Pierre L'Ecuyer

发表

Constructing adapted lattice rules using problem-dependent criteria

Pierre L'Ecuyer, David Munger, 2012, Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC).

Gradient estimation for ratios

Peter W. Glynn, Pierre L'Ecuyer, Michel Adès, 1991, 1991 Winter Simulation Conference Proceedings..

Accurate computation of the right tail of the sum of dependent log-normal variates

Zdravko I. Botev, Pierre L'Ecuyer, Z. Botev, 2017, 2017 Winter Simulation Conference (WSC).

Efficient and portable 32-bit random variate generators

Pierre L'Ecuyer, 1986, WSC '86.

Sampling Conditionally on a Rare Event via Generalized Splitting

Zdravko I. Botev, Pierre L'Ecuyer, 2020, INFORMS J. Comput..

Pricing Call and Put Options Embedded in Bonds

Pierre L'Ecuyer, Michèle Breton, Hatem Ben-Ameur, 2002 .

Fast combined multiple recursive generators with multipliers of the form a = ±2q ±2r

Pierre L'Ecuyer, Renée Touzin, P. L'Ecuyer, 2000, WSC '00.

Importance Sampling in Rare Event Simulation

Pierre L'Ecuyer, Michel Mandjes, Bruno Tuffin, 2009, Rare Event Simulation using Monte Carlo Methods.

Quasi-Monte Carlo methods with applications in finance

Pierre L'Ecuyer, P. L'Ecuyer, 2008, Finance Stochastics.

Beware of linear congruential generators with multipliers of the form a = ±2q ±2r

Pierre L'Ecuyer, Richard J. Simard, R. Simard, 1999, TOMS.

Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights

Pierre L'Ecuyer, Vasile Sinescu, 2011, J. Complex..

Various ways academics teach simulation: are they all appropriate?

Lee W. Schruben, James R. Wilson, Barry L. Nelson, 2001, Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304).

Reliability of stochastic flow networks with continuous link capacities

Reuven Y. Rubinstein, Zdravko I. Botev, Pierre L'Ecuyer, 2014, Proceedings of the Winter Simulation Conference 2014.

Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation

Pierre L'Ecuyer, P. L'Ecuyer, 2008, SETA.

Random numbers for simulation

Pierre L'Ecuyer, P. L'Ecuyer, 1990, CACM.

Simulation of a Lévy process by PCA sampling to reduce the effective dimension

Pierre L'Ecuyer, Maxime Dion, Jean-Sebastien Parent-Chartier, 2008, 2008 Winter Simulation Conference.

Using lattice rules for variance reduction in simulation

Christiane Lemieux, Pierre L'Ecuyer, P. L’Ecuyer, 2000, 2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165).

Comparing alternative methods for derivative estimation when IPA does not apply directly

Pierre L'Ecuyer, Felisa J. Vázquez-Abad, 1991, 1991 Winter Simulation Conference Proceedings..

Quasi-Monte Carlo methods in finance

Pierre L'Ecuyer, P. L’Ecuyer, 2004, Proceedings of the 2004 Winter Simulation Conference, 2004..

Markov chain importance sampling with applications to rare event probability estimation

Bruno Tuffin, Zdravko I. Botev, Pierre L'Ecuyer, 2011, Stat. Comput..

Variance bounds and existence results for randomly shifted lattice rules

Pierre L'Ecuyer, Vasile Sinescu, Vasile Sinescu, 2012, J. Comput. Appl. Math..

Estimating the probability of a rare event over a finite time horizon

Gerardo Rubino, Pieter-Tjerk de Boer, Bruno Tuffin, 2007, 2007 Winter Simulation Conference.

Uniform random number generators

Pierre L'Ecuyer, 1998, WSC '98.

Random Number Generators Based on Linear Recurrences in F 2 w

Pierre L'Ecuyer, François Panneton, François Panneton, 2003 .

Convergence rates for steady-state derivative estimators

Pierre L'Ecuyer, P. L’Ecuyer, P. L'Ecuyer, 1990, Ann. Oper. Res..

Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals

Pierre L'Ecuyer, Nabil Channouf, 2009, Proceedings of the 2009 Winter Simulation Conference (WSC).

