Sandeep Juneja

CoRR, 2024

Asymptotically Optimal and Computationally Efficient Average Treatment Effect Estimation in A/B testing.

[BibT_eX]

[DOI]

Vikas Deep

Sandeep K. Juneja

Proceedings of the Forty-first International Conference on Machine Learning, 2024

2023

Shift, scale and restart smaller models to estimate larger ones: Agent based simulators in epidemiology.

[BibT_eX]

[DOI]

Daksh Mittal

SIGMETRICS Perform. Evaluation Rev., April, 2023

Optimal Best-Arm Identification in Bandits with Access to Offline Data.

[BibT_eX]

[DOI]

Karthikeyan Shanmugam

Arun Sai Suggala

CoRR, 2023

Best arm identification in rare events.

[BibT_eX]

[DOI]

Anirban Bhattacharjee

Sushant Vijayan

Proceedings of the Uncertainty in Artificial Intelligence, 2023

2022

Learning the queue arrivals game equilibrium.

[BibT_eX]

[DOI]

Queueing Syst. Theory Appl., 2022

Modelling the Delta Covid-19 Wave in Mumbai.

[BibT_eX]

[DOI]

Daksh Mittal

Proceedings of the Winter Simulation Conference, 2022

Exact Optimal Fixed Width Confidence Interval Estimation for the Mean.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference, 2022

2021

Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator.

[BibT_eX]

[DOI]

Anand Deo

Oper. Res., 2021

Optimal Best-Arm Identification Methods for Tail-Risk Measures.

[BibT_eX]

[DOI]

Wouter M. Koolen

Proceedings of the Advances in Neural Information Processing Systems 34: Annual Conference on Neural Information Processing Systems 2021, 2021

Regret Minimization in Heavy-Tailed Bandits.

[BibT_eX]

[DOI]

Wouter M. Koolen

Proceedings of the Conference on Learning Theory, 2021

2020

City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic.

[BibT_eX]

[DOI]

Siddharth Bhandari

Anirban Bhattacharjee

Ramprasad Saptharishi

Sharad Shriram

Piyush Srivastava

Rajesh Sundaresan

Nidhin Koshy Vaidhiyan

Sarath Yasodharan

CoRR, 2020

COVID-19 Epidemic Study II: Phased Emergence From the Lockdown in Mumbai.

[BibT_eX]

[DOI]

Ramprasad Saptharishi

Nidhin Koshy Vaidhiyan

CoRR, 2020

Discriminative Learning via Adaptive Questioning.

[BibT_eX]

[DOI]

CoRR, 2020

Optimal $δ$-Correct Best-Arm Selection for Heavy-Tailed Distributions.

[BibT_eX]

[DOI]

Proceedings of the Algorithmic Learning Theory, 2020

2019

Optimal best arm selection for general distributions.

[BibT_eX]

[DOI]

CoRR, 2019

Unbiased Estimation of The Reciprocal Mean For Non-Negative Random Variables.

[BibT_eX]

[DOI]

Dirk P. Kroese

Proceedings of the 2019 Winter Simulation Conference, 2019

Limiting Distributional Fixed Points in Systemic Risk Graph Models.

[BibT_eX]

[DOI]

Anand Deo

Proceedings of the 2019 Winter Simulation Conference, 2019

Sample complexity of partition identification using multi-armed bandits.

[BibT_eX]

[DOI]

Subhashini Krishnasamy

Proceedings of the Conference on Learning Theory, 2019

2018

Path-ZVA: General, Efficient, and Automated Importance Sampling for Highly Reliable Markovian Systems.

[BibT_eX]

[DOI]

Daniël Reijsbergen

Pieter-Tjerk de Boer

Werner R. W. Scheinhardt

ACM Trans. Model. Comput. Simul., 2018

Random Fixed Points, Limits and Systemic Risk.

[BibT_eX]

[DOI]

Veeraruna Kavitha

Indrajit Saha

Proceedings of the 57th IEEE Conference on Decision and Control, 2018

2017

Analysis of Perfect Sampling Methods for Hard-sphere Models.

