Sandeep Juneja

Publication Activity (10 Years)

Years Active: 1992-2024
Publications (10 Years): 24

Top Topics

Queueing Networks

Marginal Distributions

Top Venues

SIGMETRICS Perform. Evaluation Rev.

ACM Trans. Model. Comput. Simul.

Publications

Apoorva Narula, Aastha Jain, Jatin Batra, Sandeep Juneja
Comparing skill of historical rainfall data based monsoon rainfall prediction in India with NCEP-NWP forecasts. CoRR (2024)
Agniv Bandyopadhyay, Sandeep Juneja
Game of arrivals at a two queue network with heterogeneous customer routes. CoRR (2023)
Anand Deo, Sandeep Juneja
Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator. Oper. Res. 69 (2) (2021)
Shubhada Agrawal, Sandeep Juneja, Wouter M. Koolen
Regret Minimization in Heavy-Tailed Bandits. CoRR (2021)
Shubhada Agrawal, Wouter M. Koolen, Sandeep Juneja
Optimal Best-Arm Identification Methods for Tail-Risk Measures. CoRR (2020)
Prahladh Harsha, Sandeep Juneja, Preetam Patil, Nihesh Rathod, Ramprasad Saptharishi, A. Y. Sarath, Sharad Sriram, Piyush Srivastava, Rajesh Sundaresan, Nidhin Koshy Vaidhiyan
COVID-19 Epidemic Study II: Phased Emergence From the Lockdown in Mumbai. CoRR (2020)
Achal Bassamboo, Vikas Deep, Sandeep Juneja, Assaf Zeevi
Discriminative Learning via Adaptive Questioning. CoRR (2020)
Shubhada Agrawal, Siddharth Bhandari, Anirban Bhattacharjee, Anand Deo, Narendra M. Dixit, Prahladh Harsha, Sandeep Juneja, Poonam Kesarwani, Aditya Krishna Swamy, Preetam Patil, Nihesh Rathod, Ramprasad Saptharishi, Sharad Shriram, Piyush Srivastava, Rajesh Sundaresan, Nidhin Koshy Vaidhiyan, Sarath Yasodharan
City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic. CoRR (2020)
Shubhada Agrawal, Sandeep Juneja, Peter W. Glynn
Optimal $δ$-Correct Best-Arm Selection for Heavy-Tailed Distributions. ALT (2020)
Sarat Babu Moka, Dirk P. Kroese, Sandeep Juneja
Unbiased Estimation of The Reciprocal Mean For Non-Negative Random Variables. WSC (2019)
Shubhada Agrawal, Sandeep Juneja, Peter W. Glynn
Optimal best arm selection for general distributions. CoRR (2019)
Sandeep Juneja, Subhashini Krishnasamy
Sample complexity of partition identification using multi-armed bandits. COLT (2019)
Anand Deo, Sandeep Juneja
Limiting Distributional Fixed Points in Systemic Risk Graph Models. WSC (2019)
Veeraruna Kavitha, Indrajit Saha, Sandeep Juneja
Random Fixed Points, Limits and Systemic Risk. CDC (2018)
Daniël Reijsbergen, Pieter-Tjerk de Boer, Werner R. W. Scheinhardt, Sandeep Juneja
Path-ZVA: General, Efficient, and Automated Importance Sampling for Highly Reliable Markovian Systems. ACM Trans. Model. Comput. Simul. 28 (3) (2018)
Sandeep Juneja, Subhashini Krishnasamy
Sample complexity of partition identification using multi-armed bandits. CoRR (2018)
Sarat Babu Moka, Sandeep Juneja, M. R. H. Mandjes
Analysis of Perfect Sampling Methods for Hard-sphere Models. SIGMETRICS Perform. Evaluation Rev. 45 (3) (2017)
L. Jeff Hong, Sandeep Juneja, Guangwu Liu
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement. Oper. Res. 65 (3) (2017)
Sandeep Juneja, Nahum Shimkin
On the Computation of Dynamic User Equilibrium in the Multiclass Transient Fluid Queue. SIGMETRICS Perform. Evaluation Rev. 45 (3) (2017)
Ankush Agarwal, Sandeep Juneja
Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options. IGTR 17 (1) (2015)
Sandeep Juneja, Tushar Raheja
The Concert Queueing Game: Fluid Regime with Random Order Service. IGTR 17 (2) (2015)
Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy
