Latest Discrete Podcast Episodes
Lecture J3 (2021-11-09): Estimation of Absolute Performance, Part 3 [re-post of Fall 2020 Lecture J3 on 2020-11-10]
IEE 475: Simulating Stochastic Systems - November 09, 2021 20:38This lecture continues to discuss issues related to estimating absolute performance from transient and steady-state simulations (of terminating and non-terminating systems, respectively). We continue to emphasize the importance and utility of interval estimations (over point estimates). We then ...
Lecture J2 (2021-11-04): Estimation of Absolute Performance, Part 2
IEE 475: Simulating Stochastic Systems - November 04, 2021 23:52In this lecture, we continue to introduce terminating and non-terminating systems and difference methods for estimating performance from simulation models of them (using transient and steady-state simulations). This involves a description of various types of point estimators (mean and quantile) ...
Lecture J1 (2021-11-02): Estimation of Absolute Performance, Part 1
IEE 475: Simulating Stochastic Systems - November 02, 2021 21:43In this lecture, we review the fundamental tradeoffs in hypothesis testing and the concrete origins of the assumptions in both the t-test and Chi-square test. We also discuss parametric and non-parametric statistics (including exact and non-exact tests) and how non-parametric, exact statistics l...
Lecture I (2021-10-28): Statistical Reflections [Halloween Themed]
IEE 475: Simulating Stochastic Systems - October 28, 2021 20:29In this halloween-themed lecture, we go into more detail on the foundations of hypothesis testing – specifically hypothesis testing with small sample sizes. This allows us to talk about where the Student's t test comes from (and why it is defined that way) as well as where the Chi-square test co...
Lecture H (2021-10-26): Verification, Validation, and Calibration of Simulation Models
IEE 475: Simulating Stochastic Systems - October 26, 2021 21:03In this lecture, we review summary statistics, MLE, and goodness-of-fit tests (particularly Chi-square and Kolmogorov–Smirnov, with some mention of Anderson–Darling and Shapiro–Wilk), with a particular focus on the type-I error, type-II error, and statistical power. We then introduce verificatio...
Lecture G3 (2021-10-21): Input Modeling, Part 3
IEE 475: Simulating Stochastic Systems - October 21, 2021 20:30In this lecture, we start out with Q-Q and P-P probability plots that we did not have time to cover from last time. We then transition to a review about type-I error and p values and try to motivate the topics of STATISTICAL POWER and EFFECT SIZES, which we will dive into more in the next few le...
Lecture G2 (2021-10-19): Input Modeling, Part 2
IEE 475: Simulating Stochastic Systems - October 19, 2021 21:12In this lecture, we continue our discussion of input modeling in depth. We start with a more detailed example of how data collection can guide the choice of the structural features of a system. We then move to the point in the process when the structure of the model is set but the input models h...
Lecture F (2021-09-30): Midterm Review
IEE 475: Simulating Stochastic Systems - September 30, 2021 20:54In this lecture, we review topics from the first half of the semester that will be tested over in the upcoming midterm. Most of the class involves working examples on the whiteboard. Whiteboard notes captured for this session can be found at: https://www.dropbox.com/s/pih0wt3abwbatbb/IEE475-Le...
Lecture E2 (2021-09-28): Random-Variate Generation
IEE 475: Simulating Stochastic Systems - September 28, 2021 22:12In this lecture, we finish covering tests of uniformity (Chi-squared and Kolmogorov–Smirnov) and independence (autocorrelation and runs (above and below) tests) for pseudo-random number generators (PRNGs). We then move on to discussing the details of inverse-transform sampling for random-variate...
Lecture E1 (2021-09-23): Random-Number Generation
IEE 475: Simulating Stochastic Systems - September 23, 2021 21:09We start the lecture covering some discrete random variables that we did not get to during Lecture D2. We also introduce the Poisson process and how it relates to the Poisson and exponential random variables. We then pivot to discussing pseudo-random number generators (PRNGs), including their re...
