Lecture J3 (2025-11-13): Estimation of Absolute Performance, Part III (Non-Terminating Systems/Steady-State Simulations)

In this lecture, we start by further reviewing confidence intervals (where they come from and what they mean) and prediction intervals and then use them to motivate a simpler way to determine how many replications are needed in a simulation study (focusing first on transient simulations of terminating systems). We then shift our attention to steady-state simulations of non-terminating systems and the issue of initialization bias. We discuss different methods of "warming up" a steady-state simulation to reduce initialization bias and then merge that discussion with the prior discussion on how to choose the number of replications. In the next lecture, we'll finish up with a discussion of the method of "batch means" in steady-state simulations.

Lecture J2 (2025-11-06): Estimation of Absolute Performance, Part II (Terminating Systems/Transient Simulations)

In this lecture, we review estimating absolute performance from simulation, with focus on choosing the number of necessary replications of transient simulations of terminating systems. The lecture starts by overviewing point estimation, bias, and different types of point estimators. This includes an overview of quantile estimation and how to use quantile estimation to use simulations as null-hypothesis-prediction generators. We the introduce interval estimation with confidence intervals and prediction intervals. Confidence intervals, which are visualizations of t-tests, provide an alternative way to choose the number of required replications without doing a formal power analysis.

Lecture J1 (2025-11-04): Estimation of Absolute Performance, Part I (Introduction to Point and Interval Estimation)

In this lecture, we introduce the estimation of absolute performance measures in simulation – effectively shifting our focus from validating input models to validating and making inferences about simulation outputs. Most of this lecture is a review of statistics and reasons for the assumptions for various parametric and non-exact non-parametric methods. We also introduce a few more advanced statistical topics, such as non-parametric methods and special high-power tests for normality. We then switch to focusing on simulations and their outputs, starting with the definition of terminating and non-terminating systems as well as the related transient and steady-state simulations. We will pick up next time with discussing details related to performance measures (and methods) for transient simulations next time and steady-state simulations after that. Our goal was to discuss the difference between point estimation and interval estimation for simulation, but we will hold off to discuss that topic in the next lecture.

Lecture I (2025-10-30): Statistical Reflections

In this lecture, we review statistical fundamentals – such as the origins of the t-test, the meaning of type-I and type-II error (and alternative terminology for both, such as false positive rate and false negative rate) and the connection to statistical power (sensitivity). We review the Receiver Operating Characteristic (ROC) curve and give a qualitative description of where it gets its shape in a hypothesis test. We close with a validation example (from Lecture H) where we use a power analysis on a one-sample t-test to help justify whether we have gathered enough data to trust that a simulation model is a good match for reality when it has a similar mean output performance to the real system. Peppered throughout the lecture are also comments about why normality is required for t-tests, why there is a minimum expected count for chi-squared tests, and how to avoid statistical inference issues when making multiple comparisons.

Lecture H (2025-10-28): Verification, Validation, and Calibration of Simulation Models

At the start of this lecture, we review statistical topics and fitting techniques from Unit G (particularly Lecture G3, on goodness of fit). In particular, we review hypothesis testing fundamentals (type-I error, type-II error, statistical power, sensitivity, false positive rate, true negative rate, receiver operating characteristic, ROC, alpha, beta) and then go into examples of using Chi-squared and Kolmogorov–Smirnov tests for goodness of fit for arbitrary distributions. We also introduce Anderson–Darling (for flexibility and higher power) and Shapiro–Wilk (for high-powered normality testing).

We then pivot to formally defining simulation verification, validation, and calibration and then introducing techniques that incorporate rigorous statistical tools into the validation and calibration process. We focus specifically on the use of the t-test (for confirming that populations of simulation data are consistent with the mean behaviors from the real systems they are meant to represent) and the power analysis (for understanding the conditions when a failure to detect a difference between simulation and real system allows for inferring that the simulation is sufficiently close to the real system).

Lecture G3 (2025-10-23) Input Modeling, Part 3 (Parameter Estimation and Goodness of Fit)

In this lecture, we (nearly) finish our coverage of Input Modeling, where the focus of this lecture is on parameter estimation and assessing goodness of fit. We review input modeling in general and then briefly review fundamentals of hypothesis testing. We discuss type-I error, p-values, type-II error, effect sizes, and statistical power. We discuss the dangers of using p-values at very large sample sizes (where small p-values are not meaningful) and at very small sample sizes (where large p-values are not meaningful). We give some examples of this applied to best-of-7 sports tournaments and voting. We then discuss different shape parameters (including location, scale, and rate), and then introduce summary statistics (sample mean and sample variance) and maximum likelihood estimation (MLE), with an example for a point estimate of the rate of an exponential. We introduce the chi-squared (lower power) and Kolmogorov–Smirnov (KS, high power) tests for goodness of fit, but we will go into them in more detail at the start of the next lecture.

