Introduction to Monte Carlo Simulation

An introduction to the uses of simulation and computation for analyzing stochastic models and interpreting real phenomena. Topics covered include generating discrete and continuous random variables, stochastic ordering, the statistical analysis of simulated data, variance reduction techniques, statistical validation techniques, nonstationary Markov chains, and Markov chain Monte Carlo methods. Applications are drawn from problems in finance, manufacturing, and communication networks. Students will be encouraged to program in Python. Office hours will be offered for students unfamiliar with the language.