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Peter W. Glynn · Study
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Author
Peter W. Glynn
108 works
· latest 2021
· 8 institutions
cluster: provisional
ORCID 0000-0003-1370-6638
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107
Citations
8,937
Works here
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Most cited in this library
Stochastic Simulation
2007 · 1,121 citations
Importance Sampling for Stochastic Simulations
1989 · 635 citations
Likelihood ratio gradient estimation for stochastic systems
1990 · 381 citations
Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
1994 · 290 citations
Simulation Output Analysis Using Standardized Time Series
1990 · 228 citations
Works
60 shown
Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach
Mathematics of Operations Research
·
2021
·
3 authors
·
Open access
195
citations
Sequential Batch Learning in Finite-Action Linear Contextual Bandits
arXiv (Cornell University)
·
2020
·
5 authors
·
preprint
·
Open access
28
citations
Relining the garbage can of organizational decision-making: modeling the arrival of problems and solutions as queues
Industrial and Corporate Change
·
2019
·
3 authors
17
citations
Dynamic Credit-Collections Optimization
Management Science
·
2019
·
2 authors
·
Open access
29
citations
On Sampling Rates in Simulation-Based Recursions
SIAM Journal on Optimization
·
2018
·
4 authors
45
citations
Mirror descent learning in continuous games
IEEE Conference on Decision and Control (CDC)
·
2017
·
5 authors
·
other
34
citations
An Equilibrium Analysis of a Discrete-Time Markovian Queue with Endogenous Abandonments
Queueing Systems
·
2017
·
3 authors
·
Open access
14
citations
Unbiased Monte Carlo for optimization and functions of expectations via multi-level randomization
Winter Simulation Conference
·
2015
·
2 authors
·
other
31
citations
Likelihood robust optimization for data-driven problems
Computational Management Science
·
2015
·
3 authors
·
Open access
176
citations
Unbiased Estimation with Square Root Convergence for SDE Models
Operations Research
·
2015
·
2 authors
196
citations
Ordinal optimization - empirical large deviations rate estimators, and stochastic multi-armed bandits
arXiv (Cornell University)
·
2015
·
2 authors
·
preprint
·
Open access
28
citations
Affine Point Processes: Approximation and Efficient Simulation
Mathematics of Operations Research
·
2015
·
4 authors
·
Open access
25
citations
Large deviations for the empirical mean of an $$M/M/1$$ queue
Queueing Systems
·
2013
·
3 authors
12
citations
A new approach to unbiased estimation for SDE's
Winter Simulation Conference
·
2012
·
2 authors
·
other
42
citations
Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic
Journal of Applied Probability
·
2012
·
2 authors
·
Open access
21
citations
On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case
The Annals of Applied Probability
·
2011
·
2 authors
·
Open access
27
citations
Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue
Journal of Applied Probability
·
2011
·
2 authors
·
Open access
18
citations
Asymptotic robustness of estimators in rare-event simulation
ACM Transactions on Modeling and Computer Simulation
·
2010
·
4 authors
100
citations
Rare event simulation for a slotted time M/G/s model
Queueing Systems
·
2009
·
3 authors
20
citations
Conditional limit theorems for regulated fractional Brownian motion
The Annals of Applied Probability
·
2009
·
2 authors
·
Open access
11
citations
Heuristics
Cambridge University Press eBooks
·
2009
·
3 authors
·
chapter
37
citations
Efficient rare-event simulation for the maximum of heavy-tailed random walks
The Annals of Applied Probability
·
2008
·
2 authors
·
Open access
103
citations
Uniform renewal theory with applications to expansions of random geometric sums
Advances in Applied Probability
·
2007
·
2 authors
·
Open access
29
citations
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
Queueing Systems
·
2007
·
3 authors
37
citations
Stochastic Optimization
Springer eBooks
·
2007
·
2 authors
·
chapter
51
citations
Stochastic Simulation
Digital Access to Libraries (Université catholique de Louvain (UCL), l'Université de Namur (UNamur) and the Université Saint-Louis (USL-B))
·
2007
·
1 author
