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Zdravko Botev Alexander Keller Christiane Lemieux Bruno Tuffin Editors Advances in Modeling and Simulation Festschrift for Pierre L’Ecuyer Advances in Modeling and Simulation · · Zdravko Botev Alexander Keller · Christiane Lemieux Bruno Tuffin Editors Advances in Modeling and Simulation Festschrift for Pierre L’Ecuyer Editors ZdravkoBotev AlexanderKeller Randwick,NSW,Australia NVIDIA Berlin,Germany ChristianeLemieux UniversityofWaterloo BrunoTuffin Waterloo,ON,Canada RennesBretagne-Atlantique INRIA RennesCedex,France ISBN 978-3-031-10192-2 ISBN 978-3-031-10193-9 (eBook) https://doi.org/10.1007/978-3-031-10193-9 ©TheEditor(s)(ifapplicable)andTheAuthor(s),underexclusivelicensetoSpringerNature SwitzerlandAG2022 Thisworkissubjecttocopyright.AllrightsaresolelyandexclusivelylicensedbythePublisher,whether thewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuse ofillustrations,recitation,broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,and transmissionorinformationstorageandretrieval,electronicadaptation,computersoftware,orbysimilar ordissimilarmethodologynowknownorhereafterdeveloped. Theuseofgeneraldescriptivenames,registerednames,trademarks,servicemarks,etc.inthispublication doesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. Thepublisher,theauthors,andtheeditorsaresafetoassumethattheadviceandinformationinthisbook arebelievedtobetrueandaccurateatthedateofpublication.Neitherthepublishernortheauthorsor theeditorsgiveawarranty,expressedorimplied,withrespecttothematerialcontainedhereinorforany errorsoromissionsthatmayhavebeenmade.Thepublisherremainsneutralwithregardtojurisdictional claimsinpublishedmapsandinstitutionalaffiliations. ThisSpringerimprintispublishedbytheregisteredcompanySpringerNatureSwitzerlandAG Theregisteredcompanyaddressis:Gewerbestrasse11,6330Cham,Switzerland Preface ThisFestschriftisacollectionofinvitedresearcharticlesontheoccasionofPierre L’Ecuyer’s70thbirthdayin2020.Duringthepandemic,acelebrationwithfriendsand colleagueswasimpossible.WhendiscussingtheopportunitytopublishaFestschrift instead,supporthasbeenenthusiastic.Wearegratefultotheauthorsofthisvolume for their endorsement and their ready willingness to contribute. The works reflect Pierre’s influence on the fields of stochastic modeling, simulation, and operations research.ItisarealpleasuretopresentthisFestschrifttohonorPierreL’Ecuyer. Sydney,Australia ZdravkoBotev Berlin,Germany AlexanderKeller Waterloo,Canada ChristianeLemieux Rennes,France BrunoTuffin April2022 v Acknowledgements We express our gratitude to Martin Peters at Springer-Verlag for supporting and publishingtheFestschriftvolume. Themanuscriptsinthisvolumewerecarefullyscreened.Wethanktheanonymous reviewersfortheirtimeandtheirreportsthatcontributedenormouslytotheexcellent qualityoftheFestschrift. ZdravkoBotev AlexanderKeller ChristianeLemieux BrunoTuffin vii Biography AbstractPierreL’Ecuyerisregardedasatopscientist,hisleadershipinthefieldof simulationand,inparticular,pseudo-randomnumbergenerationbeinguncontested. Pierreisnotonlyknownforhisscientificresults,butalsoforhisrigorousness,his dedication to excellence, his dynamism, his enormous working capacity, and his curiosity making an impression on every person who gets to know him. Those in desireofmoredetailmayhavealookatPierre’svitaathttp://www.iro.umontreal. ca/lecuyer/cva.pdf. Education PierrefollowedaneducationpathfromtheUniversitédeMontréal,Canada.Hisfirst academic degree is a Bachelor’s in mathematics in 1972, followed by an M.Sc. in OperationsResearchin1980(inbetweenhehadbeenateacherofmathematicsat theCEGEPofSept-Iles,Québec),andthenaPh.D.inComputerSciencewithOper- ationsResearchorientationin1983onMarkoviandecisionprocesses.From1982to 