Lecture D2 (2021-09-21): Probabilistic Models
IEE 475: Simulating Stochastic Systems - September 21, 2021 20:57In this lecture, we review basic probability space concepts from the previous lecture. We then go on to discuss the common probabilistic models that we will use in stochastic simulation (e.g., uniform, triangular, normal, exponential, Weibull, Erlang, Poisson, etc.). Basic background on the stru...
Lecture D1 (2021-09-16): Probability and Random Variables
IEE 475: Simulating Stochastic Systems - September 16, 2021 20:33In this lecture, we use motivation from stochastic modeling (i.e., incorporating randomness into models in order to capture realistic variation without having to specify a great many details) to formally introduce random variables and probability spaces (as a subset of measure theory). We heavil...
Lecture C2 (2021-09-14): Beyond DES Simulation - SDM, ABM, and NetLogo
IEE 475: Simulating Stochastic Systems - September 14, 2021 21:29In this lecture, we review results from the Monte Carlo simulation lab (Lab 3) and setup motivation for the agent-based modeling/NetLogo lab (Lab 4). For the MC-lab review, we cover the estimation of pi by drawing random coordinates in the unit cube. We also discuss the possibly counter-intuitiv...
Lecture C1 (2021-09-09): Basic Simulation Tools and Techniques
IEE 475: Simulating Stochastic Systems - September 09, 2021 20:40In this lecture, we discuss more sophisticated dynamical simulation models that can be implemented within spreadsheets. We start with a review of the M/M/1 single-channel, single-server queueing node and then show how more explicit state variables can be introduced in an M/M/2 version (i.e., wit...
Lecture B3 (2021-09-07): DES Examples II (and post-lab discussion for Lab 2)
IEE 475: Simulating Stochastic Systems - September 07, 2021 20:26In this lecture, we review hand-simulation/DES simulation basics. We then introduce how to simulate discrete event system simulations (which are dynamic simulation models built around the idea of "state") in declarative programming frameworks like spreadsheets (which have no "state"). We work th...
Lecture B2 (2021-09-02): Discrete-Event Simulation Examples I
IEE 475: Simulating Stochastic Systems - September 02, 2021 20:41In this lecture, we carry forward our high-level description of the event-scheduling world view to specific hand-simulation examples of a single-channel, single-server queueing network node.
Lecture B1 (2021-08-31): Fundamental Concepts of Discrete Event System Simulation
IEE 475: Simulating Stochastic Systems - August 31, 2021 20:13In this lecture, we review modeling basics for process-centric modeling (entities, resources, events, activities, delays, etc.) and then introduce the event-scheduling world view that acts behind the scenes in any discrete event system (DES) simulation. We begin discussing hand simulation of DES...
Lecture A2 (2021-08-26): Introduction to Simulation Modeling
IEE 475: Simulating Stochastic Systems - August 26, 2021 20:03In this lecture, we pivot from our general introduction to (quantitative) modeling to a more specific introduction of simulation modeling. System dynamics modeling (SDM), agent-based modeling (ABM), and discrete event system (DES) simulation are introduced, with the most detail on DES that will ...
Lecture A1 (2021-08-24): Introduction to Modeling
IEE 475: Simulating Stochastic Systems - August 24, 2021 22:48In this lecture, we introduce the basic motivations for quantitative modeling -- including fundamental definitions of what is a model. This definition is meant to cover all models -- from fashion models to mouse models to statistical models to simulation models.
