5334STSI6Y - Stochastic Simulation (Fall 2017)
Course content
The field of advanced simulation contains powerful tools and techniques to study stochastic processes and other objects which defy a direct mathematical analysis. This course gives a broad treatment of the important aspects of stochastic simulation and its applications to e.g. queueing, reliability, manufacturing, risk analysis, and financial models. Aside from the fundamental mathematical interests, this course is thus also recommended for students wishing to make a career in business, finance, operations research, etc. In particular, we will discuss a selection of the following simulation concepts and techniques:- Random number generation
- Discrete event simulation
- Output analysis of simulation results
- Steady-state simulation
- Variance-reduction methods
- Rare-event simulation
- Derivative estimation
- Simulation of complex stochastic processes, such as Gaussian processes or time series.
- Simulated annealing
Learning objectives
The learning objectives for this course are as follows. After this course, the student- understands the above-mentioned simulation techniques and is able to apply them to a wide variety of stochastic processes;
- is able to build a correct simulation model from a business context,
- is able to perform an efficient simulation based on this model to capture the dynamics of key performance measures, after which the student
- is able to successfully analyse and interpret the simulation results using appropriate statistical methods.
Lecturers
- Prof. dr. M.R.H. Mandjes, tel.: 020-5255164, e-mail: M.R.H.Mandjes 'at' uva.nl
- Dr. J.L. Dorsman, tel.: 020-5258209, e-mail: J.L.Dorsman 'at' uva.nl
Literature
The lectures are based on the following book:Soren Asmussen, Peter W. Glynn
Stochastic Simulation: Algorithms and Analysis
Springer Verlag 2007
Volume 57 of the series Stochastic Modelling and Applied Probability
ISBN: 9780387306797
Below, we will refer to this book as [AG]. It is recommended to have a copy, as we will continuously refer to this book. Next to the book, we may use additional handouts, which will be posted here.
Setup of the course and examination
This course will be taught by weekly lectures, in which all the material is treated. Please see datanose for the time and location of these lectures.The examination of this course is in part comprised of four homework sets, each of which counts towards 10% of the final grade of the course. These will consist of both theoretical and practical (programming) exercises. There will also be an oral examination. These examinations will be held on December 15 and December 19 in the morning between 09:00AM and 1:00PM. Please notify the lecturers if you are unavailable on either of these dates. The final grade for this course (FI) is based on the average homework grade (HW) and the exam grade (EX) in the following way: FI = 1{EX<5.0}EX + 1{EX>=5.0}(0.4HW+0.6EX).
This course is credited with 6 EC.
Homework and grades
The first homework set can be found here and is due on Friday Oct 13 at 3PM.The second homework set can be found here and is due on Friday Nov 10 at 3PM.
The third homework set can be found here and is due on Friday Dec 1 at 3PM.
The fourth homework set can be found here and is due on Friday Dec 15 at 9AM.
All grades can be found here.
Schedule oral exam
The oral exams will take place on Friday Dec 15 and Tuesday Dec 19 in room F3.37, SP107. The schedule can be found here.Weekly program
The weekly program will be announced during the course of the course.| Week | Date | Lectured Material | Slides |
|---|---|---|---|
| 1 | September 8 | Introduction, [AG] Chapter I | Slides week 1 |
| 2 | September 15 | [AG] Chapter II | Slides week 2 |
| 3 | September 22 | Handout on discrete-event simulation Mathematica file of simulation program |
Slides week 3 |
| 4 | September 29 | [AG] Chapter III | Slides week 4 |
| 5 | October 6 | [AG] Chapter IV | Slides week 5 |
| 6 | October 13 | [AG] V.2 and V.3 | Slides week 6 |
| 7 | October 20 | [AG] V.4 and V.5 | Slides week 7 |
| 8 | October 27 | NO LECTURE! | - |
| 9 | November 3 | [AG] V.6 and V.7 | Slides week 9 |
| 10 | November 10 | [AG] V.8 and V.1 | Slides week 10 |
| 11 | November 17 | [AG] Chapter VII | Slides week 11 |
| 12 | November 24 | [AG] Chapter VI | Slides week 12 |
| 13 | December 1 | [AG] Chapter VI | Slides week 13 |