LEcuyer Pierre

Pierre LEcuyer

Information about the author Pierre LEcuyer will soon be added to the site.
Found 11 papers in total
Approximating zero‐variance importance sampling in a reliability setting
2011
We consider a class of Markov chain models that includes the highly reliable Markovian...
Markov chain models of a telephone call center with call blending
2007
Motivated by a Bell Canada call center operating in blend mode, we consider a system...
Bad lattice structures for vectors of nonsuccessive values produced by some linear recurrences
1997
Usually, the t- dimensional spectral test for linear congruential generators examines...
Likelihood ratio gradient estimation for stochastic recursions
1995
In this paper, the authors develop mathematical machinery for verifying that a broad...
On the interchange of derivative and expectation for likelihood ratio derivative estimators
1995
Sufficient conditions for the validity of interchange between derivative and...
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
1994
Approaches like finite differences with common random numbers, infinitesimal...
Uniform random number generation
1994
In typical stochastic simulations, randomness is produced by generating a sequence of...
On the convergence rates of IPA and FDC derivative estimators
1994
The authors show that under the (sufficient) conditions usually given for...
Convergence rates for steady-state derivative estimators
1993
The paper describes various derivative estimators for the case of steady-state...
A unified view of the IPA, SF, and LR gradient estimation techniques
1990
The links between the likelihood-ratio (LR) gradient-estimation technique (sometimes...
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