Glynn Peter W.

Peter W. Glynn

Information about the author Peter W. Glynn will soon be added to the site.
Found 37 papers in total
A nonparametric approach to multiproduct pricing
A nonparametric approach to multiproduct pricing
2006
Developed by General Motors (GM), the Auto Choice Advisor website recommends vehicles...
The mean number-in-system vector range for multiclass queueing networks
The mean number-in-system vector range for multiclass queueing networks
2004
In a multiclass network of queues, natural sufficient conditions are given for the...
Computing densities for Markov chains via simulation
Computing densities for Markov chains via simulation
2001
We introduce a new class of density estimators, termed look-ahead density estimators,...
A diffusion approximation for a Markovian queue with reneging
A diffusion approximation for a Markovian queue with reneging
2003
Consider a single-server queue with a Poisson arrival process and exponential...
Approximating martingales for variance reduction in Markov process simulation
Approximating martingales for variance reduction in Markov process simulation
2002
‘Knowledge of either analytical or numerical approximations should enable more...
Nonexistence of a class of variate generation schemes
Nonexistence of a class of variate generation schemes
2003
Motivated by a problem arising in the regenerative analysis of discrete-event system...
Managing capacity and inventory jointly in manufacturing systems
Managing capacity and inventory jointly in manufacturing systems
2002
In this paper, we develop approximations that yield insight into the joint...
Multivariate standardized time series for steady-state simulation output analysis
Multivariate standardized time series for steady-state simulation output analysis
2001
The theory of standardized time series, initially proposed to estimate a single...
On the asymptotic optimality of the shortest processing time rule for the flow shop average completion time problem
On the asymptotic optimality of the shortest processing time rule for the flow shop average completion time problem
2000
Consider a flowshop with M machines in series, through which a set of jobs are to be...
Derandomizing variance estimators
Derandomizing variance estimators
1999
One may consider a discrete-event simulation as a Markov chain evolving on a suitably...
Limit theory for performance modeling of future event set algorithms
Limit theory for performance modeling of future event set algorithms
1998
In a discrete-event simulation, the information related to the events scheduled to...
Average case behavior of random search for the maximum
Average case behavior of random search for the maximum
1997
This paper is a study of the error in approximating the global maximum of a Brownian...
Parametric estimation of tail probabilities for the single-server queue
Parametric estimation of tail probabilities for the single-server queue
1997
In this paper, the authors consider the question of how long the arrival process to...
Heavy-traffic extreme-value limits for queues
Heavy-traffic extreme-value limits for queues
1995
The authors consider the maximum waiting time among the first n customers in the...
Likelihood ratio gradient estimation for stochastic recursions
Likelihood ratio gradient estimation for stochastic recursions
1995
In this paper, the authors develop mathematical machinery for verifying that a broad...
Trading securities using trailing stops
Trading securities using trailing stops
1995
In financial markets traders often protect their position from a significant decline...
On the value of function evaluation location information in Monte Carlo simulation
On the value of function evaluation location information in Monte Carlo simulation
1995
The point estimator used in naive Monte Carlo sampling weights all the computed...
Stochastic optimization by simulation: Numerical experiments with the M/M/1 queue in steady-state
Stochastic optimization by simulation: Numerical experiments with the M/M/1 queue in steady-state
1994
This paper gives numerical illustrations of the behavior of stochastic approximation,...
Stochastic optimization by simulation: Convergence proofs for the GI/G/1 queue in steady-state
Stochastic optimization by simulation: Convergence proofs for the GI/G/1 queue in steady-state
1994
Approaches like finite differences with common random numbers, infinitesimal...
Efficiency improvement techniques
Efficiency improvement techniques
1994
This paper provides an overview of the five most commonly used statistical techniques...
Likelihood ratio sensitivity analysis for Markovian models of highly dependable systems
Likelihood ratio sensitivity analysis for Markovian models of highly dependable systems
1994
This paper discusses the application of the likelihood ratio gradient estimator to...
Limit theorems for cumulative processes
Limit theorems for cumulative processes
1993
Necessary and sufficient conditions are established for cumulative process (associated...
Conditions for the applicability of the regenerative method
Conditions for the applicability of the regenerative method
1993
The regenerative method for estimating steady-state parameters is one of the basic...
Estimating customer and time averages
Estimating customer and time averages
1993
In this paper the authors establish a joint central limit theorem for customer and...
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