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K-ADD: Stochastic Modeling & Simulation

(Lectures at Korea Agency for Defense Development (ADD), Seoul, March 3 - 4, 2014)

Instructor: Prof. Yan Wang
Lecture No. Topics Handouts
1 Introduction of Modeling & Simultion
  • Fundamental concepts of modeling
  • Simulation-based system design
  • Sources of uncertainty in modeling & simulation
    		•  Slides
    2 Review of Probability & Statistics
  • Interpretations of probability
  • Discrete and continous random variables
  • Relationships among distributions
    		•  Slides
    3 Pseudo-Random Number Generation
  • Linear congruential methods
  • Shuffling
  • Feedback shift register generators
  • Mersenne twister
  • Tests for randomness
    		•  Slides
    4 Random variate Generation
  • Inverse transform
  • Composition
  • Convolution
  • Acceptance-Rejection
  • Generalized beta distribution
  • Johnson translation distribution
  • Modeling dependency
    		•  Slides
    5 Output Analysis
  • Number of simulation runs
  • Fixed-sample-size procedure
  • Multiple performance measurement
  • Comparing alternative configurations
    		•  Slides
    6 Variance Reduction
  • Common random numbers
  • Antithetic variates
  • Control variates
  • Indirect estimation
  • Conditioning
  • Stratification
    		•  Slides
    7 Rare Event Simulation
  • Importance sampling
  • Splitting
    		•  Slides
    8 Simulation-Based Optimization
  • Global optimization
  • Infinitestimal perturbation analysis
  • Likelihood ratio
  • Finite difference
    		•  Slides
    9 Stochastic Differential Equation
  • Trajectory sampling
  • Chapman-Kolmogorov Equations (Fokker-Planck, Master)
  • Path integral
    		•  Slides