Stochastic Simulation

Emphasis is on the theoretical foundations of simulation methodology. Generation of uniform and non-uniform random variables. Discrete-event simulation and generalized semi-Markov processes. Output analysis (autoregressive, regenerative, spectral, and stationary times series methods). Variance reduction techniques (antithetic variables, common random numbers, control variables, discrete-time, conversion, importance sampling). Stochastic optimization (likelihood ratio method, perturbation analysis, stochastic approximation). Simulation in a parallel environment. Prerequisite: MS&E 221 or equivalent.