Markov chain importance sampling with applications to rare event probability analysis

Bruno Tuffin, Zdravko I. Botev, Pierre L'Ecuyer, 2010 .

Editorial Introduction to the Special Issue on MCM 2017

Pierre L'Ecuyer, 2019, Math. Comput. Simul..

Approximate Zero-Variance Importance Sampling for Static Network Reliability Estimation

Gerardo Rubino, Bruno Tuffin, Samira Saggadi, 2011, IEEE Transactions on Reliability.

Efficiency improvement by lattice rules for pricing Asian options

Christiane Lemieux, Pierre L'Ecuyer, C. Lemieux, 1998, 1998 Winter Simulation Conference. Proceedings (Cat. No.98CH36274).

A Fast Jump Ahead Algorithm for Linear Recurrences in a Polynomial Space

Pierre L'Ecuyer, Makoto Matsumoto, Hiroshi Haramoto, 2008, SETA.

Non-uniform Random Variate Generations

Pierre L'Ecuyer, P. L'Ecuyer, 2011, International Encyclopedia of Statistical Science.

Inverting the symmetrical beta distribution

Pierre L'Ecuyer, Richard J. Simard, R. Simard, 2006, TOMS.

Chapter 3 Uniform Random Number Generation

Pierre L'Ecuyer, P. L'Ecuyer, 2006, Simulation.

Algorithm 958

Pierre L'Ecuyer, David Munger, D. Munger, 2016, ACM Trans. Math. Softw..

Functional Estimation with Respect to a Threshold Parameter via Dynamic Split-and-Merge

Pierre L'Ecuyer, Felisa J. Vázquez-Abad, F. Vázquez-Abad, 1997, Discret. Event Dyn. Syst..

Linear congruential generators of order K>1

Pierre L'Ecuyer, François Blouin, 1988, WSC '88.

Combining the Stochastic Counterpart and Stochastic Approximation Methods

Jean-Pierre Dussault, Reuven Y. Rubinstein, Pierre L'Ecuyer, 1995, Discret. Event Dyn. Syst..

Quasi-Monte Carlo simulation of coagulation-fragmentation

Ali Tarhini, Pierre L'Ecuyer, Christian Lécot, 2018, Math. Comput. Simul..

Conditioning by Permutation Monte Carlo for Continuous-Time Markov Chains

Bruno Tuffin, Rohan Shah, Zdravko I. Botev, 2015 .

Approximate zero-variance simulation

Bruno Tuffin, Pierre L'Ecuyer, B. Tuffin, 2008, 2008 Winter Simulation Conference.

Coupling from the past with randomized quasi-Monte Carlo

Pierre L'Ecuyer, C. Sanvido, 2010, Math. Comput. Simul..

A Tool for Custom Construction of QMC and RQMC Point Sets pdf

Pierre Marion, Maxime Godin, Pierre L'Ecuyer, 2020, ArXiv.

The Repair VS. Replacement problem: A stochastic control approach

Pierre L'Ecuyer, Alain Haurie, 1986 .

An importance sampling method based on a one-step look-ahead density from a Markov chain

Bruno Tuffin, Zdravko I. Botev, Pierre L'Ecuyer, 2011, Proceedings of the 2011 Winter Simulation Conference (WSC).

Sorting methods and convergence rates for Array-RQMC: Some empirical comparisons

Bruno Tuffin, Pierre L'Ecuyer, David Munger, 2016, Math. Comput. Simul..

Uniform random number generation

Pierre L'Ecuyer, P. L'Ecuyer, 1994, Ann. Oper. Res..

New simulation methodology for finance: efficient simulation of gamma and variance-gamma processes

Pierre L'Ecuyer, Athanassios N. Avramidis, Pierre-Alexandre Tremblay, 2003, WSC '03.

Efficient probability estimation and simulation of the truncated multivariate student-t distribution

Zdravko I. Botev, Pierre L'Ecuyer, 2015, 2015 Winter Simulation Conference (WSC).

Improved long-period generators based on linear recurrences modulo 2

Pierre L'Ecuyer, Makoto Matsumoto, François Panneton, 2004, TOMS.

Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

Christiane Lemieux, Pierre L'Ecuyer, Hatem Ben Ameur, 1999, WSC '99.

