Department of Industrial Engineering and Operations Research

Phone: (212) 854-3556

FAX: (212) 854-8103

karl.sigman@columbia.edu

http://www.columbia.edu/~ks20

COURSE WEB SITE: http://www.columbia.edu/~ks20/4404-Sigman/Simulation-Sigman.html

- Review of probability theory
- Inverse Transform Method
- Introduction to the single-server queue and its simulation
- Acceptance Rejection Method
- Antithetic variates method for reducing the variance of an estimate in Monte Carlo simulations
- Insurance risk models
- Simulating Markov chains
- Introduction to Brownian motion and geometric Brownian motion and the simulation of them
- Simulating inventory models: The classic (s,S) policy model
- Estimating the number of ways there can be a tie in a USA Presidential election and other applications
- Non-stationary Poisson processes
- Processor Sharing Queues
- Importance Sampling