IEOR231 - Spring 2010

Introduction to data modeling, statistics, and system simulation

Lectures: MW 2:00-3:00 1 hr. Computation lab: Tu 2-3 Professor: GSI: Texts:
Simulation Modelling and Analysis (2007), 3rd or 4th Ed., Law (Kelton), McGraw-Hill (Several copies will be placed on reserve, along with referenced articles - optional.) Handbook of Monte Carlo Methods (2011 or 12), Kroese, D., Taimre, T., Botev, Z. (pdf to be posted by permission along with URLs with Matlab codes) Prof. Lee Schruben, Rm 4131, Etcheverry Hall e-mail: LeeS@berkeley.edu - use subject: IEOR231-(brief topic) Dashi Singham, dsingham@berkeley.edu same subject line please

Prerequisites:
Prerequisites include IEOR 262A, IEOR 263A or equivalents, and programming experience. Course Description: This course studies discrete-event simulation models used for analyzing and optimizing real systems where the underlying processes and/or parameters are not fully known, but data may be available, sampled, or artificially generated. Monte Carlo simulations are used to model systems that may be too complex to approximate accurately with deterministic, stationary, or static models, and to measure the robustness of predictions and manage the risks in decisions based on data-driven models. Students will learn how to design accurate models and conduct efficient and effective simulation experiments for practice and research. Recent advances in simulation analysis methodologies will be introduced. Some open problems for research indentified.

Grading:
There will be weekly exercises (50%) and a project (50%). The student project may be a research paper, a real simulation experiment, or a review of a currently active research topic with proposals for further research. It is anticipated that some of these term projects will be published or provide a foundation for further research. Students may work in teams or individually on their term projects. Conducting real experiments with simulations from other courses is encouraged. Your grade will also be based on class participation and discussions of some homework exercises. There may be a mid-term and/or final exam depending on homework and discussion quality.

Syllabus:
The course covers three fundamental areas roughly equally: modeling real (multivariate, dependent, time inhomogeneous and non-stationary) processes using real data, simulating and optimizing dynamic stochastic system responses, and making decisions using IEOR models in the presence of uncertainty and managing the associated risks. Statistical methodology and concepts introduced include point, interval, process, and distribution estimation (parametric, non-parametric, and Bayesian), decision theory, statistical inference, time series modeling and forecasting, Markov chain Monte Carlo, Bayesian bootstrapping, stochastic response surface optimization, sensitivity analysis, and meta-modeling of causality. These will be applied to stochastic modeling and optimization in the context of discrete-event models of financial, service, and/or production systems.