Edit Profile (opens in new tab) Glynn, Peter W. Compute Distance To: Compute Author ID: glynn.peter-w Published as: Glynn, Peter W.; Glynn, Peter; Glynn, P. W.; Glynn, P. Further Spellings: Glynn, Peter Winston Gunnar Homepage: https://web.stanford.edu/~glynn/ External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef Documents Indexed: 186 Publications since 1982, including 2 Books 3 Contributions as Editor · 1 Further Contribution Co-Authors: 106 Co-Authors with 170 Joint Publications 2,435 Co-Co-Authors all top 5 Co-Authors 20 single-authored 18 Whitt, Ward 15 Iglehart, Donald Lee 13 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 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 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 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 Fu, Michael C. 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 1 Lavenberg, Stephen S. 1 Lee, Shing-Hoi ...and 57 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 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 Statistical Methods in Medical Research 1 Computational Management Science 1 Lecture Notes in Mathematics 1 Stochastic Modelling and Applied Probability 1 Stochastic Systems 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 140 Probability theory and stochastic processes (60-XX) 59 Numerical analysis (65-XX) 54 Statistics (62-XX) 53 Operations research, mathematical programming (90-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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 154 Publications have been cited 1,968 times in 1,459 Documents Cited by ▼ Year ▼ Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 236 2007 A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063Glynn, Peter W.; Meyn, Sean P. 82 1996 A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100Ward, Amy R.; Glynn, Peter W. 65 2003 Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093Glynn, Peter W.; Whitt, Ward 62 1994 Importance sampling for stochastic simulations. Zbl 0691.65107Glynn, Peter W.; Iglehart, Donald L. 59 1989 Queues with negative arrivals. Zbl 0744.60110Gelenbe, Erol; Glynn, Peter; Sigman, Karl 58 1991 Departures from many queues in series. Zbl 0749.60090Glynn, Peter W.; Whitt, Ward 56 1991 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 52 1995 Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016Rhee, Chang-Han; Glynn, Peter W. 50 2015 The asymptotic efficiency of simulation estimators. Zbl 0760.62009Glynn, Peter W.; Whitt, Ward 48 1992 A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064Ward, Amy R.; Glynn, Peter W. 44 2005 Parallel processors for planning under uncertainty. Zbl 0714.90074Dantzig, George B.; Glynn, Peter W. 43 1990 Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106Ward, Amy R.; Glynn, Peter W. 41 2003 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 38 1995 Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019Glynn, Peter W.; Ormoneit, Dirk 37 2002 Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315Blanchet, Jose; Glynn, Peter 35 2008 Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390Duffie, Darrell; Glynn, Peter 32 2004 Stationarity detection in the initial transient problem. Zbl 0842.68106Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 32 1992 Simulation output analysis using standardized time series. Zbl 0704.65110Glynn, Peter W.; Iglehart, Donald L. 29 1990 Large deviations behavior of counting processes and their inverses. Zbl 0805.60023Glynn, Peter W.; Whitt, Ward 27 1994 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 26 2016 A new view of the heavy-traffic limit theorem for infinite-server queues. Zbl 0716.60105Glynn, Peter W.; Whitt, Ward 25 1991 A central-limit-theorem version of \(L=\lambda W\). Zbl 0676.60088Glynn, P. W.; Whitt, W. 24 1986 Limit theorems for cumulative processes. Zbl 0779.60021Glynn, Peter W.; Whitt, Ward 18 1993 Sufficient conditions for functional-limit-theorem versions of \(L=\lambda W\). Zbl 0681.60097Glynn, P. W.; Whitt, W. 18 1987 A nonparametric approach to multiproduct pricing. Zbl 1167.90494Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W. 18 2006 On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089Zeevi, Assaf J.; Glynn, Peter W. 17 2000 The asymptotic validity of sequential stopping rules for stochastic simulations. Zbl 0792.68200Glynn, Peter W.; Whitt, Ward 