Material covered in lectures

Weeks 1, 2: Probability

[1] Chapters 1, 2  (except 2.5).

[2] Chapters 1,2, 3 (except 2.6).

Week 3: Generation of Random Variables

[3] Chapters 4, 5, SimSpiders

Week 4: Introduction to Markov Chains

[1] Chapters 3, 4 (except 3.7, 3.9, 4.5).

[2] Chapter 4.1 to 4.3.

Weeks 5,6: Simulation Models

[3] Chapter 6.

[4] Chapter 10.

Required Reading

Weeks 1-2:

[2] examples in section 3.6.

[1] section 1.5 contains useful formulas.

Familiarize yourself with these useful sections for future

reference.

Week 3: 

[3] chapters 4 and 5. 

Weeks 5,6:

[4] sections 10.1, 10.2, 10.3, 10.4, 10.5

[4] sections 6.3, 6.4, 6.5, 6.6

Weeks 4, 7, 8:    

[1] examples in section 3.3.                 

[1] section 3.5 details modeling special Markov Chains.

[1] examples in section 4.2.

[2] examples in section 4.5.

[2] sections 4.8.

Weeks 9, 10:

[2] Chapter 4.9, 4.10.

[3] Chapter 10.

Weeks 13, 14: CTMC and Renewal Processes

[2] examples 5.5, 5.6, 5.10, 5.15, 5.20 and 5.27.

[1] examples in Chapter 5.

[1] Chapter 6.2.2, and examples on pages 361, 372 and 388. 

[2] examples 7.8, 7.12, 7.16, 7.17, 7.26.

[1] examples in section 7.2, and examples in section 7.5.3.

Material covered in lectures

Week 7, 8: MC Analysis

[1] Chapter 3.4, 3.5, and Chapter 4.

[2] Chapter 4.5, 4.6, 4.7, 4.8

Weeks 9, 10:

[2] Chapter 4.9, 4.10.

[3] Chapter 10.

Week 11:

[5] and SimSpiders.

[3] Chapter 7.

Week 12:

[3] Chapter 8, and [6].

Weeks  13, 14:

[2] Chapters 5, 6, 7.

[1] Chapters 5. 6, 7.

Sample LaTeX Files for Projects

1. Sample source file for report. This file uses the basic format for LaTex. You are welcome to define your own font style or layout, if you already know how to typeset files. Otherwise this can help you produce a good quality report. Please check the guidelines for report.
   

1.   Sample beamer file for presentation: source, figures. This was used at a conference for a 15 minute presentation. You may have to re-place some figures in your working directories (it will help you understand the system). Styles in beamer are very easy to change, as well as color schemes, please look at the guides available for free from the internet to individualize your presentation. You can use PowerPoint (if you do not have many equations), if you can deliver a high quality output. Please check the guidelines for the presentation.

[1] Taylor and Karlin, An Introduction to Stochastic Modeling, 3rd Edition

[2] Ross, Introduction to Probability Models,10th Edition

[3] Ross, Simulation, 4th Edition

[4] Cassandras and Lafortune, Introduction to Discrete Event Systems.

[5] Alexopoulos and Seila, Chapter 7: “OutputAnalysis-HandbookOfSimulation.pdf”, of Handbook of Simulation.

[6] Boyle, Broadie and Glasserman, “MC Methods for security pricing”, JEDC 1996.

[7] Study guide for exam: Quiz.

University readers has prepared a package with relevant chapters from [1], [3] and [4] into a single document. To purchase this material follow the instructions:

 

Step 1: Log on to https://students.universityreaders.com/store/.

Step 2: Create an account or log in if you have an existing account to purchase.

Step 3: Choose the correct course pack, select a format and proceed with the checkout process.

Step 4: After purchasing, you can access a digital copy of the first few chapters (if you selected a print format) by logging into your account and clicking "My Digital Materials" to get started on your reading right away.

 

Lecture Notes

W1 and W2: Probability concepts.

W3: Generation of Random Variables.

W4: Introduction to Markov Chains.

W5 and W6: Simulation Models.

Game of Craps with Change of Measure.

W9: MCMC and Random Search optimization.

W10: MDP’s and Dynamic Programming.

W11: Output analysis.

W12: Simulation efficiency and variance reduction