Stochastic Simulation, June 2018
Lecturer and instructor: Bo Friis Nielsen
Instructors: Jacob Emil Friis Frølich, Maksim Mazuryn, Anders, Munch, (Jesper Fink Andersen)
Textbook: Notes will be handed out. Suggested additional reading is:
Simulation, Sheldon M. Ross, Elsevier, 2013.
Simulation Modeling and Analysis, Averill M. Law, McGraw-Hill, 2015.
Introducing Monte Carlo Methods with R, C.P. Robert and G. Casella, Springer, 2010 (pdf available from DTU electronic library).
Lectures are held in building 306, aud. 32,
starting Thursday 31/5, 9.15. Lectures will continue until Monday 11/6.
Computer exercises are carried out in Building 302 second floor (In Danish: Første sal). May 31st computer exercises are held in Building 306, Aud. 32.
The computer exercises can be found at the end of their associated slideshow.
Computer exercises should be solved by teams consisting of two students.
The computer exercises must be documented in reports and handed in not later than Wednesday 13/6, preferably Monday 11/6. The report should document that the exercises have been solved. It is sufficient to provide extended lab notes, which is to be interpreted as the computer coded intertwined with plots and tables. The conclusions and lessons learned should be added in text. Nice hand writing of this textual explanation is acceptable.
From Monday 11/6 until Thursday 21/06, students will work on a specific topic.
A report of this work must be handed in on Thursday 21/06. Team sizes can vary. However, teams of 4-5 students are considered most adequate.
Any langauge implementing the most common probability and statistics functions (e.g. R, Matlab, Python) can be used. See e.g. R for Beginners by Emmanuel Paradis 76 pp.
- Day 1 - May 31, Introduction and Generating Random Numbers & Sampling from Discrete Distributions
- 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 - 15.00: Computer exercise 1: Generation of random numbers.
- 15.15 - 16.00: Sampling from Discrete Distributions. Slide show (draft) in pdf.
- 16.00 - 17.00: Computer exercise 1 continued & computer exercise 2: Sampling from discrete distributions.
- Day 2 - June 1, Sampling from Discrete & Continuous Distributions
- Reading: TBA
- 9.00 - 12.00: Computer exercise 1 & computer exercise 2 continued.
- 13.15 - 14.00: Sampling from Continuous Distributions. Slide show (draft) in pdf.
- 14.00 - 17.00: Computer exercise 2 continued & computer exercise 3: Sampling from continuous distributions.
- Day 3 - June 4, Discrete Event Simulation
- Day 4 - June 6, 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 7, 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.
- 11.00 - 12.00: Computer exercise 6: Markov chain monte carlo.
- 13.00 - 15.00: Computer exercise 6 continued.
- 15.00 - 17.00: Computer exercise 7: Simulated annealing. The matrix needed can be download from campusnet, or here.
- Day 6 - June 8, Bootstrap, Simulation Modeling, Statistical Design of Simulation Experiments, (Projects)
- Reading: Ross Section 7.3
- 9.00 - 12.00: Computer exercise 6 & computer exercise 7 continued.
- 13.00 - 13.45 Bootstrap Slide show (draft) in pdf.
- 13.45 - 17.00: Computer exercise 7 continued & computer exercise 8: Bootstrap.
Some supplementary notes (in Danish) . Notes by Iversen in pdf.
- Day 7 - June 11, Simulation Modeling, Statistical Design of Simulation Experiments Projects
Last change: 6/6 2018, by bfn