Academics
  /  
Courses
  /  
Descriptions
IEMS 435: Stochastic Simulation


VIEW ALL COURSE TIMES AND SESSIONS

Prerequisites

Statistics, and real analysis at the undergraduate engineering or mathematics level; graduate level probability and stochastic processes (IEMS 460-1); computer programming in Python; graduate standing. It is recommended to take IEMS 460-2 (Stochastic Processes II) at the same time.

Description

An introduction to stochastic simulation for PhD students. The course covers simulation methodologies and analyses. 

The theoretical foundations of stochastic simulation and proper design and analysis of the simulation experiment are emphasized. Applications are drawn from machine learning, manufacturing, financial, logistics, and service systems.

The course prepares students to employ simulation to solve problems in their research and exposes students to research topics in simulation literature.

Topics

  • Discrete event simulation modeling
  • Design and analysis of simulation experiments
  • Simulation optimization
  • Variance reduction & rare event simulation
  • MCMC, steady-state simulation, and exact methods

Materials

  • Asmussen, S., & Glynn, P. W. (2007). Stochastic simulation: algorithms and analysis (Vol. 57). Springer Science & Business Media. A pdf version of the book is free to Northwestern students connecting from inside the northwestern.edu domain.
  • Glasserman, P. (2013). Monte Carlo methods in financial engineering (Vol. 53). Springer Science & Business Media. A pdf version of the book is free to Northwestern students connecting from inside the northwestern.edu domain.
  • Nelson, B. (2013). Foundations and methods of stochastic simulation: a first course. Springer Science & Business Media. A pdf version of the book is free to Northwestern students connecting from inside the northwestern.edu domain at https://link.springer.com/book/10.1007/978-1-4614-6160-9.
  • Owen, A. (2019+). Monte Carlo theory, methods and examples. A Book in Progress. pdf files are available at https://artowen.su.domains/mc/