[BibT_eX]

[DOI]

M. R. H. Mandjes

SIGMETRICS Perform. Evaluation Rev., 2017

On the Computation of Dynamic User Equilibrium in the Multiclass Transient Fluid Queue.

[BibT_eX]

[DOI]

SIGMETRICS Perform. Evaluation Rev., 2017

Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement.

[BibT_eX]

[DOI]

L. Jeff Hong

Guangwu Liu

Oper. Res., 2017

2016

To Lounge or to Queue Up.

[BibT_eX]

[DOI]

D. Manjunath

SIGMETRICS Perform. Evaluation Rev., 2016

2015

Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2015

Spatial Loss Systems: Exact Simulation and Rare Event Behavior.

[BibT_eX]

[DOI]

SIGMETRICS Perform. Evaluation Rev., 2015

Incorporating views on marginal distributions in the calibration of risk models.

[BibT_eX]

[DOI]

Karthyek R. A. Murthy

Oper. Res. Lett., 2015

The Concert Queueing Game: Fluid Regime with Random Order Service.

[BibT_eX]

[DOI]

Tushar Raheja

IGTR, 2015

Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options.

[BibT_eX]

[DOI]

Ankush Agarwal

IGTR, 2015

2014

Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo.

[BibT_eX]

[DOI]

L. Jeff Hong

Jun Luo

INFORMS J. Comput., 2014

2013

Asymptotic Simulation Efficiency Based on Large Deviations.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2013

The concert queueing game: strategic arrivals with waiting and tardiness costs.

[BibT_eX]

[DOI]

Queueing Syst. Theory Appl., 2013

Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations.

[BibT_eX]

[DOI]

Ankush Agarwal

J. Appl. Probab., 2013

Optimal rare event Monte Carlo for Markov modulated regularly varying random walks.

[BibT_eX]

[DOI]

Karthyek R. A. Murthy

Jose H. Blanchet

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

Regenerative simulation for multiclass open queueing networks.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing.

[BibT_eX]

[DOI]

Ankush Agarwal

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

2012

State-independent importance sampling for estimating large deviation probabilities in heavy-tailed random walks.

[BibT_eX]

[DOI]

Karthyek Rajhaa A. M.

Proceedings of the 6th International ICST Conference on Performance Evaluation Methodologies and Tools, 2012

The concert queueing game with a random volume of arrivals.

[BibT_eX]

[DOI]

Tushar Raheja

Proceedings of the 6th International ICST Conference on Performance Evaluation Methodologies and Tools, 2012

2011

The concert queueing game: to wait or to be late.

[BibT_eX]

[DOI]

Rahul Jain

Discret. Event Dyn. Syst., 2011

Preface.

[BibT_eX]

[DOI]

Ann. Oper. Res., 2011

Efficient simulation of tail probabilities of sums of correlated lognormals.

[BibT_eX]

[DOI]

Søren Asmussen

Jose H. Blanchet

Leonardo Rojas-Nandayapa

Ann. Oper. Res., 2011

Ordinal optimization: a nonparametric framework.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference 2011, 2011

Efficient estimation of density and probability of large deviations of sum of IID random variables.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference 2011, 2011

2010

Nested Simulation in Portfolio Risk Measurement.

[BibT_eX]

[DOI]

Michael B. Gordy

Manag. Sci., 2010

Monte Carlo methods in finance: An introductory tutorial.

[BibT_eX]

[DOI]

Proceedings of the 2010 Winter Simulation Conference, 2010

Multidimensional Fourier inversion using importance sampling with application to option pricing.

[BibT_eX]

[DOI]

Proceedings of the 2010 Winter Simulation Conference, 2010

2009

Nested Simulation for Estimating Portfolio Losses within a Time Horizon.

[BibT_eX]

[DOI]

L. Ramprasath

Proceedings of the 2009 Winter Simulation Conference, 2009

Estimating the Mean of a Non-linear Function of Conditional Expectation.

[BibT_eX]

[DOI]

L. Jeff Hong

Proceedings of the 2009 Winter Simulation Conference, 2009

The concert/cafeteria queueing problem: a game of arrivals.

