457 citations · 696 across the 72 of their papers we have counts for
8 papers · 1 filter
Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees
Soumyadip Ghosh, Henry Lam
Any performance analysis based on stochastic simulation is subject to the errors inherent in misspecifying the modeling assumptions, particularly the input distributions. In situat…
Robust Sensitivity Analysis for Stochastic Systems
Henry Lam
We study a worst-case approach to measure the sensitivity to model misspecification in the performance analysis of stochastic systems. The situation of interest is when only minima…
Two-parameter Sample Path Large Deviations for Infinite Server Queues
J. Blanchet, X. Chen, H. Lam
Let be the number of people present at time with units of remaining service time in an infinite server system with arrival rate equal to . In the presence…
Chernoff-Hoeffding Bounds for Markov Chains: Generalized and Simplified
Kai-Min Chung, Henry Lam, Zhenming Liu +1
We prove the first Chernoff-Hoeffding bounds for general nonreversible finite-state Markov chains based on the standard L_1 (variation distance) mixing-time of the chain. Specifica…
Rare-Event Simulation for Many-Server Queues
Jose Blanchet, Henry Lam
We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under quality-driven regime, focusing on the steady-state loss probability…
Efficient Rare-event Simulation for Perpetuities
Jose Blanchet, Henry Lam, Bert Zwart
We consider perpetuities of the form D = B_1 exp(Y_1) + B_2 exp(Y_1+Y_2) + ... where the Y_j's and B_j's might be i.i.d. or jointly driven by a suitable Markov chain. We assume tha…