Stochastic Simulation, June 2017
Lecturer and instructor: Bo Friis Nielsen
Instructors: Flavia Dalia Frumosu, Jesper Fink Andersen, and Oscar Peralta Gutierrez
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 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
- 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
Last change: 12/6 2017, by bfn