CS 661: Systems Simulation

 

Lecture Notes and Tentative Semester Schedule

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Lecture

Date

Topic (You must bring printouts of the lecture notes to class.  Lecture notes will be posted at least 24 hours before class.)

Optional Reading

 Remarks

1

1/22

·       Lecture Notes 1: Introduction

·       Lecture Notes 2: Review of Probability and Statistics

·        Ross: Chapters 1 and 2

·        Glasserman: Chapter 1

·        Law: Chapter 4

·       Download HW 1

2

1/29

 Same as above.

 

 

3

2/5

·       Lecture Notes 3: Properties of Probability Distributions

o   Figure showing relationships among many distributions.  The figure is from this paper, which is an optional reading.

·       Lecture Notes 4: Modeling Input Distributions

·       Ross: Chapter 11

·       HW 1 due.

4

2/12

·       Lecture Notes 5: Random-Number Generation

o   RngStream is a good random-number generator developed by Pierre L’Ecuyer, and below are implementations of it:

§  C version, with documentation

§  C++ version, with documentation

§  Java version, with documentation

·       Lecture Notes 6: Generating Random Samples

o   Excel files (compressed) implementing some of the algorithms 

o   Numerical approximations to the standard normal CDF and its inverse (P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer-Verlag, 2004)

·       Ross: Chapters 3-4

·       Glasserman: Chapter 2

 

5

2/19

 Same as above.

·       Ross: Chapters 5

·       HW 2 due.

6

2/26

 Same as above.

·       Ross: Chapter 6

7

3/5

·        Lecture Notes 7: Basics of Arena and Tiketown

o   Download PopTools (add-in for only 32-bit versions of Excel in Windows)

o   Download Yasai (add-in for 32- and 64-bit versions of Excel in Windows and Mac)

o   Arena model (compressed)

·       Lecture Notes 8: Fundamental Simulation Concepts

·       Ross: Chapter 7

·       HW 3 due.

·       Bring laptop to class

8

3/12

 Midterm

 

 

9

3/26

·       Lecture Notes 9: More on Arena

·       Lecture Notes 10: Output Analysis

·       Ross: Chapter 8

·       HW 4 due.

10

4/2

 Same as above.

 

11

4/9

·        Lecture Notes 11: Monte Carlo Simulation

o   Arena models (compressed)

o   Excel models using PopTools and Yasai Add-Ins (compressed)

·       Glasserman: Chapter 3

·       HW 5 due

12

4/16

·        Lecture Notes 12: Variance-Reduction Techniques

o   Proof of variance reduction for antithetic variates under monotonicity (S. M. Ross, Simulation, 2nd Edition, Academic Press, 1997)

·        Ross: Chapter 9

·        Glasserman: Chapter 4

 

13

4/23

 Same as above.

·       HW 6 due

14

4/30

 Same as above.

 

 

Extra notes

·       Lecture Notes 13: Anicard

·       Lecture Notes 14: GFC

·       Lecture Notes 15: Wafer Fab

·       Lecture Notes 16: Decision Making Via Simulation

 

·       Extra notes that we may not have time to cover.

 

Last Modified:  4/8/2015 1:01:23 PM