1990, he served as a Professor in the Computer Science Department at Université Laval, and since then has been a Professor in the “Département d’informatique et derechercheopérationnelle”(DIRO)attheUniversitédeMontréal.Pierrehasalso beenspendingtimevisitingcolleaguesinnumerousplacesworldwideduringsabbat- icals or long stays, including Stanford University, Université de Nantes, Waseda University, University of Salzburg, North Carolina State University, Université de Savoie,InriaRocquencourtandRennes,UniversityofNewSouthWales,andGoogle Research. ix x Biography ResearchActivityandVisibility As of the beginning of November 2021, Pierre has written or co-written 26 book chapters,125journalpapers(inprestigiousjournals),and134referredconference papers.AccordingtoGoogleScholar,hisH-indexis68andhehas16,481citations. Pierrehasawiderangeofinterestsanddiversecontributions.Amongthese,Pierre isaworldleaderinmultipleareas: (cid:129) Dynamic programming and operations research (OR) in general. Pierre’s activity on dynamic programming (starting with his Ph.D. thesis) and a broad range of OR domains, including the computation of derivatives, is still highly referencedinthedomain. (cid:129) Variancereductiontechniques.Hisworkonvariancereduction,includingrare event simulation, has made Pierre one of the most renowned researchers in the domain, both from the theoretical and application (to reliability and queuing) aspects. He contributed to the advances of importance sampling and splitting proceduresdrasticallyreducingthesimulationtimetoreachapredefinedaccuracy. (cid:129) Telephone call centers. His industrial contracts have led Pierre to work on the modeling, simulation, and optimization of call centers. His activity has led to the development of a software used by several companies and the development of models and specific analysis techniques making him a renowned expert in theareacollaboratingwiththebest-knownotherteamsintheworld.Henotably developednewandmorerealisticmodelsthanthoseexistingatthetimeinwhich thearrivalrateofcustomerschangeswithtime,isstochastic,andthearrivalratesin differenttimeperiodsarenotindependent.Novelestimationsofparametershave alsobeendesigned.Healsodevelopedsimulation-basedoptimizationalgorithms andheuristicsforagent’sstaffing. (cid:129) Quasi-Monte Carlo methods are deterministic methods, as opposed to the random Monte Carlo ones, having the advantage of converging faster, even if lesseasytoapply.Again,Pierrehasdevelopedastrongandworld-leadingexper- tiseinthegenerationofsequencesofhighlyuniformlydistributedpointsusedby thosemethods,theirrandomizationtogetapracticalestimationoftheerror,and theirapplicationinfinance. (cid:129) Randomnumbergenerators.WhilePierre’sworkonallthepreviouslydescribed topicsisalreadyimpressive,hisactivityonrandomnumbergenerators,akeyissue forsimulation,isprobablywhatshouldbehighlightedthemost.Ifonehastogive a single name on this topic, Pierre is probably the one that will be mentioned. HisrandomgeneratorRNGStreamsiswidelyused,becauseitisoneofthemost efficientandportableones.Hisextensivetestsuitesarealsoverypopular.Pierre’s TestU01softwarelibraryisthestandardsuiteofproceduresforempiricallytesting theperformanceofrandomnumbergenerators.Amonghismanypublicationson the subject, the one he has in the Communications of the ACM has been cited morethan1,100times. Biography xi EditorialActivities Pierre is currently an Associate Editor for three journals: ACM Transactions on Mathematical Software, Statistics and Computing, and International Transactions inOperationalResearch.HewaspreviouslyAssociateEditorforfiveotherjournals andtheDepartmentalEditorfortheSimulationDepartmentofManagementScience. HewastheEditor-in-ChiefforACMTransactionsonModelingandComputerSimu- lation