II2206 Stochastic Simulation 7.5 credits
The course aims at providing the students with the fundamentals of stochastic simulation. The course covers experimental design techniques, implementation of Discrete Event simulations and statistical output analysis and hypothesis testing.
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Application
For course offering
Autumn 2024 Start 28 Oct 2024 programme students
Application code
50477
Content and learning outcomes
Course contents
The course contains the following parts:
- Introduction to simulation – resource efficiency design of complex systems
- Stochastic Modelling
- Random number generation
- Simulation of discrete event
- Output analysis parameter estimation, error estimation, time series analysis, ergodicity and correlation
- Experimental design and methods for variance reduction
- Hypothesis test and model validation
Intended learning outcomes
After passing the course, the student shall be able to
- generate stochastic variables (random number) with arbitrary distribution
- design simulations with discrete events
- estimate parameters from the simulation results and the statistical error of the estimates
- test hypotheses by means of simulations
- evaluate the chosen stochastic model with regard to consistency with real data
- evaluate the resource efficiency that simulation tools can give in relation to traditional experimental methods.
For higher grades, the student should also be able to
- generate vectors of random number with given correlation properties
- estimate parameters in correlated time series
- evaluate different simulation methods with regard to resource efficiency and design efficient simulation strategies through different methods for variance reduction.
Literature and preparations
Specific prerequisites
Knowledge and skills in programming, 5 credits, equivalent to completed course DD1337/DD1310-DD1318/DD1321/DD1331/DD100N/ID1018.
Knowledge in mathematical statistics, 6 higher education credits, equivalent completed course SF1910-SF1926/IX1501.
Recommended prerequisites
Equipment
Literature
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
Examination
- HEM1 - Home Assignments, 4.0 credits, grading scale: A, B, C, D, E, FX, F
- PRO1 - Project, 3.5 credits, grading scale: P, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.
Further information
Course room in Canvas
Offered by
Main field of study
Education cycle
Add-on studies
Supplementary information
In this course, the EECS code of honor applies, see: http://www.kth.se/en/eecs/utbildning/hederskodex.