Published Online:https://doi.org/10.1287/moor.2022.0326

References

  • [1] Agapiou S, Roberts GO, Vollmer SJ (2018) Unbiased Monte Carlo: Posterior estimation for intractable/infinite-dimensional models. Bernoulli 24(3):1726–1786.CrossrefGoogle Scholar
  • [2] Argon NT, Andradóttir S, Alexopoulos C, Goldsman D (2013) Steady-state simulation with replication-dependent initial transients: Analysis and examples. INFORMS J. Comput. 25(1):177–191.LinkGoogle Scholar
  • [3] Asmussen S, Glynn PW (2007) Stochastic Simulation: Algorithms and Analysis, vol. 57 (Springer Science & Business Media, New York).CrossrefGoogle Scholar
  • [4] Bandi C, Bertsimas D, Youssef N (2015) Robust queueing theory. Oper. Res. 63(3):676–700.LinkGoogle Scholar
  • [5] Bardenet R, Doucet A, Holmes C (2017) On Markov chain Monte Carlo methods for tall data. J. Machine Learn. Res. 18(1):1515–1557.Google Scholar
  • [6] Barkhagen M, Chau NH, Moulines É, Rásonyi M, Sabanis S, Zhang Y (2021) On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case. Bernoulli 27(1):1–33.CrossrefGoogle Scholar
  • [7] Chada NK, Franks J, Jasra A, Law KJ, Vihola M (2021) Unbiased inference for discretely observed hidden Markov model diffusions. SIAM/ASA J. Uncertainty Quantification 9(2):763–787.CrossrefGoogle Scholar
  • [8] Cousins B, Vempala S (2016) A practical volume algorithm. Math. Programming Comput. 8(2):133–160.CrossrefGoogle Scholar
  • [9] Cui Z, Fu MC, Peng Y, Zhu L (2020) Optimal unbiased estimation for expected cumulative discounted cost. Eur. J. Oper. Res. 286(2):604–618.CrossrefGoogle Scholar
  • [10] Diaconis P (2009) The Markov chain Monte Carlo revolution. Bull. Amer. Math. Soc. 46(2):179–205.CrossrefGoogle Scholar
  • [11] Diaconis P, Stroock D (1991) Geometric bounds for eigenvalues of Markov chains. Ann. Appl. Probab. 1(1):36–61.CrossrefGoogle Scholar
  • [12] Giles MB (2008) Multilevel Monte Carlo path simulation. Oper. Res. 56(3):607–617.LinkGoogle Scholar
  • [13] Giles MB (2015) Multilevel Monte Carlo methods. Acta Numerica 24:259–328.CrossrefGoogle Scholar
  • [14] Glasserman P (2004) Monte Carlo Methods in Financial Engineering (Springer, New York).CrossrefGoogle Scholar
  • [15] Glynn PW, Rhee C (2014) Exact estimation for Markov chain equilibrium expectations. J. Appl. Probab. 51(A):377–389.CrossrefGoogle Scholar
  • [16] Glynn PW, Whitt W (1992) The asymptotic efficiency of simulation estimators. Oper. Res. 40(3):505–520.LinkGoogle Scholar
  • [17] González Cázares JI, Mijatović A, Uribe Bravo G (2022) Geometrically convergent simulation of the extrema of Lévy processes. Math. Oper. Res. 47(2):1141–1168.LinkGoogle Scholar
  • [18] Hull J (2014) Options, Futures and Other Derivatives, 9th ed. (Prentice-Hall, Upper Saddle River, NJ).Google Scholar
  • [19] Jacob PE, Thiery AH (2015) On nonnegative unbiased estimators. Ann. Statist. 43(2):769–784.CrossrefGoogle Scholar
  • [20] Jacob PE, O’Leary J, Atchadé YF (2020) Unbiased Markov chain Monte Carlo methods with couplings. J. Roy. Statist. Soc. Ser. B Statist. Methodology 82(3):543–600.CrossrefGoogle Scholar
  • [21] Jasra A, Law KJ, Lu D (2021) Unbiased estimation of the gradient of the log-likelihood in inverse problems. Statist. Comput. 31(3):1–18.CrossrefGoogle Scholar
  • [22] Kahalé N (2019) Efficient simulation of high dimensional Gaussian vectors. Math. Oper. Res. 44(1):58–73.AbstractGoogle Scholar
  • [23] Kahalé N (2020) General multilevel Monte Carlo methods for pricing discretely monitored Asian options. Eur. J. Oper. Res. 287(2):739–748.CrossrefGoogle Scholar
  • [24] Kahalé N (2020) Randomized dimension reduction for Monte Carlo simulations. Management Sci. 66(3):1421–1439.LinkGoogle Scholar
  • [25] Kahalé N (2022) On the effective dimension and multilevel Monte Carlo. Oper. Res. Lett. 50(4):415–421.CrossrefGoogle Scholar
  • [26] McLeish D (2011) A general method for debiasing a Monte Carlo estimator. Monte Carlo Methods Appl. 17(4):301–315.CrossrefGoogle Scholar
  • [27] Middleton L, Deligiannidis G, Doucet A, Jacob PE (2020) Unbiased Markov chain Monte Carlo for intractable target distributions. Electronic J. Statist. 14(2):2842–2891.CrossrefGoogle Scholar
  • [28] Rhee Ch, Glynn PW (2015) Unbiased estimation with square root convergence for SDE models. Oper. Res. 63(5):1026–1043.LinkGoogle Scholar
  • [29] Sinclair A (1992) Improved bounds for mixing rates of Markov chains and multicommodity flow. Combinatorics Probab. Comput. 1(4):351–370.CrossrefGoogle Scholar
  • [30] Tierney L (1994) Markov chains for exploring posterior distributions. Ann. Statist. 22(4):1701–1728.CrossrefGoogle Scholar
  • [31] Vihola M (2018) Unbiased estimators and multilevel Monte Carlo. Oper. Res. 66(2):448–462.LinkGoogle Scholar
  • [32] Whitt W (1991) The efficiency of one long run vs. independent replications in steady-state simulation. Management Sci. 37(6):645–666.LinkGoogle Scholar
  • [33] Whitt W, You W (2019) Time-varying robust queueing. Oper. Res. 67(6):1766–1782.LinkGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.