Optimization and Simulation Methods for Analytics

Course Code: MSCA 32013

Course Summary: Prerequisite:
MSCA 31007: Statistical Analysis

This course introduces students to how optimization and simulation techniques can be used to solve many real-life problems. It will cover two classes of optimization methods. First class has been developed to optimize real, non- simulated systems or to find the optimal solution of a mathematical model. The methods that belong to this class include liner programming, quadratic programming and mixed-integer programming. Second class of methods has been developed to optimize a simulation model. The difference with the classical mathematical programming methods is that the objective function (which is the function to be minimized or maximized) is not known explicitly and is defined by the simulation model (computer code). The course will demonstrate multiple approaches to build simulation models, such as discrete event simulations and agent-based simulations. Then, it will show how stochastic optimization and heuristic approaches can be used to analyze the simulated system and design a sequence of computational experiments that allow to develop a basic understanding of a particular simulation model or system through exploration of the parameter space, to find robust plausible behaviors and conditions and robust near-optimal solutions that are not prone to being unstable under small perturbations.