17 1992 Indirect estimation via \(L=\lambda W\). Zbl 0719.62098Glynn, Peter W.; Whitt, Ward 17 1989 Consistency of multidimensional convex regression. Zbl 1342.62064Lim, Eunji; Glynn, Peter W. 16 2012 Some topics in regenerative steady-state simulation. Zbl 0799.60084Glynn, Peter W. 16 1994 Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003Glynn, Peter W.; Rhee, Chang-Han 15 2014 Simulation methods of queues: An overview. Zbl 0665.60101Glynn, Peter W.; Iglehart, Donald L. 15 1988 Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350Blanchet, J.; Glynn, P.; Liu, J. C. 14 2007 A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W. 14 2011 Stochastic optimization by simulation: Numerical experiments with the \(M/M/1\) queue in steady-state. Zbl 0822.90066L’Ecuyer, Pierre; Giroux, Nataly; Glynn, Peter W. 14 1994 Some new perspectives on the method of control variates. Zbl 1002.65016Glynn, Peter W.; Szechtman, Roberto 14 2002 Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025Glynn, Peter W.; Whitt, Ward 13 2002 An LIL version of \(L=\lambda W\). Zbl 0665.90033Glynn, Peter W.; Whitt, Ward 13 1988 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 12 2011 Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060Blanchet, J.; Glynn, P. 12 2007 Simulating the maximum of a random walk. Zbl 0974.60030Ensor, Katherine Bennett; Glynn, Peter W. 12 2000 Ordinary CLT and WLLN versions of \(L=\lambda W\). Zbl 0685.90043Glynn, Peter W.; Whitt, Ward 12 1988 Poisson’s equation for the recurrent \(M/G/1\) queue. Zbl 0820.60073Glynn, Peter W. 12 1994 Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038Blanchet, Jose; Glynn, Peter 11 2006 Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026Bradley, James R.; Glynn, Peter W. 11 2002 Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071Glynn, Peter W.; L’Ecuyer, Pierre 11 1995 Bounding stationary expectations of Markov processes. Zbl 1170.68389Glynn, Peter W.; Zeevi, Assaf 11 2008 On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter 10 2011 Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073Araman, Victor F.; Glynn, Peter W. 10 2006 Estimating the asymptotic variance with batch means. Zbl 0744.62113Glynn, Peter W.; Whitt, Ward 10 1991 On sampling rates in simulation-based recursions. Zbl 1380.93168Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S. 10 2018 Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W. 9 2009 Stochastic optimization by simulation: Convergence proofs for the \(GI/G/1\) queue in steady-state. Zbl 0823.90046L’Ecuyer, Pierre; Glynn, Peter W. 9 1994 Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021Glynn, Peter W. 9 1995 Analysis of parallel replicated simulations under a completion time constraint. Zbl 0842.65099Glynn, Peter W.; Heidelberger, Philip 9 1991 Trading securities using trailing stops. Zbl 0859.90025Glynn, Peter W.; Iglehart, Donald L. 9 1995 Upper bounds on Poisson tail probabilities. Zbl 0616.60020Glynn, Peter W. 9 1987 Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101Glynn, Peter W.; Infanger, Gerd 8 2013 On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320Glynn, Peter W.; Haas, Peter J. 8 2004 Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092Zeevi, Assaf; Glynn, Peter W. 8 2004 Discrete-time conversion for simulating finite-horizon Markov processes. Zbl 0825.60043Fox, Bennett L.; Glynn, Peter W. 8 1990 Extensions of the queueing relations \(L=\lambda W\) and \(H=\lambda G\). Zbl 0677.90032Glynn, Peter W.; Whitt, Ward 8 1989 Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147Glynn, Peter W.; Mandjes, Michel 8 2011 On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988Blanchet, Jose; Glynn, Peter; Leder, Kevin 8 2012 Computing densities for Markov chains via simulation. Zbl 1082.62071Henderson, Shane G.; Glynn, Peter W. 7 2001 Heavy-traffic extreme-value limits for queues. Zbl 0854.60094Glynn, Peter W.; Whitt, Ward 7 1995 Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W. 7 2006 Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106Blanchet, J.; Glynn, P.; Zheng, S. 7 2016 Diffusion approximations. Zbl 0703.60072Glynn, Peter W. 7 1990 Affine point processes: approximation and efficient simulation. Zbl 1331.60084Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. 