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04245 Stochastic Simulation
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Danish title: Stokastisk simulation
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| Type: Å, Language: DDD |
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Credit points:
5 point |
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| | | Previous course: C0422 |
| Offered by:
Department of Mathematical Modelling
(IMM) |
| No credit points with: C0422 |
| Prerequisite: 04040/C0410/04041/C0401. (Kendskab til programmering) |
| Desirable: 04030/C0403 |
| Recommended semester:
4th -7th semester |
| Examination:
Evaluation of report(s)
(13 point scale
) |
| Contact person: |
Bo Friis Nielsen, IMM, Building 321, Tel. +45 4525 3397 |
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| Aim: Numerical simulation is used for solving problems which are so complex that a theoretical model of the system cannot be solved by analytical methods. The goal is to enable the student to formulate a model of a real-life problem, implement and validate this model on a computer, and perform experiments with the computer model. Emphasis is put upon models involving stochastic elements, which are simulated by so-called Monte Carlo methods. |
| Contents: The first week deals with theory and exercises, followed by a case-study during the remaining two weeks. Theory: The modelling process, methods of solution, random number generation, sampling from statistical distributions. Discrete simulation: Time-true simulation, event-by-event principle, variance reduction. Continuous Simulation: Solution of stochastic differential equations. Case-studies: Operations research real-life problems, e.g. performance of data- and telecommunication systems, production planning, inventory control, optimal stochastic control etc. |
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