6 citations · 8 across the 4 of their papers we have counts for
4 papers · 1 filter
Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
Xinyun Chen
In this paper we develop the first perfect sampling algorithm for queues with Hawkes input, i.e. single-server queues with Hawkes arrivals and i.i.d. service times of general distr…
Efficient Steady-state Simulation of High-dimensional Stochastic Networks
Jose Blanchet, Xinyun Chen, Peter Glynn +1
We propose and study an asymptotically optimal Monte Carlo estimator for steady-state expectations of a d-dimensional reflected Brownian motion. Our estimator is asymptotically opt…
Perfect Sampling and Gradient Simulation for Fork-Join Networks
Xinyun Chen, Xianjun Shi
Fork-join network is a class of queueing networks with applications in manufactory, healthcare and computation systems. In this paper, we develop a simulation algorithm that (1) ge…
Perfect Sampling of Generalized Jackson Network
Jose Blanchet, Xinyun Chen
We provide the first perfect sampling algorithm for a Generalized Jackson Network of FIFO queues under arbitrary topology and non-Markovian assumptions on the input of the network.…