7 2015 Discrete-time conversion for simulating semi-Markov processes. Zbl 0612.60081Fox, Bennett L.; Glynn, Peter W. 7 1986 Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062Araman, Victor F.; Glynn, Peter W. 6 2012 A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088Muñoz, David F.; Glynn, Peter W. 6 1997 Regenerative structure of Markov chains simulated via common random numbers. Zbl 0576.60082Glynn, Peter W. 6 1985 Some asymptotic formulas for Markov chains with applications to simulation. Zbl 0585.60072Glynn, Peter W. 6 1984 Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349Ormoneit, Dirk; Glynn, Peter 6 2002 Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W. 6 2010 Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090Blanchet, Jose; Glynn, Peter; Meyn, Sean 5 2013 Uniform Cesaro limit theorems for synchronous processes with applications to queues. Zbl 0743.60023Glynn, Peter; Sigman, Karl 5 1992 On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012Wang, Rob J.; Glynn, Peter W. 5 2016 On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W. 5 2000 Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066Glynn, Peter W.; Thorisson, Hermann 5 2001 Simulation output analysis for general state space Markov chains. Zbl 0642.65097Glynn, Peter W.; Iglehart, Donald L. 5 1982 Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005Lee, Shing-Hoi; Glynn, Peter W. 5 2003 Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084Awad, Hernan; Glynn, Peter 4 2009 A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P. 4 2011 Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516Henderson, Shane G.; Glynn, Peter W. 4 2002 Estimating customer and time averages. Zbl 0771.60077Glynn, Peter W.; Melamed, Benjamin; Whitt, Ward 4 1993 Notes: Conditions for the applicability of the regenerative method. Zbl 0796.62072Glynn, Peter W.; Iglehart, Donald L. 4 1993 Lévy processes with two-sided reflection. Zbl 1338.60126Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 4 2015 On the Markov property of the GI/G/infinity Gaussian limit. Zbl 0482.60092Glynn, Peter W. 4 1982 On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029Mandjes, Michel; Norros, Ilkka; Glynn, Peter 4 2009 Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053Zeevi, Assaf; Glynn, Peter W. 4 2004 A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039Zheng, Zeyu; Glynn, Peter W. 4 2017 How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076Rubinstein, Reuven Y.; Glynn, Peter W. 3 2009 Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W. 3 2004 A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069Glynn, J. E.; Glynn, P. W. 3 1996 On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187Awad, Hernan P.; Glynn, Peter W. 3 2007 On the range of a regenerative sequence. Zbl 0573.60083Glynn, Peter W. 3 1985 Likelihood ratio gradient estimation for steady-state parameters. Zbl 1435.60051Glynn, Peter W.; Olvera-Cravioto, Mariana 1 2019 On sampling rates in simulation-based recursions. Zbl 1380.93168Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S. 10 2018 Rates of convergence and CLTs for subcanonical debiased MLMC. Zbl 1405.60034Zheng, Zeyu; Blanchet, Jose; Glynn, Peter W. 3 2018 On the rate of convergence to equilibrium for reflected Brownian motion. Zbl 1408.60019Glynn, Peter W.; Wang, Rob J. 2 2018 Deterministic and stochastic wireless network games: equilibrium, dynamics, and price of anarchy. Zbl 1455.91060Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter 1 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 1 2018 A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039Zheng, Zeyu; Glynn, Peter W. 4 2017 An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments. Zbl 1370.60159Ata, Baris; Glynn, Peter W.; Peng, Xiaoshan 2 2017 Recurrence classification for a family of non-linear storage models. Zbl 1393.60076Glynn, Peter W.; Glynn, John E.; Rai, Sanatan 1 2017 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 26 2016 Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106Blanchet, J.; Glynn, P.; Zheng, S. 7 2016 On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012Wang, Rob J.; Glynn, Peter W. 5 2016 Dynamics on linear influence network games under stochastic environments. Zbl 1453.91036Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter 1 2016 Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016Rhee, Chang-Han; Glynn, Peter W. 50 2015 Affine point processes: approximation and efficient simulation. Zbl 1331.60084Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. 