Incorporating views on marginal distributions in the calibration of risk models. Oper. Res. Lett. 43 (1) (2015)
Sarat Babu Moka, Sandeep Juneja
Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions. ACM Trans. Model. Comput. Simul. 25 (4) (2015)
Sergey Foss, Sandeep Juneja, M. R. H. Mandjes, Sarat Babu Moka
Spatial Loss Systems: Exact Simulation and Rare Event Behavior. SIGMETRICS Perform. Evaluation Rev. 43 (2) (2015)
L. Jeff Hong, Sandeep Juneja, Jun Luo
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo. INFORMS J. Comput. 26 (4) (2014)
Sarat Babu Moka, Sandeep Juneja
Regenerative simulation for multiclass open queueing networks. WSC (2013)
Sandeep Juneja, Nahum Shimkin
The concert queueing game: strategic arrivals with waiting and tardiness costs. Queueing Syst. Theory Appl. 74 (4) (2013)
Ankush Agarwal, Santanu Dey, Sandeep Juneja
Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations. J. Appl. Probab. 50 (3) (2013)
Ankush Agarwal, Sandeep Juneja
Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing. WSC (2013)
Peter W. Glynn, Sandeep Juneja
Asymptotic Simulation Efficiency Based on Large Deviations. ACM Trans. Model. Comput. Simul. 23 (3) (2013)
Karthyek R. A. Murthy, Sandeep Juneja, Jose H. Blanchet
Optimal rare event Monte Carlo for Markov modulated regularly varying random walks. WSC (2013)
Karthyek Rajhaa A. M., Sandeep Juneja
State-independent importance sampling for estimating large deviation probabilities in heavy-tailed random walks. VALUETOOLS (2012)
Sandeep Juneja, Tushar Raheja, Nahum Shimkin
The concert queueing game with a random volume of arrivals. VALUETOOLS (2012)
Santanu Dey, Sandeep Juneja
Efficient estimation of density and probability of large deviations of sum of IID random variables. WSC (2011)
Søren Asmussen, Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa
Efficient simulation of tail probabilities of sums of correlated lognormals. Ann. Oper. Res. 189 (1) (2011)
Dirk P. Kroese, Nahum Shimkin, Joseph Kreimer, Sandeep Juneja
Preface. Ann. Oper. Res. 189 (1) (2011)
Rahul Jain, Sandeep Juneja, Nahum Shimkin
The concert queueing game: to wait or to be late. Discret. Event Dyn. Syst. 21 (1) (2011)
Sandeep Juneja, Mehul S. Raval, Manjunath V. Joshi
ICA Based Traitor Tracing Scheme. IICAI (2011)
Peter W. Glynn, Sandeep Juneja
Ordinal optimization: a nonparametric framework. WSC (2011)
Santanu Dey, Sandeep Juneja
Multidimensional Fourier inversion using importance sampling with application to option pricing. WSC (2010)
Michael B. Gordy, Sandeep Juneja
Nested Simulation in Portfolio Risk Measurement. Manag. Sci. 56 (10) (2010)
Sandeep Juneja
Monte Carlo methods in finance: An introductory tutorial. WSC (2010)
Sandeep Juneja, L. Ramprasath
Nested Simulation for Estimating Portfolio Losses within a Time Horizon. WSC (2009)
Sandeep Juneja, Rahul Jain
The concert/cafeteria queueing problem: a game of arrivals. VALUETOOLS (2009)
Sandeep Juneja, L. Jeff Hong
Estimating the Mean of a Non-linear Function of Conditional Expectation. WSC (2009)
Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa
Efficient tail estimation for sums of correlated lognormals. WSC (2008)
Peter W. Glynn, Sandeep Juneja
A large deviations view of asymptotic efficiency for simulation estimators. WSC (2008)
Paul Glasserman, Sandeep Juneja
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables. Math. Oper. Res. 33 (1) (2008)
Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation. Oper. Res. 56 (3) (2008)
Sandeep Juneja