IEE 475: Lecture G2 (2025-10-21): Input Modeling, Part 2 (Selection of Model Structure)

In this lecture, we continue discussing the choice of input models in stochastic simulation. Here, we pivot from talking about data collection to selection of the broad family of probabilistic distributions that may be a good fit for data. We start with an example where a histogram leads us to introduce additional input models into a flow chart. The rest of the lecture is about choosing models based on physical intuition and the shape of the sampled data (e.g., the shape of histograms). We close with a discussion of probability plots – Q-Q plots and P-P plots, as are used with "fat-pencil tests" – as a good tool for justifying the choice of a family for a certain data set. The next lecture will go over the actual estimation of the parameters for the chosen families and how to quantitatively assess goodness of fit.

Lecture G1 (2025-10-16): Input Modeling, Part 1 (Data Collection)

In this lecture, we introduce the detailed process of input modeling. Input models are probabilistic models that introduce variation in simulation models of systems. Those input models must be chosen to match statistical distributions in data. Over this unit, we cover collection of data for this process, choice of probabilistic families to fit to these data, and then optimized parameter choice within those families and evaluation of fit with goodness of fit. In this lecture, we discuss issues related to data collection.

Lecture F (2025-10-02): Midterm Review for IEE 475 (Simulating Stochastic Systems)

During this lecture, we review the topics covered up to this point in the course as preparation for the upcoming midterm exam. Students are encouraged to bring their own questions to class so that we can focus on the topics that students feel like they need the most help with.

Lecture E2 (2025-09-30): Random-Variate Generation

In this lecture, we review pseudo-random number generation and then introduce random-variate generation by way of inverse-transform sampling. In particular, we start with a review of the two most important properties of a pseudo-random number generator (PRNG), uniformity and independence, and discuss statistically rigorous methods for testing for these two properties. For uniformity, we focus on a Chi-square/Chi-squared test for larger numbers of samples and a Kolmogorov–Smirnov (KS) test for smaller numbers of samples. For independence, we discuss autocorrelation tests and runs test, and then we demonstrate a runs above-and-below-the-mean test. We then shift to discussing inverse-transform sampling for continuous random variates and discrete random variates and how the resulting random-variate generators might be implemented in a tool like Rockwell Automation's Arena.

Lecture E1 (2025-09-25): Random-Number Generation

In this lecture, we first cover some discrete distributions (and the Poisson process) that we ran out of time for during the previous lecture. We then launch into a discussion of how to generate pseudo-random numbers distributed uniformly between 0 and 1 (which are necessary for us to easily generate random variates of any distribution). We talk about the two most important properties of a pseudo-random number generator (PRNG), uniformity and independence. We then talk about desirable properties. Some examples are given of some early PRNG's, and then we introduce the linear congruential generator (LCG) and its variants (like the Combined Linear Congruential Generator, CLCG), which represent a much more modern PRNG that has a number of good properties. We close with a discussion of tests of uniformity. We will continue this discussion and add on tests for independence during next lecture (which will primarily cover random-VARIATE generation).

Lecture D2 (2025-09-23): Probabilistic Models

In this lecture, we review basic probability fundamentals (measure spaces, probability measures, random variables, probability density functions, probability mass functions, cumulative distribution functions, moments, mean/expected value/center of mass, standard deviation, variance), and then we start to build a vocabulary of different probabilistic models that are used in different modeling contexts. These include uniform, triangular, normal, exponential, Erlang-k, Weibull, and Poisson variables. We will finish the discussing next time with the Bernoulli-based discrete variables and Poisson processes.

Lecture D1 (2025-09-18): Probability and Random Variables

In this lecture, we introduce the measure-theoretic concept of a random variable (which is neither random nor a variable) and related terms, such as outcomes, events, probability measures, moments, means, etc. Throughout the lecture, we use the metaphor of probability as mass (and thus probability density as mass density, and a mean as a center of mass). This allows us to discuss the "statistical leverage" of outliers in a distribution (i.e., although they happen infrequently, they still have the ability to shift the mean significantly, as in physical leverage). This sets us up to talk about random processes and particular random variables in the next lecture.

Lecture C2 (2025-09-16): Beyond DES Simulation – SDM, ABM, and NetLogo (and pre-lab discussion for Lab 4 and post-lab discussion for Lab 3)

This lecture provides some historical background and motivation for System Dynamics Modeling (SDM) and Agent-Based Modeling (ABM), two other simulation modeling approaches that contrast with Discrete Event System (DES) simulation.

