Glynn, Yanan Pei
We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance unde…
math.PR2015
Exact sampling for some multi-dimensional queueing models with renewal input
Jose Blanchet, Yanan Pei, Karl Sigman
Using a result of Blanchet and Wallwater (2015: Exact sampling of stationary and time-reversed queues. ACM TOMACS, 25, 26) for exactly simulating the maximum of a negative drift ra…
math.PR2015★ 5 cited
Perfect Sampling of GI/GI/c Queues
Jose Blanchet, Jing Dong, Yanan Pei
We introduce the first class of perfect sampling algorithms for the steady-state distribution of multi-server queues with general interarrival time and service time distributions.…