Computer simulation and related Monte Carlo methods are widely used in engineering, scientific, and other work. Simulation provides a powerful tool for the analysis of real-world systems when the system is not amenable to traditional analytical approaches. In fact, recent advances in hardware, software, and user interfaces have made simulation a "first-line" method of attack for a growing number of problems. Areas where simulation-based approaches have emerged as indispensable include decision aiding, prototype development, performance prediction, scheduling, and computer-based personnel training. This course introduces concepts and statistical techniques that are critical to constructing and analyzing effective simulations and discusses certain applications for simulation and Monte Carlo methods. Topics include random number generation, simulation-based optimization, model building, bias-variance tradeoff, input selection using experimental design, Markov chain Monte Carlo (MCMC), and numerical integration.
Multivariate calculus, familiarity with basic matrix algebra, graduate course in probability and statistics (such as 625.603 Statistical Methods and Data Analysis). Some computer-based homework assignments will be given. It is recommended that this course be taken only in the last half of a student’s degree program.