[BibT_eX]

[DOI]

Rahul Jain

Proceedings of the 4th International Conference on Performance Evaluation Methodologies and Tools, 2009

2008

Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.

[BibT_eX]

[DOI]

Paul Glasserman

Math. Oper. Res., 2008

Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation.

[BibT_eX]

[DOI]

Oper. Res., 2008

Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization.

[BibT_eX]

[DOI]

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

A large deviations view of asymptotic efficiency for simulation estimators.

[BibT_eX]

[DOI]

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

Efficient tail estimation for sums of correlated lognormals.

[BibT_eX]

[DOI]

Jose H. Blanchet

Leonardo Rojas-Nandayapa

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007

Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables.

[BibT_eX]

[DOI]

Rajeeva L. Karandikar

ACM Trans. Model. Comput. Simul., 2007

Perwez Shahabuddin, 1962-2005: A professional appreciation.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2007

Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error.

[BibT_eX]

[DOI]

Queueing Syst. Theory Appl., 2007

On the inefficiency of state-independent importance sampling in the presence of heavy tails.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2007

2006

Efficient simulation for risk measurement in portfolio of CDOS.

[BibT_eX]

[DOI]

Michael B. Gordy

Proceedings of the Winter Simulation Conference WSC 2006, 2006

Computing worst-case tail probabilities in credit risk.

[BibT_eX]

[DOI]

Soumyadip Ghosh

Proceedings of the Winter Simulation Conference WSC 2006, 2006

Optimal resource allocation in two stage sampling of input distributions.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference WSC 2006, 2006

Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances.

[BibT_eX]

[DOI]

Proceedings of the Simulation, 2006

2005

Efficient simulation of buffer overflow probabilities in Jackson Networks with feedback.

[BibT_eX]

[DOI]

Victor F. Nicola

ACM Trans. Model. Comput. Simul., 2005

Function-approximation-based perfect control variates for pricing American options.

[BibT_eX]

[DOI]

Nomesh Bolia

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

Expected shortfall in credit portfolios with extremal dependence.

[BibT_eX]

[DOI]

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

Importance sampling simulation in the presence of heavy tails.

[BibT_eX]

[DOI]

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

2004

Combining importance sampling and temporal difference control variates to simulate Markov Chains.

[BibT_eX]

[DOI]

R. S. Randhawa

ACM Trans. Model. Comput. Simul., 2004

A Large Deviations Perspective on Ordinal Optimization.

[BibT_eX]

[DOI]

Proceedings of the 36th conference on Winter simulation, 2004

Function-Approximation-Based Importance Sampling for Pricing American Options.

[BibT_eX]

[DOI]

Nomesh Bolia

Paul Glasserman

Proceedings of the 36th conference on Winter simulation, 2004

2002

Simulating heavy tailed processes using delayed hazard rate twisting.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2002

2001

Splitting-based importance-sampling algorithm for fast simulation of Markov reliability models with general repair-policies.

[BibT_eX]

[DOI]

IEEE Trans. Reliab., 2001

Fast Simulation of Markov Chains with Small Transition Probabilities.

[BibT_eX]

[DOI]

Manag. Sci., 2001

Efficient Winner Determination Techniques for Internet Multi-Unit Auctions.

[BibT_eX]

[DOI]

Manish Gupta

Proceedings of the Towards The E-Society: E-Commerce, 2001

1999

Simulating heavy tailed processes using delayed hazard rate twisting (extended abstract).

[BibT_eX]

[DOI]

SIGMETRICS Perform. Evaluation Rev., 1999

Simulating heavy tailed processes using delayed hazard rate twisting.

[BibT_eX]

[DOI]

Anurag Chandra

Proceedings of the 31st conference on Winter simulation: Simulation, 1999

1994

Effective Bandwidth and Fast Simulation of ATM Intree Networks.

[BibT_eX]

[DOI]

Perform. Evaluation, 1994

1992

Fast Simulation of Markovian Reliability/Availability Models with General Repair Policies.

[BibT_eX]

[DOI]