7 2015 Lévy processes with two-sided reflection. Zbl 1338.60126Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 4 2015 Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. Zbl 1368.60083Glynn, Peter W.; Wang, Rob J. 1 2015 Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003Glynn, Peter W.; Rhee, Chang-Han 15 2014 Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101Glynn, Peter W.; Infanger, Gerd 8 2013 Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090Blanchet, Jose; Glynn, Peter; Meyn, Sean 5 2013 On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047Pihlsgård, Mats; Glynn, Peter W. 3 2013 Asymptotic simulation efficiency based on large deviations. Zbl 1386.65049Glynn, Peter W.; Juneja, Sandeep 1 2013 Consistency of multidimensional convex regression. Zbl 1342.62064Lim, Eunji; Glynn, Peter W. 16 2012 On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988Blanchet, Jose; Glynn, Peter; Leder, Kevin 8 2012 Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062Araman, Victor F.; Glynn, Peter W. 6 2012 A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W. 14 2011 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 12 2011 On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter 10 2011 Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147Glynn, Peter W.; Mandjes, Michel 8 2011 A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P. 4 2011 On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104Zhang, Xiaowei; Glynn, Peter W. 3 2011 Uniform approximations for the \(M/G/1\) queue with subexponential processing times. Zbl 1242.60095Olvera-Cravioto, Mariana; Glynn, Peter W. 2 2011 On exponential limit laws for hitting times of rare sets for Harris chains and processes. Zbl 1233.60013Glynn, Peter W. 1 2011 Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W. 6 2010 Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W. 9 2009 Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084Awad, Hernan; Glynn, Peter 4 2009 On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029Mandjes, Michel; Norros, Ilkka; Glynn, Peter 4 2009 How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076Rubinstein, Reuven Y.; Glynn, Peter W. 3 2009 Rare event simulation for a slotted time M/G/s model. Zbl 1209.90105Blanchet, J.; Glynn, P.; Lam, H. 2 2009 Robustness properties and confidence interval reliability issues. Zbl 1165.62026Glynn, Peter W.; Rubino, Gerardo; Tuffin, Bruno 1 2009 Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315Blanchet, Jose; Glynn, Peter 35 2008 Bounding stationary expectations of Markov processes. Zbl 1170.68389Glynn, Peter W.; Zeevi, Assaf 11 2008 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 236 2007 Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350Blanchet, J.; Glynn, P.; Liu, J. C. 14 2007 Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060Blanchet, J.; Glynn, P. 12 2007 On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187Awad, Hernan P.; Glynn, Peter W. 3 2007 A nonparametric approach to multiproduct pricing. Zbl 1167.90494Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W. 18 2006 Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038Blanchet, Jose; Glynn, Peter 11 2006 Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073Araman, Victor F.; Glynn, Peter W. 10 2006 Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W. 7 2006 Laws of large numbers and functional central limit theorems for generalized semi-Markov processes. Zbl 1094.60020Glynn, Peter W.; Haas, Peter J. 2 2006 The semi-regenerative method of simulation output analysis. Zbl 1478.62233Calvin, James M.; Glynn, Peter W.; Nakayama, Marvin K. 1 2006 A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064Ward, Amy R.; Glynn, Peter W. 44 2005 Diffusion approximations for the maximum of a perturbed random walk. Zbl 1086.60020Araman, Victor F.; Glynn, Peter W. 1 2005 Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390Duffie, Darrell; Glynn, Peter 32 2004 On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320Glynn, Peter W.; Haas, Peter J. 8 2004 Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092Zeevi, Assaf; Glynn, Peter W. 8 2004 Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053Zeevi, Assaf; Glynn, Peter W. 4 2004 Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W. 3 2004 Limit theory for taboo-regenerative processes. Zbl 1061.90031Glynn, Peter W.; Thorisson, Hermann 2 2004 A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100Ward, Amy R.; Glynn, Peter W. 65 2003 Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106Ward, Amy R.; Glynn, Peter W. 41 2003 Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005Lee, Shing-Hoi; Glynn, Peter W. 5 2003 Nonexistence of a class of variate generation schemes. Zbl 1034.65002Henderson, Shane G.; Glynn, Peter W. 3 2003 Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019Glynn, Peter W.; Ormoneit, Dirk 37 2002 Some new perspectives on the method of control variates. Zbl 1002.65016Glynn, Peter W.; Szechtman, Roberto 14 2002 Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025Glynn, Peter W.; Whitt, Ward 13 2002 Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026Bradley, James R.; Glynn, Peter W. 11 2002 Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349Ormoneit, Dirk; Glynn, Peter 6 2002 Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516Henderson, Shane G.; Glynn, Peter W. 4 2002 Optimal control of parallel queues with batch service. Zbl 1019.90016Xia, Cathy H.; Michailidis, George; Bambos, Nicholas; Glynn, Peter W. 2 2002 Structural characterization of taboo-stationarity for general processes in two-sided time. Zbl 1075.60517Glynn, Peter W.; Thorisson, Hermann 2 2002 Computing densities for Markov chains via simulation. Zbl 1082.62071Henderson, Shane G.; Glynn, Peter W. 7 2001 Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066Glynn, Peter W.; Thorisson, Hermann 5 2001 Regenerative steady-state simulation of discrete-event systems. Zbl 06886311Henderson, Shane G.; Glynn, Peter W. 2 2001 Multivariate standardized time series for steady-state simulation output analysis. Zbl 1163.62344Muñoz, David F.; Glynn, Peter W. 1 2001 On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089Zeevi, Assaf J.; Glynn, Peter W. 17 2000 Simulating the maximum of a random walk. Zbl 0974.60030Ensor, Katherine Bennett; Glynn, Peter W. 12 2000 On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W. 5 2000 Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067Glynn, P. W.; Zeevi, A. J. 3 2000 Diversity and popularity in organizations and communities. Zbl 0917.90220Nasrallah, Walid; Glynn, Peter; Levitt, Raymond 1 1999 Strong approximations in queueing theory. Zbl 0937.60021Glynn, Peter W. 2 1998 Independent sampling of a stochastic process. Zbl 0932.60040Glynn, Peter; Sigman, Karl 1 1998 Limit theory for performance modeling of future event set algorithms. Zbl 0988.90515Damerdji, Halim; Glynn, Peter W. 1 1998 A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088Muñoz, David F.; Glynn, Peter W. 6 1997 Parametric estimation of tail probabilities for the single-server queue. Zbl 0869.62057Glynn, Peter W.; Torres, Marcelo 1 1997 Stochastic optimization via grid search. Zbl 0894.60022Ensor, Katherine Bennett; Glynn, Peter W. 1 1997 Average case behavior of random search for the maximum. Zbl 0891.60080Calvin, James M.; Glynn, Peter W. 1 1997 A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063Glynn, Peter W.; Meyn, Sean P. 82 1996 A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069Glynn, J. E.; Glynn, P. W. 3 1996 Nonparametric estimation of tail probabilities for the single-server queue. Zbl 0856.62036Glynn, Peter W.; Torres, Marcelo 2 1996 Efficient simulation via coupling. Zbl 1094.65504Glynn, Peter W.; Wong, Eugene W. 1 1996 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 52 1995 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 38 1995 Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071Glynn, Peter W.; L’Ecuyer, Pierre 11 1995 Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021Glynn, Peter W. 9 1995 Trading securities using trailing stops. Zbl 0859.90025Glynn, Peter W.; Iglehart, Donald L. 9 1995 Heavy-traffic extreme-value limits for queues. Zbl 0854.60094Glynn, Peter W.; Whitt, Ward 7 1995 A martingale approach to regenerative simulation. Zbl 1335.60164Glynn, Peter W.; Iglehart, Donald L. 1 1995 Accelerated regeneration for Markov chain simulations. Zbl 1336.60146Andradóttir, Sigrún; Calvin, James M.; Glynn, Peter W. 1 1995 ...and 54 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,077 Authors 58 Glynn, Peter W. 40 Mandjes, Michel