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Advances in Modeling and Simulation

Festschrift for Pierre L'Ecuyer

  • Book
  • © 2022

Overview

Editors:
  1. Zdravko Botev

    1. Randwick, Australia

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  2. Alexander Keller

    1. NVIDIA, Berlin, Germany

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  3. Christiane Lemieux

    1. University of Waterloo, Waterloo, Canada

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  4. Bruno Tuffin

    1. Rennes Bretagne-Atlantique, INRIA, Rennes Cedex, France

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  • Presents a key feature of Pierre L’Ecuyer’s research that he always has a keen interest to make it be useful
  • Is the contributions that will carry over this feature in honor of Pierre's work
  • Provides collection of recent research advances in his fields of expertise of interest to researchers and practitioners

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Table of contents (20 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Monte Carlo Methods for Pricing American Options

    • Raul Chavez Aquino, Fabian Bastin, Maria Benazzouz, Mohamed Kharrat
    Pages 1-20

  3. Remarks on Lévy Process Simulation

    • Søren Asmussen
    Pages 21-40

  4. Exact Sampling for the Maximum of Infinite Memory Gaussian Processes

    • Jose Blanchet, Lin Chen, Jing Dong
    Pages 41-63

  5. Truncated Multivariate Student Computations via Exponential Tilting

    • Zdravko I. Botev, Yi-Lung Chen
    Pages 65-87

  6. Quasi-Monte Carlo Methods in Portfolio Selection with Many Constraints

    • Alexander Brunhuemer, Gerhard Larcher
    Pages 89-109

  7. Geometric-Moment Contraction of G/G/1 Waiting Times

    • Kemal Dinçer Dingeç, Christos Alexopoulos, David Goldsman, Athanasios Lolos, James R. Wilson
    Pages 111-130

  8. Tractability of Approximation in the Weighted Korobov Space in the Worst-Case Setting

    • Adrian Ebert, Peter Kritzer, Friedrich Pillichshammer
    Pages 131-150

  9. Rare-Event Simulation via Neural Networks

    • Lachlan J. Gibson, Dirk P. Kroese
    Pages 151-168

  10. Preintegration is Not Smoothing When Monotonicity Fails

    • Alexander D. Gilbert, Frances Y. Kuo, Ian H. Sloan
    Pages 169-191

  11. Combined Derivative Estimators

    • Paul Glasserman
    Pages 193-210

  12. A Central Limit Theorem For Empirical Quantiles in the Markov Chain Setting

    • Peter W. Glynn, Shane G. Henderson
    Pages 211-238

  13. Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling

    • Rami El Haddad, Joseph El Maalouf, Rana Fakhereddine, Christian Lécot
    Pages 239-260

  14. Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs

    • Erik Hintz, Marius Hofert, Christiane Lemieux
    Pages 261-281

  15. A Generalized Transformed Density Rejection Algorithm

    • Wolfgang Hörmann, Josef Leydold
    Pages 283-300

  16. Fast Automatic Bayesian Cubature Using Sobol’ Sampling

    • Rathinavel Jagadeeswaran, Fred J. Hickernell
    Pages 301-318

  17. Rendering Along the Hilbert Curve

    • Alexander Keller, Carsten Wächter, Nikolaus Binder
    Pages 319-332

  18. Array-RQMC to Speed up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System

    • Marvin K. Nakayama, Bruno Tuffin
    Pages 333-351

  19. Foundations of Ranking & Selection for Simulation Optimization

    • Barry L. Nelson
    Pages 353-379

  20. Where are the Logs?

    • Art B. Owen, Zexin Pan
    Pages 381-400
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Keywords

About this book

This book celebrates the career of Pierre L’Ecuyer on the occasion of his 70th birthday. Pierre has made significant contributions to the fields of simulation, modeling, and operations research over the last 40 years. This book contains 20 chapters written by collaborators and experts in the field who, by sharing their latest results, want to recognize the lasting impact of Pierre’s work in their research area. The breadth of the topics covered reflects the remarkable versatility of Pierre's contributions, from deep theoretical results to practical and industry-ready applications. The Festschrift features article from the domains of Monte Carlo and quasi-Monte Carlo methods, Markov chains, sampling and low discrepancy sequences, simulation, rare events, graphics, finance, machine learning, stochastic processes, and tractability.

Editors and Affiliations

  • Randwick, Australia

    Zdravko Botev

  • NVIDIA, Berlin, Germany

    Alexander Keller

  • University of Waterloo, Waterloo, Canada

    Christiane Lemieux

  • Rennes Bretagne-Atlantique, INRIA, Rennes Cedex, France

    Bruno Tuffin

About the editors

Zdravko Botev is a Statistics Lecturer at UNSW Sydney. He is the inventor of the widely used kernel density estimation via diffusion,  as well as the generalized splitting method for rare-event simulation and optimization. His research has been recognized with the Christopher Heyde Medal of the Australian Academy of Sciences, as well as the Gavin Brown Prize of the Australian Mathematical Society. 



Alexander Keller is a Director of Research at NVIDIA working on the foundations of graphics, communications, and machine learning. Before, he had been the Chief Scientist of mental images. Prior to industry, he worked as a full professor for computer graphics and scientific computing at Ulm University

Christiane Lemieux is a Professor in the Department of Statistics and Actuarial Science in the Faculty of Mathematics at the University of Waterloo in Canada. Her research interests are centered on quasi-Monte Carlo methods and their applications in practice. Her most recent work includes studying the negative dependence properties of scrambled constructions and devising sampling algorithms based on low-discrepancy sequences for multivariate distributions, including copula models.


Bruno Tuffin is a Research Director at Inria Rennes, France. He is leading the Ermine research team focusing on an efficient management of communication networks operations. His own research interests include developing Monte Carlo and quasi-Monte Carlo simulation techniques  for the performance evaluation of telecommunication systems and telecommunication-related economical models. He has written or co-written four books on those topics.

Bibliographic Information

  • Book Title: Advances in Modeling and Simulation

  • Book Subtitle: Festschrift for Pierre L'Ecuyer

  • Editors: Zdravko Botev, Alexander Keller, Christiane Lemieux, Bruno Tuffin

  • DOI: https://doi.org/10.1007/978-3-031-10193-9

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022

  • Hardcover ISBN: 978-3-031-10192-2Published: 01 December 2022

  • Softcover ISBN: 978-3-031-10195-3Published: 01 December 2023

  • eBook ISBN: 978-3-031-10193-9Published: 30 November 2022

  • Edition Number: 1

  • Number of Pages: XVI, 420

  • Number of Illustrations: 19 b/w illustrations, 72 illustrations in colour

  • Topics: Mathematics, general, Computer Science, general

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