In the course we start by studying discrete event simulation. Students learn to write process-oriented and event-scheduling simulation programs in general programming languages. Estimation of accuracy, random number generation, methods for studying rare events, verification and validation are also covered.
Then we proceed to optimization techniques. We study convex problems and their duals. Further, we go to linear programs (LP), the simplex algorithm, and the column generation technique. We show how to model non-linearity. After that we consider integer programming (IP), its relation to LP, and the branch-and-bound method for IP. We also mention the cutting plane method for IP and sketch the computational complexity theory, including the notions of polynomial problems and NP-hardness.
Finally, we consider heuristic methods for combinatorial optimization problems viewed as optimization through simulation. We explain the local search and the role of randomness. We explain the basic meta-heuristics such as simulated annealing, evolutionary algorithms, and GRASP. We also illustrate the Monte Carlo techniques.