Lecture 0 (2021-08-19): Introduction to the Course and Its Policies
IEE 475: Simulating Stochastic Systems - August 19, 2021 21:18Recorded day-1 lecture of IEE 475 (Simulating Stochastic Systems) in the Fall 2021 semester. Introduces course and its policies. Audio is poor due to microphone support in room. Pre-recorded versions of both parts of the lecture above with much better audio (and video):
Lecture M (2020-12-01): Final Exam Review
IEE 475: Simulating Stochastic Systems - December 03, 2020 17:25This lecture section is a cumulative review of material from the semester and is meant to serve as a study guide for students preparing for the upcoming final exam. Topics start at modeling fundamentals (what is the purpose of a model in general) to the specifics of designing statistical experim...
Lecture L (2020-11-24): Course Wrap-Up
IEE 475: Simulating Stochastic Systems - December 01, 2020 02:52In this wrap-up lecture, we finish the treatment of Variance Reduction Techniques (VRT's) for stochastic simulation. We cover (or review) Common Random Numbers (CRN's), Control Variates (CV's), Antithetic Variates (AV's), and Importance Sampling. The lecture ends with some brief big-picture com...
Lecture K2 (2020-11-19): Variance Reduction Techniques, Part 2 - AVs and Importance Sampling
IEE 475: Simulating Stochastic Systems - November 20, 2020 00:05In this lecture, we review different forms of Variance Reduction Techniques (VRT's) for stochastic simulation, which attempt to re-design simulation experiments to control for sources of variance and thus increase statistical power when making an estimate with a small number of replications. We ...
Lecture K1 (2020-11-17): Variance Reduction Techniques, Part 1 - CRN's and Control Variates
IEE 475: Simulating Stochastic Systems - November 17, 2020 23:46This lecture primarily finishes the coverage of estimation of relative performance by walking through the three different 2-sample mean tests (paired-difference t test, pooled-variance t-test, and Welch's unpooled-variance t-test) and the assumptions required to use them. Confidence intervals fo...
Lecture J4 (2020-11-12): Estimation of Relative Performance
IEE 475: Simulating Stochastic Systems - November 14, 2020 03:38In this lecture, we move from estimation of absolute performance from simulation studies to estimation of relative performance. We start with connecting confidence intervals with linear regression, as an alternative application of one-sample confidence intervals. We review the use of one-sample ...
Lecture J3 (2020-11-10): Estimation of Absolute Performance, Part 3
IEE 475: Simulating Stochastic Systems - November 12, 2020 05:05This lecture continues to discuss issues related to estimating absolute performance from transient and steady-state simulations (of terminating and non-terminating systems, respectively). We continue to emphasize the importance and utility of interval estimations (over point estimates). We then ...
Lecture J2 (2020-10-05): Estimation of Absolute Performance, Part 2
IEE 475: Simulating Stochastic Systems - November 05, 2020 21:32In this lecture, we continue our discussion of the use of performance estimation strategies for absolute performance (particularly in the case of transient simulation models of terminating systems). We review the sources of variation within and across replications in a simulation study, followed...
Lecture J1 (2020-11-03): Estimation of Absolute Performance, Part 1
IEE 475: Simulating Stochastic Systems - November 04, 2020 03:12In this lecture, we continue to discuss hypothesis testing -- introducing parametric, non-parametric, exact, and non-exact tests and reviewing the assumptions behind many popular parameterized tests (like the t-test and ANOVA) and non-exact tests (Chi-square test). We then move to discuss the mu...
Lecture I (2020-10-29): Statistical Reflections
IEE 475: Simulating Stochastic Systems - October 29, 2020 21:07In this lecture, we review the basics of hypothesis testing (type-I error, type-II error, statistical power) and the fundamental processes underlying hypothesis testing that create relationships among these things. We then dig deeper into the assumptions necessary for using parametric tests, li...
Lecture H (2020-10-27): Verification, Validation, and Calibration of Simulation Models
IEE 475: Simulating Stochastic Systems - October 28, 2020 20:55In this lecture, we revisit some basics of hypothesis testing and then go on to introduce verification, validation, and calibration in the context of simulation models. This will ultimately move us away from goodness-of-fit tests of input models toward hypothesis tests of output performance (e.g...
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