Introduction to systems, models, simulation and modern Monte Carlo methods. Specific topics include: Random variate generation, Monte Carlo integration, bootstrap, variance reduction techniques, stochastic optimization. Time permitting, MCMC and applications to queuing systems and/or networks will also be included. Throughout the term, the course focuses on programming these techniques in R. Prerequisites: LE/EECS 1560 3.00 or LE/EECS 1015 3.00; and SC/MATH 2131 3.00. Alternatively, permission of the instructor.
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