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Unformatted text preview: IEOR 4404 Assignment #8 Solutions Simulation 16th November 2006 Prof. Mariana Olvera-Cravioto Page 1 of ?? Assignment #8 Solutions 1. Here, all you have to do is use the algorithm given in class and modify it very slightly: using the notation in Ross (pp 97-99), we need to output the value t E when J = 3 and Y > a (i.e., the time at which the capital becomes negative). To display the amount of the shortfall, we need to output Y- a . 2. For the answers to parts (a) and (b), please refer to the code in part (d). For the flow diagram, please look at the Excel file under the same folder. Please note that in this diagram, inside the boxes, you should specify exactly how to update the variables (for example: ” D = X + exp (- alpha * ( tN- tL )) * D )”. I haven’t done it in this set of solutions to keep the boxes ”cleaner” for you to be able to see what’s going on. However, you should detail your boxes a bit more by mentioning exactly what your update procedure is. (c) For the ”by-hand” calculation, you need to use the data given in part (d) i.e., the values of α , C and k . Then, one example of doing this is to output the arrival times for the first few shock arrivals, and the value of the damage at each arrival (as given by the Erlang distribution). Then, at the time of the next arrival, compute by hand the cumulative value of the damage and compare that to the value output. % This program simulates a system that experiences shocks according to a % Poisson process and where each shock produces damages according to a certain % distribution and where the damage value dissipates at an exponential rate.% distribution and where the damage value dissipates at an exponential rate....
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This note was uploaded on 11/17/2010 for the course IEOR 4404 taught by Professor C during the Spring '10 term at Columbia.
- Spring '10