Simulation

G. Fort, S. Meyn, E. Moulines, and P. Priouret, The ODE methods for Markov chain stability with applications to MCMC.

Most likely paths to error when estimating the mean of a reflected random walk. K. R. Duffy and S. P. Meyn. Submitted for publication, June 2009.

Q-learning and Pontryagin's Minimum Principle, Prashant Mehta and Sean Meyn.

Approximate Dynamic Programming using Fluid and Diffusion Approximations with Applications to Power Management, Wei Chen, Dayu Huang, Ankur Kulkarni, Jayakrishnan Unnikrishnan, Quanyan Zhu, Prashant Mehta, Sean Meyn, and Adam Wierman.

Control Variates as Screening Functions, Sofia Kyriazopoulou-Panagiotopoulou, Ioannis Kontoyiannis, and Sean Meyn. VALUETOOLS 2008 - Third International Conference on Performance Evaluation Methodologies and Tools. October 20-24, 2008, Athens, Greece.

Oja's Algorithm for Graph Clustering and Markov Spectral Decomposition. Vivek Borkar and Sean Meyn. Preliminary version received best paper award atVALUETOOLS 2008 - Third International Conference on Performance Evaluation Methodologies and Tools. October 20-24, 2008, Athens, Greece.

I. Kontoyiannis and S.P. Meyn, Computable Exponential Bounds for Screened Estimation and Simulation.

I. Kontoyiannis, L.A. Lastras-Montaño, and S.P. Meyn, Relative Entropy and Exponential Deviation Bounds for General Markov Chains, ISIT 2005.

C. Pandit, and S.P. Meyn, Worst-Case Large-Deviations Asymptotics with Application to Queueing and Information Theory. Stochastic Processes and Applications 116(5) pp. 724-756, 2006.

S.P. Meyn, Large Deviation Asymptotics and Control Variates for Simulating Large Functions. Annals Appl. Prob. 16(1) pp. 310-339, 2006.

V. Tadic, S.P. Meyn and R. Tempo, Randomized Algorithms for Semi-Infinite Programming Problems. Probabilistic and Randomized Methods for Design under Uncertainty, Springer Verlag, 2005.

S.P. Meyn, Workload Models for Stochastic Networks: Value Functions and Performance Evaluation, IEEE Transactions on Automatic Control 50(8) pp. 1106-1122, 2005.
Details from a recent presentation

V. Borkar and S.P. Meyn, Value Functions and Performance Evaluation in Stochastic Network Models. Proceedings of the 42nd IEEE Conference on Decision and Control, December 9-12, 2003, Maui, Hawaii.

S. G. Henderson, S. P. Meyn and V. B. Tadic, Performance Evaluation and Policy Selection in Multiclass Networks , Invited paper, Discrete Event Dynamic Systems: Theory and Applications. Volume 13, pp. 149-189, 2003. (also available in pdf format)
Details from a recent presentation

S. G. Henderson and S. P. Meyn, Variance Reduction for Simulation in Multiclass Queueing Networks. To appear, IIE Transactions on Operations Engineering, 2005.

Glynn, P. and S. Meyn A Lyapunov Bound for Solutions of Poisson's Equation, Annals of Probability, Vol. 24, April, 1996.

Meyn, S.P. and R. Tweedie, Markov Chains & Stochastic Stability, Springer-Verlag, N.Y.