1,121
citations
Tail asymptotics for the maximum of perturbed random walk
The Annals of Applied Probability
·
2006
·
1 author
·
Open access
28
citations
Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
Stochastic Models
·
2006
·
2 authors
55
citations
Opportunities and challenges in using online preference data for vehicle pricing: A case study at General Motors
Journal of Revenue and Pricing Management
·
2006
·
5 authors
15
citations
A Nonparametric Approach to Multiproduct Pricing
Operations Research
·
2006
·
3 authors
135
citations
COMPLETE CORRECTED DIFFUSION APPROXIMATIONS FOR THE MAXIMUM OF A RANDOM WALK
·
2006
·
2 authors
·
preprint
28
citations
A Diffusion Approximation for a GI/GI/1 Queue with Balking or Reneging
Queueing Systems
·
2005
·
2 authors
121
citations
A Large Deviations Perspective on Ordinal Optimization
Winter Simulation Conference
·
2005
·
2 authors
·
other
142
citations
A large deviations perspective on ordinal optimization
Winter Simulation Conference
·
2004
·
2 authors
·
other
102
citations
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
Econometrica
·
2004
·
2 authors
93
citations
Recurrence properties of autoregressive processes with super-heavy-tailed innovations
Journal of Applied Probability
·
2004
·
2 authors
27
citations
Dynamic modeling of the tradeoff between productivity and safety in critical engineering systems
Reliability Engineering & System Safety
·
2004
·
3 authors
75
citations
Interaction Value Analysis: When Structured Communication Benefits Organizations
Organization Science
·
2003
·
3 authors
30
citations
Rare-event simulation for infinite server queues
Winter Simulation Conference
·
2003
·
2 authors
·
other
15
citations
Properties of the Reflected Ornstein–Uhlenbeck Process
Queueing Systems
·
2003
·
2 authors
117
citations
A Diffusion Approximation for a Markovian Queue with Reneging
Queueing Systems
·
2003
·
2 authors
166
citations
Fast simulation of steady-state availability in non-Markovian highly dependable systems
IEEE International Symposium on Fault-Tolerant Computing
·
2002
·
4 authors
·
other
41
citations
OPTIMAL CONTROL OF PARALLEL QUEUES WITH BATCH SERVICE
Probability in the Engineering and Informational Sciences
·
2002
·
4 authors
20
citations
Approximating Martingales for Variance Reduction in Markov Process Simulation
Mathematics of Operations Research
·
2002
·
2 authors
59
citations
Managing Capacity and Inventory Jointly in Manufacturing Systems
Management Science
·
2002
·
2 authors
66
citations
Some New Perspectives on the Method of Control Variates
Springer eBooks
·
2002
·
2 authors
·
chapter
80
citations
Regenerative steady-state simulation of discrete-event systems
ACM Transactions on Modeling and Computer Simulation
·
2001
·
2 authors
40
citations
Computing Densities for Markov Chains via Simulation
Mathematics of Operations Research
·
2001
·
2 authors
29
citations
On the maximum workload of a queue fed by fractional Brownian motion
The Annals of Applied Probability
·
2000
·
2 authors
32
citations
Monte Carlo computation of conditional expectation quantiles
·
1998
·
2 authors
·
book
35
citations
Strong Approximations in Queueing Theory
Elsevier eBooks
·
1998
·
1 author
·
chapter
11
citations
A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
Management Science
·
1997
·
2 authors
35
citations
Efficient Monte Carlo Simulation of Security Prices
The Annals of Applied Probability
·
1995
·
2 authors
·
Open access
173
citations
Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion
The Annals of Applied Probability
·
1995
·
3 authors
·
Open access
127
citations
Heavy-traffic extreme-value limits for queues
Operations Research Letters
·
1995
·
2 authors
·
Open access
16
citations
Trading Securities Using Trailing Stops
Management Science
·
1995
·
2 authors
31
citations
Large Deviations for the Infinite Server Queue in Heavy Traffic
The IMA volumes in mathematics and its applications
·
1995
·
1 author
·
chapter
20
citations
Efficiency improvement techniques
Annals of Operations Research
·
1994
·
1 author
29
citations
Poisson's equation for the recurrent M/G/1 queue
Advances in Applied Probability
·
1994
·
1 author
25
citations
Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State
Management Science
·
1994
·
2 authors
100
citations