from 2010 to 2013, a period during which the journal grew in scope and volume of submissions; Pierre was carefully reading all the submitted papers and prescreeningsubmissionstoalleviatetheworkloadoftheeditorialteam. Remarkably,Pierrehasreviewedarticlesfor170differentjournals.Thatillustrates howwell-knownheisbypeopleevenoutsidethesimulationcommunity.Typically, hehasbeenreviewingbetweenthreetofourpapersperweekonaverage. OrganizingConferences Pierre has already organized seven international events in Montréal, including the EighthInternationalConferenceonMonteCarloandQuasi-MonteCarloMethods inScientificComputing(MCQMC)in2008andtheINFORMSSimulationSociety Workshopin2011,ortheEleventhInternationalConferenceonMonteCarloMethods andApplication(MCM)in2017.Healsoco-organizedMCQMC2018inRennes, France.Pierrehasbeenservingonmanyprogramorsteeringcommittees. SimulationSocieties Pierre has been a member of numerous evaluation committees worldwide for grant proposals, promotion, and prizes from universities. Among the most notable membershipsaretheINFORMSSimulationSocietyDistinguishedServiceAward, INFORMS Simulation Society Outstanding Publication Award, or INFORMS CollegeonSimulationOutstandingPublicationandOutstandingAwardcommittees. IndustryandCivilSociety Pierrehasreceivedmanygrantsfromtheindustrytosuccessfullyapplyhissimulation andoperationsresearchresults.Forexample,Pierrehasdevelopedspecificmodeling and simulation tools for Bell and Hydro-Québec. He has also been contacted to implementhisrandomnumbergenerators,ortestexistingones,byAMD,Alcatel, LottoQuébec,TheMathworks,andMontréalPoliceService,tonameafew. xii Biography Pierre has devoted a lot of time to software development, with all his random generatorsavailableinmanylanguages,aJavalibraryforstochasticsimulationcalled SSJ, or a software library called TestU01 offering a collection of utilities for the empirical statistical testing of uniform random number generators. All these tools arefreelyavailabletothescientificcommunity. Mentorship Pierrehassupervised49MasterandPh.D.students,aswellas23postdocs.Hehas beenamemberofnumerousPh.D.examinationcommitteesallovertheworld.His courses on simulation at the Université de Montréal and various Summer Schools havealsocontributedtothewidespreaddisseminationofmodelingandsimulation knowledge. Recognition Pierrehasbeenrecognizedbythescientificcommunity,havingreceivedprestigious awardssuchasaCanadianandanInriaResearchChair,theAwardofMeritfromthe CanadianOperationalResearchSociety,theINFORMSFellowAwardin2006,the INFORMSSimulationSocietyDistinguishedServiceAwardin2011,theINFORMS SimulationSocietyOutstandingResearchPublicationAwardwonthreetimesin1999 (onCombinedMultipleRecursiveRandomNumberGenerators),2009(oncomputa- tionalfinance,bydesigningefficientalgorithmsforpricingpath-dependentoptions), and2018(oncallcentersmodeling),theSIGSIMDistinguishedContributionsAward in2016,orINFORMSSimulationSocietyLifetimeProfessionalAchievementAward in2020.OntheCanadianscene,tonameonlyafewoftheawardsanddistinctions earnedbyPierre,in1996,hewasawardedaprestigiousSteacieFellowshipforthe period1995–1997fromtheNaturalScienceandEngineeringResearchCouncilof Canada.HereceivedaKillamResearchFellowshipfromtheCanadaCouncilforthe Arts for the period 2001–2003. And in 2004, he was awarded a Canada Research ChaironStochasticSimulationandOptimizationfortheperiod2004–2010,which wasrenewedin2011foranothersevenyears. PersonalAchievements Besideshisscientificlife,Pierrehashadanamazingsport-relatedlife,forwhichhe isalsowell-knownintherespectivecommunities:notonlyasacompetitorbutalso asacoach.Whileskilledinmanykindsofsport,Pierreisexceptionallycompetitive andskilledincross-countryskiingandroadcycling.