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Mathematical Programming
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Bastin, F.1
Cirillo, C.2
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3
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Some new perspectives on the method of control variates
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Approximating martingales for variance reduction in Markov process simulation
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Henderson, S. G., and S. P. Meyn. 1997. Efficient simulation of multiclass queueing networks. In Proceedings of the 1997 Winter Simulation Conference, ed. S. Andradóottir, K. J. Healy, D. H. Withers, and B. L. Nelson, 216-223. Piscataway, New Jersey: Institute of Electrical and Electronics Engineers.
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Variance reduction for simulation in multiclass queueing networks
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Henderson, S. G., and S. P. Meyn. 2003. Variance reduction for simulation in multiclass queueing networks. IIE Transactions. Submitted.
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Performance evaluation and policy selection in multiclass networks
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Henderson, S. G., S. P. Meyn, and V. Tadić. 2003. Performance evaluation and policy selection in multiclass networks. Discrete Event Dynamic Systems 13:149-189. Special issue on learning and optimization methods.
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Adaptive simulation using perfect control variates
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Journal of Applied Probability
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Baggerly, K.2
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Value functions, optimization and performance evaluation in stochastic network models
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Meyn, S. P. 2003. Value functions, optimization and performance evaluation in stochastic network models. IEEE Transactions on Automatic Control. Submitted.
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IEEE Transactions on Automatic Control
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Shapiro, A. 2003. Monte Carlo sampling methods. In Stochastic Programming, ed. A. Ruszczynski and A. Shapiro, Handbooks in Operations Research and Management Science. Elsevier. To appear.
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