Simulation2008/09
This course introduces to the theory and to some applications of stochastic simulation. The course is divided into two modules: this page refers to the first one (Theory and techniques). The second module (Queue theory and software tools) is held by Prof. Trubian and will start on mid-November.
News
No announcements yet.
Course schedule
Lectures will take place at the Computer science department, according to the following schedule:
| Day | Hour | Place |
|---|---|---|
| Monday | 9:00 - 11:00 | aula 6 |
| Thursday | 10:30 - 12:30 | aula 6 |
Any change to the schedule will be announced in class and published in paragraph News of this page.
Office hours
By appointment, room 5015 of the Computer Science Department.
It is possible contact the teacher by e-mail, taking care to read in advance the guide prepared by Prof. Sebastiano Vigna and clearly specifying in the message the course name and the academic year. In particular, students are encouraged to always use their academic address (i.e. based on the domain studenti.unimi.it) signing with name and student ID number and recalling that the response time may vary depending on the teacher commitments.
Course material
The course is based on the following textbook: Sheldon M. Ross, Simulation, fourth edition, Elsevier/Academic Press, Amsterdam, 2006 (ISBN 978-0125980630).
Syllabus
The course explains the topics listed in the lecture calendar, covering the textbook contents in chapters 1 to 9.
Lectures calendar
The links allow to download Wolfram Mathematica notebooks containing some of the simulations shown in class. These documents are provided as an example: the course is not about learning this software tool and the examination will not address his knowledge. However, students are encouraged to independently implement the techniques explained in class, possibly in different languages.
| Lecture | Date | Topic | Material |
|---|---|---|---|
| L01 | 29/09/2008 | Examples of complex system simulation | |
| L02 | 02/10/2008 | Pseudorandom number simulation | |
| L03 | 06/10/2008 | Simulation of discrete random variables: the inverse transform method | |
| L04 | 09/10/2008 | Simulation of continuous random variables: inverse transform method and methods for the normal distribution | |
| L05 | 13/10/2008 | Simulation through plugin and acceptance-rejection techniques | |
| L06 | 16/10/2008 | Simulation of discrete event systems | |
| L07 | 20/10/2008 | Statistical analysis of simulated data: point estimation | |
| L08 | 23/10/2008 | Statistical analysis of simulated data: interval estimation and bootstrap techniques | |
| L09 | 27/10/2008 | Variance reduction techniques: use antithetic variables and control variates | |
| L10 | 30/10/2008 | Variance reduction techniques: use of control variates and reduction by conditioning | |
| L11 | 03/11/2008 | Variance reduction techniques: reduction by conditioning and stratified sampling | |
| L12 | 06/11/2008 | Statistical validation techniques |