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Parallélisation d'une Combinaison des Méthodes de Monte-Carlo et Quasi-Monte-Carlo et Application aux Réseaux de Files d'Attente

Bruno TuffinLouis-Marie Le Ny — 2010

RAIRO - Operations Research

We propose a parallel algorithm which uses both Monte-Carlo and quasi-Monte-Carlo methods. A detailed analysis of this algorithm, followed by examples, shows that the estimator's efficiency is a linear function of the processor number. As a concrete application example, we evaluate performance measures of a multi-class queueing network in steady state.

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