E0 240 Modelling and Simulation
Dr. Chiranjib Bhattacharyya
Topics covered
- Probability
- Introduction
- Bayes theorem
- Random Variable
- Expectation & Variance
- Chebyshev inequality
- Jointly distributeds RVs
- Functions of RVs
- Central limit theorem
- Poisson process
- Random Number Generation
- Linear Cogruential Generators
- Potency
- Chi-squared test
- Kolgomorov-Simirov test
- Serial test
- Gap test
- Run test
- Auto-covariance
- Simulation
- Rejection method
- Odd-even method
- Ratio of uniform method
- Special methods for Normal, Gamma & Beta
- Poission distribution
- Non-homogeneous poisson process
- Variance reduction techniques
- Impotent sampling technique
- Likelihood
- Writing programs for modelling a system
Texts and references
- Sheldon M. Ross, Introduction to Probability Models
- Donald E. Knuth, The Art of Computer Programming - Volume 2: Semi Numerical Algorithms
- Sheldon M. Ross, Simulation
Assignments
Exams