In particular, in this lecture, we briefly introduce System Dynamics Modeling (SDM) and Agent-Based/Individual-Based Modeling (ABM/IBM) as the two ends of the simulation modeling spectrum (from low resolution to high resolution). The introduction of ABM describes applications in life sciences, social sciences, and engineering (Multi-Agent Systems, MAS)/operations research. NetLogo is introduced, and it is used to present examples of running ABM's as well as the code behind them. 

This lecture is also be coupled with notes discussing the Lab 3 (Monte Carlo simulation) results and general experience. These comments focus on interval estimation (which is right 95% of the time, as opposed to point estimation that is right 0% of the time) and the role of non-trivial distributions of random variables (as opposed to just their means).

Lecture C1 (2025-09-11): Basic Simulation Tools and Techniques

This lecture covers content related to implementing simulations with spreadsheets and the motivations for the use of special-purpose Discrete Event System Simulation tools. In particular, we discuss different approaches to implementing Discrete Event System (DES) simulations (DESS) with simple spreadsheets (e.g., Microsoft Excel, Google Sheets, Apple Numbers, etc.). We cover inventory management problems (such as the newsvendor model) as well as Monte Carlo sampling and stochastic activity networks (SAN's). Although we show that spreadsheets can be very powerful for this kind of work, we highlight that this approach is cumbersome for systems with increasing complexity. So this motivates why we would use more sophisticated tools specifically built for simulation (but perhaps not so great for data analysis by themselves), like Arena, FlexSim, Simio, and NetLogo.

Lecture B3 (2025-09-09): DES Examples, Part II (and post-lab discussion for Lab 2)

In this lecture, we close out our review of DES fundamentals and hand simulation. After going through a hand-simulation example one last time, we show how to implement a Discrete Event System (DES) simulation using a spreadsheet tool like Microsoft Excel without any "macros" (VBA, etc.). This involves defining relationships ACROSS TIME that allow the spreadsheet to (in a declarative fashion) reconstruct the trajectory that is the output of the simulation.

At the end of the lecture, we pivot to discussing the previous "Lab 2 (Muffin Oven Simulation)", which lets us introduce common random numbers (CRNs), statistical blocking, requirements of 2-sample and paired t-tests, and more sophisticated statistical methods that better characterize PRACTICAL significance (and take into account the multiple comparisons problem). Thus, the post-lab2 reflections are largely a preview of future topics in the course.

Lecture B2 (2025-09-04): DES Examples, Part I

In this lecture, we review fundamentals of Discrete Event System (DES) simulation (e.g., entities, resources, activities, processes, delays, attributes) and we run through a number of DES modeling examples. These examples show how different research/operations questions can lead to different choices of entities/resources/etc. We close with a hand-simulation example of a single-channel, single-server queue with provided interarrival times and service times.

Lecture B1 (2025-09-02): Fundamental Concepts of Discrete-Event Simulation

In this lecture, we cover fundamentals of discrete-event system (DES) simulation (DESS). This involves reviewing basic simulation concepts (entities, resources, attributes, events, activities, delays) and introducing the event-scheduling world view, which provides a causality framework on which an automatic simulation of a DES system can be built. We also discuss briefly how the stochastic modeling inherent to DESS means that outputs will be variable and thus will require rigorous statistics to make sense of.

Lecture A2 (2025-08-28): Introduction to Simulation Modeling

In this lecture, we introduce the three different simulation methodologies (agent-based modeling, system dynamics modeling, and discrete event system simulation) and then focus on how stochastic modeling is used within discrete-event system simulation. In particular, we define terms such as system, dynamic system, state, state variable, activity, delay, resource, entity, and the notion of "input modeling."

Lecture A1 (2025-08-26): Introduction to Modeling

In this lecture, we introduce Industrial and Systems Engineering as a blend of science and engineering that necessitates model building. We then define model (as something that answers a "What If" question) and different types of models. This gives us an opportunity to discuss how modeling is less about describing reality and more about generating tools to do useful things/make useful predictions. We end with a comparison of mental and quantitative models, as well as a comparison of different types of quantitative models (including simulation modeling).

Lecture 0 (2025-08-21): Course Introduction

This lecture introduces students to IEE 475 (Simulating Stochastic Systems), a required course for Industrial Engineering majors that covers the design and analysis of simulation models of real-world engineered systems. The lecture covers contents of the syllabus as well as where students can find more information in the Canvas Learning Management System site for the course.