Summary
BOKs simulation summary - TBK
- Course
- Institution
Summary of the 3 courses Analysis + Finance + OPM that are taught during the simulation module for TBK. For the exam, but also useful for the project.
[Show more]
Seller
Follow
SamTBK
Reviews received
Content preview
Samenvatting Analyse + Finance + OPMAnalyse
Les 1
Simulation is: an imitation of a system
- Experimentation with a simplified imitation (on a computer) of a ... system as it
progresses through time, for the purpose of better understanding and/or improving
that system.
Inputs Outputs
Simulation
model
Experimentation
Primary simulation approaches
1. Monte Carlo Simulation
2. Discrete-event simulation (=DES)
3. System dynamics (continuous simulation)
Monte carlo simulation
f (a, b, c)
q Aim: to model risk in an environment where the outcome is subject to chance
hence ‘Monte Carlo’
q Random sampling process f.i. dice
q Not always dynamic (time-based) models outcome is a ‘point’ in the future
q Typical used in finance applications for portfolio management
Discrete event simulation
q World represented as Queues and Activities
q Variable time step to represent changes in state of the system
, q Used for modelling queuing systems e.g. airports, banks, manufacturing plant, call
centres, ports, computer systems...
q Main focus of this course!
Contentious simulation
q World represented by Stocks (f.i. population) and Flows (f.i. birth rate)
q Need to model time continuously
q Constant (small) time step (Δt) to approximate continuous time
q Typical used in business strategy/policy and more general continuous simulation in
science and engineering
Nine step approach:
1. Define the problem -> is there a problem, top down, tackle problem
2. Set the goals -> goal needs to be clear, focus during every step, opinion
3. Describe the system -> maximaze profit
4. Collect data and information
5. Built a model
6. Verify and validate
7. Experiment
8. Analyze the results
9. Documentation and presentation
Advantages simulation
- Cost, time and control
- Transparent, models variability
- Visualization, knowledge
Disadvantages
- Expensive
- Data hungry
- Overconfidence
Vereenvoudiging van de werkelijkheid -> nooit 100%
Discrete-Event Simulation (DES)?
q Time is modelled in discrete steps of variable length.
q The simulation updates whenever there is a change of state in the system.
q The system is modelled as series of events
q DES is used for modelling queuing systems
Simulatie planning om output te verhogen
- Variability -> predective and unpredictve
- Interconnectedness -> connected to other sources of variability
- Complexity -> number of combinations
Input: arrivals -> outputs: throughput
Random numbers
- Uniform = zelfde kans elk nummer
Frequency
- Independent = als nummer gekozen is, kans dat nog een (%)
x gekozen wordt even groot
- Computer = random door de computer 30
20
, Frequentietabel maken of
PDF maken met x en percentage grafiek
Voorbeeld met nummer = 0,3
Table standard normal distribution: 0,3 gives z = -0.52
x−μ
z= → x=μ+ z × σ
σ
x=5−0,52× 1=4,48
Simple linear congruential random number generator
Xi+1 = aXi + c (mod m)
where:
Xi: stream of random numbers (integer) on interval (0, m-1)
a: multiplier constant
c: additive constant
m:modulus; mod m means take the remainder having divided by m
les 2
simulation modeling -> content of simulation model
- Level of abstraction
- Conceptual modelling
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying these notes from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller SamTBK. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for $7.30. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
83637 documents were sold in the last 30 days
Founded in 2010, the go-to place to buy study notes for 14 years now