IEOR 4404
Simulation
Some Practice Problems
Some of these problems are taken from the primary and secondary texts of the course (i.e.
Asmussen and Glynn (2007) Stochastic Simulation: Algorithms and Analysis and Ross (2006)
Simulation, 4th Edition. The sec
IEOR 4404
Simulation
Some Practice Problems
Some of these problems are taken from the primary and secondary texts of the course (i.e.
Asmussen and Glynn (2007) Stochastic Simulation: Algorithms and Analysis and Ross (2006)
Simulation, 4th Edition. The sec
IEOR 4404 Simulation
Assignment 5 Solution (Due on Mar. 10, 2008)
1.
Notice that for a given state with n 1 customers, Pn,n+1 =
n+
and Pn,n1 =
n
.
n+
As we are looking for the expected value of the maximum number of customers that are
observed in the syst
IEOR 4404 Simulation
Assignment 3 (Due on Mar. 10, 2008)
1. a) The trac intensity of the system is
E (service time)
,
E (interarrival time)
so for here it is
E (W eibull(1, 0.5)
(3)
2
=
=
92
3
3
E (Gamma( 2 , 3 )
b) We dene the regenerative process as: ev
IEOR 4404 Simulation
Assignment 1 (Due on Feb. 06, 2008)
1. (15 points)
a) The cumulative distribution function of X is
F X x PX x
Ct
x
where C satisfies
1
expt 3 It 10dt
Ct 3 expt 3 It 10dt 1, i.e. C
2
2
3
1
e
3 10
3
.
so F X x 0 when x 10,
F X x e