Jose Blanchet
TitleCited byYear
A markov chain approximation to choice modeling
J Blanchet, G Gallego, V Goyal
Operations Research 64 (4), 886-905, 2016
Efficient rare-event simulation for the maximum of heavy-tailed random walks
J Blanchet, P Glynn
The Annals of Applied Probability, 1351-1378, 2008
Asymptotic robustness of estimators in rare-event simulation
P L'ecuyer, JH Blanchet, B Tuffin, PW Glynn
ACM Transactions on Modeling and Computer Simulation (TOMACS) 20 (1), 1-41, 2010
Quantifying distributional model risk via optimal transport
J Blanchet, K Murthy
Mathematics of Operations Research 44 (2), 565-600, 2019
Robust Wasserstein profile inference and applications to machine learning
J Blanchet, Y Kang, K Murthy
Journal of Applied Probability 56 (3), 830-857, 2019
Efficient Monte Carlo for high excursions of Gaussian random fields
RJ Adler, JH Blanchet, J Liu
The Annals of Applied Probability 22 (3), 1167-1214, 2012
Efficient simulation of tail probabilities of sums of correlated lognormals
S Asmussen, J Blanchet, S Juneja, L Rojas-Nandayapa
Annals of Operations Research 189 (1), 5-23, 2011
State-dependent importance sampling for regularly varying random walks
JH Blanchet, J Liu
Advances in Applied Probability 40 (4), 1104-1128, 2008
State-dependent importance sampling for rare-event simulation: An overview and recent advances
J Blanchet, H Lam
Surveys in Operations Research and Management Science 17 (1), 38-59, 2012
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
J Blanchet, P Glynn, JC Liu
Queueing Systems 57 (2-3), 99-113, 2007
On exact sampling of stochastic perpetuities
JH Blanchet, K Sigman
Journal of Applied Probability 48 (A), 165-182, 2011
Efficient importance sampling for binary contingency tables
JH Blanchet
The Annals of Applied Probability 19 (3), 949-982, 2009
Complete corrected diffusion approximations for the maximum of a random walk
J Blanchet, P Glynn
The Annals of Applied Probability 16 (2), 951-983, 2006
On the transition from heavy traffic to heavy tails for the M/G/1 queue: the regularly varying case
M Olvera-Cravioto, J Blanchet, P Glynn
The Annals of Applied Probability 21 (2), 645-668, 2011
Uniform renewal theory with applications to expansions of random geometric sums
J Blanchet, P Glynn
Advances in Applied Probability 39 (4), 1070-1097, 2007
Convergence rate analysis of a stochastic trust region method for nonconvex optimization
J Blanchet, C Cartis, M Menickelly, K Scheinberg
arXiv preprint arXiv:1609.07428 5, 2016
Efficient simulation for tail probabilities of Gaussian random fields
RJ Adler, J Blanchet, J Liu
2008 Winter Simulation Conference, 328-336, 2008
Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...
JH Blanchet, K Leder, PW Glynn
Monte Carlo and Quasi-Monte Carlo Methods 2008, 227-248, 2009
A weak convergence criterion for constructing changes of measure
J Blanchet, J Ruf
Stochastic Models 32 (2), 233-252, 2016
Steady-state simulation of reflected Brownian motion and related stochastic networks
J Blanchet, X Chen
The Annals of Applied Probability 25 (6), 3209-3250, 2015
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Articles 1–20