Heidelberger Philip

Philip Heidelberger

Information about the author Philip Heidelberger will soon be added to the site.
Found 6 papers in total
Variance reduction techniques for estimating value-at-risk
Variance reduction techniques for estimating value-at-risk
2000
This paper describes, analyzes and evaluates an algorithm for estimating portfolio...
Multilevel splitting for estimating rare event probabilities
Multilevel splitting for estimating rare event probabilities
1999
We analyze the performance of a splitting technique for the estimation of rare event...
Analysis of initial transient deletion for replicated steady-state simulations
Analysis of initial transient deletion for replicated steady-state simulations
1991
Consider the method of independent replications with initial transient deletion for...
Bias properties of budget constrained simulations
Bias properties of budget constrained simulations
1990
This paper addresses the bias characteristics of estimators produced from Monte Carlo...
Sensitivity analysis from sample paths using likelihoods
Sensitivity analysis from sample paths using likelihoods
1989
The authors modify the likelihood-based method for obtaining derivatives with respect...
Convergence properties of Infinitesimal Perturbation Analysis estimates
Convergence properties of Infinitesimal Perturbation Analysis estimates
1988
Infinitesimal Perturbation Analysis (IPA) is a method for computing a sample path...
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