Download IE 571 System Simulation Fall 2015

IE 571 System Simulation
Fall 2015
Instructor: Nur Evin Özdemirel, IE 221, nurevin@metu.edu.tr, 210 47 88
Course Schedule: Thursday 13:40-16:30, IE 301
Prerequisites: None, but IE 266 and IE 372 (or equivalent courses) are strongly suggested
Textbook: Law, A.M., Simulation Modeling and Analysis (4th ed.), McGraw-Hill, 2007
(QA76.9.C65 L38, in reserve). 2000 and 1991 editions are also in reserve. 5th edition
published in 2015 is welcome.
References:
Banks, J. and Carson, J.S., Discrete-Event System Simulation (4th ed.), Prentice-Hall, 2005
(T57.62 B218, in reserve). 2000, 1996 and 1984 editions are also available.
Bratley, P., Fox, B.L., and Schrage, L.E., A Guide to Simulation (2nd ed.), Springer-Verlag,
1987 (QA76.9.C65 B73).
Pegden, C.D., Shannon, R.E., and Sadowski, R.P., Introduction to Simulation Using SIMAN
(2nd ed.), McGraw-Hill, 1995 (QA76.9.C65 P44, in reserve).
Course Content: The main focus of this course is statistical input and output analysis for
stochastic simulation. Issues such as input distribution fitting, generating random numbers
and random variates, output analysis, variance reduction, experimental design, and simulation
optimization will be discussed, including some well known analysis methods and recent
developments in the area.
Topics to be covered are:
-
Review of simulation and statistics (Chapters 1 and 4 to be reviewed by students)
Selecting input probability distributions (Chapter 6)
Random number generation (Chapter 7)
Random variate generation (Chapter 8)
Output analysis for a single system (Chapter 9)
Comparing alternative systems (Chapter 10)
Variance reduction techniques (Chapter 11)
Verification and validation (Chapter 5)
Experimental design issues in simulation
Simulation optimization
Paper reviews
Grading Policy (subject to change):
Homework assignments (mostly on computer)
Midterm exam (toward the end of the semester)
Paper presentation and class participation
50%
35%
15%
IE 571 System Simulation
Fall 2015
Tentative Course and Presentation Schedule
Week
1 (Oct 8)
2 (Oct 15)
3 (Oct 22)
Oct 29
4 (Nov 5)
5 (Nov 12)
6 (Nov 19)
7 (Nov 26)
8 (Dec 3)
Topic
Review of simulation (3 hrs)
Review of probability and statistics (2 hrs)
Selecting input probability distributions (1 hr)
Selecting input probability distributions (3 hrs)
Cumhuriyet Bayramı
Chick (2001) Input distribution selection for simulation experiments:
Accounting for input uncertainty, OR 49, 744-758.
Batarseh and Wang (2008) Reliable simulation with input
uncertainties using an interval-based approach, WSC, 344-352.
Random number generation (1.5 hrs)
Random number generation (3 hrs)
L'Ecuyer (1999) Good parameters and implementations for combined
multiple recursive random number generators, OR 47, 159-164.
L'Ecuyer (2001) Software for uniform random number generation:
Distinguishing the good and the bad, WSC, 95-105.
Random variate generation (2 hrs)
Random variate generation (3 hrs)
Brysbaert (1991) Algorithms for randomness in the behavioral
sciences, Behavior Research Methods, Instruments & Computers 23,
45-60.
Shmerling (2013) A range reduction method for generating discrete
random variables, Statistics and Probability Letters, 1094-1099.
Output analysis for a single system (2 hrs)
Assignments
HW1: ID
P(resentation)
P
HW2: RNG
P
P
HW3: RVG
P
P
HW4: RVG
9 (Dec 10)
10 (Dec 17)
11 (Dec 24)
12 (Dec 31)
13 (Jan 7)
Output analysis for a single system (3 hrs)
Output analysis for a single system (2 hrs)
White et al. (2000) A comparison of five steady-state truncation
heuristics for simulation, WSC, 755-760.
Alexopoulos et al. (2007) Replicated batch means for steady-state
simulations with initial transients, WSC, 308-312.
Chen and Kelton (2008) Estimating steady-state distributions via
simulation-generated histograms, C&OR 35, 1003–1016.
Charnes (1991) Multivariate simulation output analysis, WSC, 187193.
Comparing alternative systems (2 hrs)
Goldsman et al. (2005) Statistical selection of the best system, WSC,
178-187.
Variance reduction techniques (2 hrs)
Experimental design issues and simulation optimization (1.5 hrs)
Angün et al. (2002) Response surface methodology revisited, WSC,
377-383.
Kleijnen and Wan (2007) Optimization of simulated systems:
OptQuest and alternatives, Simulation Modelling Practice and Theory
15, 354–362.
Law (2008) How to build valid and credible simulation models, WSC,
39-47.
P
P
HW5: OA
P
P
P
HW6: OA
P
P
P
IE 571 System Simulation
Fall 2015
List of Selected Articles
Topic and Article
Input distribution fitting
Chick (2001) Input distribution selection for simulation experiments:
Accounting for input uncertainty, OR 49, 744-758.
Batarseh and Wang (2008) Reliable simulation with input uncertainties using
an interval-based approach, WSC, 344-352.
Random number generation
L'Ecuyer (1999) Good parameters and implementations for combined multiple
recursive random number generators, OR 47, 159-164.
L'Ecuyer (2001) Software for uniform random number generation:
Distinguishing the good and the bad, WSC, 95-105.
Random variate generation
Hormann and Leydold (2003) Continuous random variate generation by fast
numerical inversion, ACM Transactions on Modeling and Comuter Simulation
13, 347-362.
Brysbaert (1991) Algorithms for randomness in the behavioral sciences,
Behavior Research Methods, Instruments & Computers 23, 45-60.
Box and Muller (1958) A note on the generation of random normal deviates,
Annals of Mathematical Statistics 29, 610-611.
Ross (1990) The polar method for generating normal random variables, A
Course in Simulation, 68-72.
Shmerling (2013) A range reduction method for generating discrete
random variables, Statistics and Probability Letters 83, 1094-1099.
Output analysis
White et al. (2000) A comparison of five steady-state truncation heuristics for
simulation, WSC, 755-760.
Alexopoulos et al. (2007) Replicated batch means for steady-state simulations
with initial transients, WSC, 308-312.
Chen and Kelton (2008) Estimating steady-state distributions via simulationgenerated histograms, C&OR 35, 1003–1016.
Charnes (1991) Multivariate simulation output analysis, WSC, 187-193.
Comparison of alternatives
Goldsman et al. (2005) Statistical selection of the best system, WSC, 178-187.
Simulation optimization and DOE
Fu et al. (2008) Some topics for simulation optimization, WSC, 27-38.
Kleijnen (2005) An overview of the design and analysis of simulation
experiments for sensitivity analysis, EJOR 164, 287-300.
Kleijnen and Sargent (2000) A methodology for fitting and validating
metamodels in simulation, EJOR 120, 14-29.
Angün et al. (2002) Response surface methodology revisited, WSC, 377-383.
Kleijnen and Wan (2007) Optimization of simulated systems: OptQuest and
alternatives, Simulation Modelling Practice and Theory 15, 354–362.
Validation
Law (2008) How to build valid and credible simulation models, WSC, 39-47.
Presentation
Number
1, 2
3
4
5
6
7
8
9
10
11
12
NEO
NEO
13
14
15