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization. WSC (2008)
Sandeep Juneja, R. L. Karandikar, Perwez Shahabuddin
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables. ACM Trans. Model. Comput. Simul. 17 (2) (2007)
Sandeep Juneja
Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error. Queueing Syst. Theory Appl. 57 (2-3) (2007)
Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
On the inefficiency of state-independent importance sampling in the presence of heavy tails. Oper. Res. Lett. 35 (2) (2007)
Sigrún Andradóttir, Paul Glasserman, Peter W. Glynn, Philip Heidelberger, Sandeep Juneja
Perwez Shahabuddin, 1962-2005: A professional appreciation. ACM Trans. Model. Comput. Simul. 17 (2) (2007)
Soumyadip Ghosh, Sandeep Juneja
Computing worst-case tail probabilities in credit risk. WSC (2006)
Michael B. Gordy, Sandeep Juneja
Efficient simulation for risk measurement in portfolio of CDOS. WSC (2006)
Achal Bassamboo, Sandeep Juneja
Optimal resource allocation in two stage sampling of input distributions. WSC (2006)
Sandeep Juneja, Victor F. Nicola
Efficient simulation of buffer overflow probabilities in Jackson Networks with feedback. ACM Trans. Model. Comput. Simul. 15 (4) (2005)
Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
Importance sampling simulation in the presence of heavy tails. WSC (2005)
Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
Expected shortfall in credit portfolios with extremal dependence. WSC (2005)
Nomesh Bolia, Sandeep Juneja
Function-approximation-based perfect control variates for pricing American options. WSC (2005)
Nomesh Bolia, Sandeep Juneja, Paul Glasserman
Function-Approximation-Based Importance Sampling for Pricing American Options. WSC (2004)
Peter W. Glynn, Sandeep Juneja
A Large Deviations Perspective on Ordinal Optimization. WSC (2004)
R. S. Randhawa, Sandeep Juneja
Combining importance sampling and temporal difference control variates to simulate Markov Chains. ACM Trans. Model. Comput. Simul. 14 (1) (2004)
Sandeep Juneja, Perwez Shahabuddin
Simulating heavy tailed processes using delayed hazard rate twisting. ACM Trans. Model. Comput. Simul. 12 (2) (2002)
Sandeep Juneja, Perwez Shahabuddin
Splitting-based importance-sampling algorithm for fast simulation of Markov reliability models with general repair-policies. IEEE Trans. Reliab. 50 (3) (2001)
Achal Bassamboo, Manish Gupta, Sandeep Juneja
Efficient Winner Determination Techniques for Internet Multi-Unit Auctions. I3E (2001)
Johara Shahabuddin, Abhay Chrungoo, Vishu Gupta, Sandeep Juneja, Sanjiv Kapoor, Arun Kumar
Stream-Packing: Resource Allocation in Web Server Farms with a QoS Guarantee. HiPC (2001)
Sandeep Juneja
Importance Sampling and the Cyclic Approach. Oper. Res. 49 (6) (2001)
Sandeep Juneja, Perwez Shahabuddin
Fast Simulation of Markov Chains with Small Transition Probabilities. Manag. Sci. 47 (4) (2001)
Sandeep Juneja, Perwez Shahabuddin
Simulating heavy tailed processes using delayed hazard rate twisting (extended abstract). SIGMETRICS Perform. Evaluation Rev. 27 (3) (1999)
Sandeep Juneja, Perwez Shahabuddin, Anurag Chandra
Simulating heavy tailed processes using delayed hazard rate twisting. WSC (1999)
Cheng-Shang Chang, Philip Heidelberger, Sandeep Juneja, Perwez Shahabuddin
Effective Bandwidth and Fast Simulation of ATM Intree Networks. Perform. Evaluation 20 (1-3) (1994)
Sandeep Juneja, Perwez Shahabuddin
Fast Simulation of Markovian Reliability/Availability Models with General Repair Policies. FTCS (1992)