Robertus Hendrikus 35 Blanchet, Jose H. 33 Whitt, Ward 21 Zwart, Bert P. 18 Asmussen, Søren 17 Meyn, Sean P. 15 Jasra, Ajay 14 Roberts, Gareth O. 11 Lam, Henry 10 Lee, Chihoon 10 Sigman, Karl 10 van Leeuwaarden, Johan S. H. 9 Bo, Lijun 9 Dębicki, Krzysztof 9 Dupuis, Paul G. 9 Giles, Michael B. 9 Heidergott, Bernd F. 9 Liu, Jingchen 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 Fu, Michael C. 7 Glasserman, Paul 7 Hobert, James P. 7 Janssen, Augustus Josephus Elizabeth Maria 7 Miyazawa, Masakiyo 7 Rubinstein, Reuven Y. 7 Zhu, Lingjiong 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 Beskos, Alexandros 5 Boxma, Onno Johan 5 Chen, Anyue 5 Del Moral, Pierre 5 Dieker, A. B. 5 Doucet, Arnaud 5 Duffy, Ken R. 5 Flegal, James M. 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 Moulines, Eric 5 Nobile, Amelia G. 5 O’Connell, Neil 5 Olvera-Cravioto, Mariana 5 Palmowski, Zbigniew 5 Prabhakar, Balaji 5 Rhee, Chang-Han 5 Ridder, Ad 5 Sen, Suvrajeet 5 Seppäläinen, Timo 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 Chen, Shih-Pin 4 Dassios, Angelos 4 Gao, Xuefeng 4 Gatto, Riccardo 4 Hammond, Alan 4 Huang, Junfei 4 Kebaier, Ahmed 4 Kuznetsov, N. Yu. 4 Lelièvre, Tony 4 Limnios, Nikolaos ...and 1,977 more Authors all top 5 Cited in 239 Serials 113 Queueing Systems 71 The Annals of Applied Probability 61 European Journal of Operational Research 57 Journal of Applied Probability 55 Annals of Operations Research 53 Stochastic Processes and their Applications 42 Advances in Applied Probability 42 Operations Research Letters 32 Probability in the Engineering and Informational Sciences 31 Statistics & Probability Letters 25 Operations Research 23 Mathematical Programming. Series A. Series B 20 Bernoulli 20 Methodology and Computing in Applied Probability 19 Statistics and Computing 18 SIAM/ASA Journal on Uncertainty Quantification 17 Discrete Event Dynamic Systems 16 Journal of Statistical Physics 15 The Annals of Probability 15 The Annals of Statistics 15 Journal of Econometrics 15 Mathematics of Operations Research 15 Electronic Journal of Statistics 14 INFORMS Journal on Computing 13 ACM Transactions on Modeling and Computer Simulation 13 Stochastic Systems 12 Insurance Mathematics & Economics 12 Computers & Operations Research 12 Quantitative Finance 12 Stochastic Models 11 Journal of Statistical Planning and Inference 11 Monte Carlo Methods and Applications 10 Automatica 10 SIAM Journal on Optimization 9 Stochastic Analysis and Applications 9 Applied Mathematical Modelling 9 SIAM Journal on Scientific Computing 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 Communications in Statistics. Theory and Methods 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 Mathematics and Computers in Simulation 6 SIAM Journal on Numerical Analysis 6 Journal of Complexity 6 Statistical Science 6 Cybernetics and Systems Analysis 5 Applied Mathematics and Computation 5 Applied Mathematics and Optimization 5 Journal of the American Statistical Association 5 Naval Research Logistics 5 Mathematical and Computer Modelling 5 Communications in Statistics. Simulation and Computation 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 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 Optimization 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 3 Computer Methods in Applied Mechanics and Engineering 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 Asia-Pacific Journal of Operational Research 3 Random Structures & Algorithms 3 Electronic Communications in Probability 3 Mathematical Finance 3 Chaos ...and 139 more Serials all top 5 Cited in 38 Fields 910 Probability theory and stochastic processes (60-XX) 477 Operations research, mathematical programming (90-XX) 383 Numerical analysis (65-XX) 370 Statistics (62-XX) 186 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 130 Computer science (68-XX) 73 Systems theory; control (93-XX) 49 Statistical mechanics, structure of matter (82-XX) 33 Biology and other natural sciences (92-XX) 28 Partial differential equations (35-XX) 25 Calculus of variations and optimal control; optimization (49-XX) 18 Dynamical systems and ergodic theory (37-XX) 15 Ordinary differential equations (34-XX) 14 Combinatorics (05-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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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