王家礼教授《Simulation Methodology》课程讲学通知

各位同学：

台湾东华大学著名概率统计及运筹学专家王家礼教授将于1月12号访问我校，1.14—1.21期间将在北5楼数学学院为数学试验班开设短期课程《Simulation Methodology》，具体课程内容见附件。欢迎感兴趣的同学积极参加，具体安排后续通知。

王家礼教授：1994年加州大学伯克利分校运筹学博士，1989年斯坦福大学运筹学硕士和1988年纽约州立大学石溪分校应用数学硕士。

    钱学森学院   

2017年12月28日 

附件：课程摘要

Simulation Methodology

This is a tutorial course that focuses on variance reduction rationale,techniques and methodologies of discrete-event simulation. It also discussesrecent development on rare event simulation and exact sampling with applications to statistics, operations research, queueing theory, telecommunication and insurance risk.

Lecture 1: Random Number Generations

Random Variables, Empirical Distributions, Stochastic Processes

Lecture 2: Variance Reduction Methods (I)

Antithetic Variables, Control Variates, Conditioning Technique

Lecture 3: Variance Reduction Methods (II)

Stratified Sampling, Importance Sampling, Common Random Numbers

Lecture 4: Rare Event Simulation (I)

Light-Tail Distributions, Siegmund’s Algorithm

Lecture 5: Rare Event Simulation (II)

Heavy-Tail Distributions, Asmussen-Kroese Algorithm

Lecture 6: Rare Event Simulation (III)

Control Variates Algorithm, Importance Sampling Algorithm

Lecture 7: Exact Sampling (I)

Stationary Detection, Asmussen-Glynn-Thorisson Algorithm

Lecture 8: Exact Sampling (II)

Backward Coupling, Propp-Wilson Algorithm