Simulation Analysis & Optimization

Simulation Analysis & Optimization course addresses the use of computer simulation for the analysis and optimization of stochastic dynamic models. Applications will stem from a wide range of domains from Financial Engineering and Business Processes.

The course gives a broad treatment of the important aspects of Monte Carlo simulation and its applications in areas such as inventory control, project planning, reliability, risk analysis and financial models. The emphasis is on modeling the stochastic dynamic system as a discrete event system, and analyzing and improving its performance by means of discrete event simulation.

The topics covered include generating random numbers, selecting input distributions and model validation. The course also teaches the statistical output analysis and the use of simulation in optimization and learning.