Lecturer and instructor: Bo Friis Nielsen

Instructors: Flavia Dalia Frumosu, Jesper Fink Andersen, and Oscar Peralta Gutierrez

Contact: bfni@dtu.dk

**Textbook**: Notes will be handed out. Suggested additional reading is:

**Lectures** are held in building 306, aud. 32,
starting Thursday 01/06, 9.15. Lectures will continue until Friday 9/06.

**Computer exercises** are carried out in Building 302 second floor (In Danish: Første sal).

The computer exercises must be documented in reports and handed in Monday 12/6.
The computer exercises can be found at the end of their associated slideshow.
From Monday 12/6 until Thursday 22/06, students will work on a specific topic.
A report of this work must be handed in on Thursday 22/06.

Any **langauge** implementing the most common probability and statistics functions (e.g. R, Matlab, Python) can be used, although the use of R is also possible. See R for Beginners by Emmanuel Paradis 76 pp.

- Day 1 - June 1,
**Introduction and Generating Random Numbers** - Reading: TBA
- 9.15 - 10.00: Introduction. Slide show (draft) in pdf.
- 10.15 - 11.00: Generating Random Numbers. Slide show (draft) in pdf.
- 11.15 - 12.00: Testing Random Numbers. Slide show (draft) in pdf.
- 13.00 - 17.00: Computer exercise 1: Generation of random numbers.

- Day 2 - June 2,
**Sampling from Discrete & Continuous Distributions** - Reading: TBA
- 9.15 - 10.00: Sampling from Discrete Distributions. Slide show (draft) in pdf.
- 10.15 - 11.00: Sampling from Continuous Distributions. Slide show (draft) in pdf.
- 11.15 - 12.00: Computer exercise 2: Sampling from discrete distributions.
- 13.00 - 17.00: Computer exercise 2 continued & Computer exercise 3: Sampling from continuous distributions.

- Day 3 - June 6,
**Discrete Event Simulation** - Reading: TBA
- 8.15 - 9.00: Discrete event simulation. Slide show (draft) in pdf.
- 9.15 - 9.45: Discrete event simulation.
- 10.00 - 14.00: Computer exercise 4: Discrete event simulation.
- 14.00 - 16.00: Guest lecturer Dan Knudsen Integrate.
- 16.00 - 17.00: Computer exercises continued.

- Day 4 - June 7,
**Simulation Software and Variance Reduction Methods** - Reading: Ross Chapter 8
- 9.15 - 10.00: Simulation Software. Slide show (draft) in pdf.
- 10.15 - 11.00: Variance Reduction Methods. Slide show (draft) in pdf.
- 11.15 - 12.00: Computer exercise 4 continued & Computer exercise 5: Variance Reduction Methods.
- 13.00 - 17.00: Computer exercise 4 & Computer exercise 5 continued.

- Day 5 - June 8,
**Markov Chain Monte Carlo & Simulated Annealing** - Reading: Ross Chapter 10
- 9.15 - 10.00: Markov chain monte carlo. Slide show (draft) in pdf.
- 10.15 - 11.00: Simulated Annealing. Slide show (draft) in pdf.
- 13.00 - 15.00: Computer exercise 6: Markov chain monte carlo.
- 15.00 - 17.00: Computer exercise 7: Simulated annealing. The matrix needed can be download from campusnet, or here.

- Day 6 - June 9,
**Bootstrap, Simulation Modeling, Statistical Design of Simulation Experiments, (Projects)** - Reading: Ross Section 7.3
- 9.15 - 10.00 Bootstrap Slide show (draft) in pdf.
- 10.30 - 17.00: Computer exercise 7: Simulated annealing & Computer exercise 8: Bootstrap.

- Day 7 - June 12,
**Simulation Modeling, Statistical Design of Simulation Experiments Projects** - 9.15 - 10.00: Simulation modeling. Slide show (draft) in pdf.
- 10.15 - 11.00 Presentation of projects Project list.

*Last change: 12/6 2017, by bfn*