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## 02443 Stochastic Simulation

### Danish title:

Stokastisk simulation

5

### Course type:

 Advanced course Taught under open university

June

### Scope and form:

Lectures, exercises and project work.

3 weeks

04245

,

### General course objectives:

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.

### Learning objectives:

A student who has met the objectives of the course will be able to:
• Apply build-in random number generators in various software products
• Implent algorithms for random number generation from various distributions
• Perform simple statistical analysis of simulated data
• Apply simulation based statistical techniques like bootstrap and Markov Chain Monte Carlo
• Apply simulated annealing as a heuristic method for minor optimization problems with discrete variables
• Develop and implement simulation procedures for simple technical systems using the event by event principle
• Perform verification of a programme for simulation
• Perform validation of a simulation model
• Plan and execute a simulation study for a specific part or function of some (technical) system
• Apply techniques for variance reduction in a simulation study
• Present the results of a simulation study writtenly or verbally

### Content:

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. Case-studies: Operations research real-life problems, e.g. performance of data- and telecommunication systems, production planning, inventory control, optimal stochastic control etc.

### Green challenge participation:

This course gives the student an opportunity to prepare a project that may participate in DTU's Study Conference on sustainability, climate technology, and the environment (GRØN DYST). More information http://www.groendyst.dtu.dk/kursustilmelding.aspx

### Responsible:

Gilles Guillot, 305, 118, (+45) 4525 3321,

### Department:

02 Department of Informatics and Mathematical Modeling

http://www.imm.dtu.dk/courses/02443

### Keywords:

Numerical simulation, Computer models, Random number generation, Monte Carlo methods
Last updated: March 26, 2012

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