Gradient estimation via perturbation analysis, by Paul Glasserman, Kluwer, Boston. MA, 1991, 221 pp

Pierre L'Ecuyer, 1994, Networks.

A new class of linear feedback shift register generators

Pierre L'Ecuyer, François Panneton, François Panneton, 2000, 2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165).

Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space

Pierre L'Ecuyer, Christian Lécot, N. Nassif, 2010, Math. Comput. Simul..

Static Network Reliability Estimation under the Marshall-Olkin Copula

Bruno Tuffin, Zdravko I. Botev, Pierre L'Ecuyer, 2015, ACM Trans. Model. Comput. Simul..

Quasi-monte carlo methods in practice: quasi-monte carlo methods for simulation

Pierre L'Ecuyer, 2003, WSC '03.

Combination of conditional Monte Carlo and approximate zero-variance importance sampling for network reliability estimation

Gerardo Rubino, Bruno Tuffin, Pierre L'Ecuyer, 2010, Proceedings of the 2010 Winter Simulation Conference.

Splitting for rare-event simulation

Bruno Tuffin, Pierre L'Ecuyer, Valérie Demers, 2006, WSC.

American option pricing with randomized quasi-Monte Carlo simulations

Pierre L'Ecuyer, Maxime Dion, P. L'Ecuyer, 2010, Proceedings of the 2010 Winter Simulation Conference.

Linear recurrences with carry as uniform random number generators

Pierre L'Ecuyer, Raymond Couture, 1995, WSC '95.

Splitting with weight windows to control the likelihood ratio in importance sampling

Bruno Tuffin, Pierre L'Ecuyer, B. Tuffin, 2006, valuetools '06.

Resolution-stationary random number generators

Pierre L'Ecuyer, François Panneton, 2010, Math. Comput. Simul..

On the lattice structure of the add-with-carry and subtract-with-borrow random number generators

Shu Tezuka, Pierre L'Ecuyer, Raymond Couture, 1993, TOMC.

Graph reductions to speed up importance sampling-based static reliability estimation

Bruno Tuffin, Samira Saggadi, Pierre L'Ecuyer, 2011, Proceedings of the 2011 Winter Simulation Conference (WSC).

Imitation challenges: From uniform random variables to complex systems

Pierre L'Ecuyer, 2015, 2015 Winter Simulation Conference (WSC).

Processus de décision markoviens à étapes discrètes: Application à des problèmes de remplacement d'équipement

Pierre L'Ecuyer, Pierre L'Ecuyer, 1983 .

Quasi-Monte Carlo via linear shift-register sequences

Christiane Lemieux, Pierre L'Ecuyer, 1999, WSC '99.

Markov chain models of a telephone call center with call blending

Armann Ingolfsson, Pierre L'Ecuyer, Juta Pichitlamken, 2007, Comput. Oper. Res..

Rare events, splitting, and quasi-Monte Carlo

Bruno Tuffin, Pierre L'Ecuyer, Valérie Demers, 2007, TOMC.

A search for good multiple recursive random number generators

Pierre L'Ecuyer, Raymond Couture, François Blouin, 1993, TOMC.

Array-RQMC for Option Pricing Under Stochastic Volatility Models

Pierre L'Ecuyer, Florian Puchhammer, Amal Ben Abdellah, 2019, 2019 Winter Simulation Conference (WSC).

Combined generators with components from different families

Pierre L'Ecuyer, Jacinthe Granger-Piché, P. L'Ecuyer, 2003, Math. Comput. Simul..

Approximating zero-variance importance sampling in a reliability setting

Bruno Tuffin, Pierre L'Ecuyer, B. Tuffin, 2011, Ann. Oper. Res..

On the Deng-Lin random number generators and related methods

Pierre L'Ecuyer, Renée Touzin, P. L'Ecuyer, 2004, Stat. Comput..

Fortieth anniversary special panel: Landmark papers

Barry L. Nelson, David Goldsman, Pierre L'Ecuyer, 2007, 2007 Winter Simulation Conference.

Non-neutrality of search engines and its impact on innovation

Patrick Maillé, Bruno Tuffin, Pierre L'Ecuyer, 2018, Internet Technol. Lett..