MS&E 223 Simulation Peter J.

Haas

Handout #3 March 29, 2010 Spring Quarter 2009-10

REFERENCES

General Concepts and Methodology

Asmussen, S. and Glynn, P. (2007). Stochastic Simulation: Algorithms and Analysis. Springer. (Advanced.) Banks, J., Carson, J.S., and Nelson, B.N., Nicol, D. (2009). Discrete-Event System Simulation. 5th Edition. Prentice Hall. Bratley, P., Fox, B.L., and Schrage, L. (1987). A Guide to Simulation. 2nd Edition. Springer. Cassandras, C.G. and LaFortune, S. (1999). Introduction to Discrete Event Systems. Kluwer. Dagpunar, J.S. (2007). Simulation and Monte Carlo with Applications in Finance and MCMC. Wiley. Fishman, G.S. (2001). Discrete-Event Simulation: Modeling, Programming, and Analysis. Springer. Henderson, S.G. and Nelson, B.L., Eds. (2006). Simulation. Handbooks in Operations Research and Management Science, Vol 13. North-Holland. Law, A.M. (2007). Simulation Modeling and Analysis. 4th Edition. McGraw-Hill. Leemis, L.M. and Park, S.K. (2006). Discrete-Event Simulation: A First Course. Pearson Prentice Hall. Lewis, P.A. and Orav, E.J. (1989). Simulation Methodology for Statisticians, Operations Analysts, and Engineers. Vol. I. Wadsworth and Brooks/Cole. Ripley, B.D. (1987). Stochastic Simulation. Wiley. Ross, S.M. (2002). Simulation. 3rd Edition. Academic Press. Rubinstein, R.Y. and Kroese, D.P. (2008). Simulation and the Monte Carlo Method. 2nd Edition. Wiley. Sokolowski, J.A. and Banks, C.M. (2009). Principles of Modeling and Simulation. Wiley.

Simulation Programs and Programming Languages

Banks, J. (2000). Getting Started with AutoMod. AutoSimulations, Inc. (Can be downloaded from www.autosim.com/academic/academic.asp, along with a student version of the program.) CACI Products Company (2003) SIMSCRIPT II.5 Users Manual, San Diego, CA. (Can be downloaded from http://www.simscript.com/cust_center/ss3docs/simuser.pdf.) Jochens, H.W. and Shedler, G.S. (1989). Modelling and Simulation of Stochastic Systems with SPSIM. IBM Technical Report RJ 6825. IBM Almaden Research Center. San Jose, CA. Kelton, W.D., Sadowski, R.P., and Swets, N.A. (2010). Simulation with Arena. 5th Edition. McGraw-Hill. Pegden, C.D., Shannon, R.E., and Sadowski. R.P. (1990). Introduction to Simulation Using SIMAN. McGraw-Hill. Pritsker, A.A. (1986). Introduction to Simulation and SLAM II. 3rd Edition. Halsted.

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MS&E 223 Simulation Peter J. Haas

Schriber, T. (1974). Simulation using GPSS. Wiley.

Handout #3 March 29, 2010 Spring Quarter 2009-10

Swain, J.M. (2009), To boldly go (biennial survey of discrete-event simulation software tools. OR/MS Today (October issue). Download from http://lionhrtpub.com/orms/surveys/Simulation/Simulation.html.

Random Number Generation

Ahrens, J., and Dieter, U. (1973). Uniform Random Numbers. Institut fur Mathematische Statistik. Technische Hochschule in Graz. Graz, Austria. Ahrens, J., and Dieter U. (1973). Nonuniform Random Numbers. Institut fur Mathematische Statistik. Technische Hochschule in Graz. Graz, Austria. Devroye, L. (1986). Non-Uniform Random Variate Generation. Springer. Gentle, J.E. (2003). Random Number Generation and Monte Carlo Methods. Springer. Hrmann, W., Leydold, J., and Derflinger, G. (2004). Automatic Nonuniform Random Variate Generation. Springer Knuth, D. (1981). The Art of Computer Programming. Vol. 2, Semi-Numerical Algorithms. 2nd Edition. Ch. 3. Addison Wesley. Niederreiter, H. (1992). Random Number Generation and Quasi-Monte Carlo Methods. CBMS-NSF Regional Conference Series in Applied Mathematics 63. SIAM.

Statistical Techniques for Simulation Output Analysis

Crane, M.A. and Lemoine, A.J. (1977). An Introduction to the Regenerative Method for Simulation Analysis. Lecture Notes in Control and Information Sciences. Vol. 4. Springer. Kleijnen, J.P.C. (2008). Design and Analysis of Simulation Experiments. Springer. Shedler, G.S. (1993). Regenerative Stochastic Simulation. Academic Press. New York. Welch, P.D. (1983). The statistical analysis of simulation results. In Computer Performance Modeling Handbook. Ch. 6. S.S. Lavenberg (ed.). Academic Press.

Monte Carlo Methods

Fishman, G.S. (1996). Monte Carlo: Concepts, Algorithms, and Applications. Springer. Fishman, G.S. (2005). A First Course in Monte Carlo. Thomson Brooks/Cole. Gilks, W.R., Richardson, S., and Spiegelhalter, D.J., Eds. (1996). Markov Chain Monte Carlo in Practice. Chapman and Hall. Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer. Hammersley, J.M. and Handscomb, D.C. (1964). Monte Carlo Methods. Methuen.

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MS&E 223 Simulation Peter J. Haas

Kalos, M.H. and Whitlock, P.A. (1986). Monte Carlo Methods. Vol. 1. Wiley. Liu, J.S. (2001). Monte Carlo Strategies in Scientific Computing. Springer.

Handout #3 March 29, 2010 Spring Quarter 2009-10

Robert, C.P. and Casella, G. (2004). Monte Carlo Statistical Methods. 2nd Edition. Springer.

Optimization via Simulation

Bertsekas, D.P. and Tsitsiklis, J.N. (1996). Neuro-Dynamic Programming. Athena. Fu, M.C. and Hu, J-Q. (1997). Conditional Monte Carlo, Gradient Estimation, and Optimization Applications. Kluwer. Glasserman, P. (1991). Gradient Estimation via Perturbation Analysis. Kluwer. Gosavi, A. (2003). Simulation-Based Optimization: Parametric Optimization Techniques and Reinforcement Learning. Kluwer. Ho, Y.C. and Cao, X.R. (1991). Perturbation Analysis of Discrete Event Dynamic Systems. Kluwer. Rubinstein, R.Y. (1986). Monte Carlo Optimization, Simulation, and the Sensitivity of Queueing Networks. Wiley. Rubinstein, R.Y. and Kroese, D.P. (2004). The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning. Springer. Spall, J.C. (2003). Stochastic Search and Optimization: Estimation, Simulation, and Control. Wiley.

Probability and Statistics

Asmussen, S. (2003). Applied Probability and Queues. 2nd Edition. Springer. (Advanced.) Bertsekas, D.P. and Tsitsiklis, J.N. (2002). Introduction to Probability. Athena Scientific. Billingsley, P. (1986). Probability and Measure. 2nd Edition. Wiley. (Advanced.) Efron, B. and Tibshirani, R.J. (1993). An Introduction to the Bootstrap. Chapman and Hall. Feller, W. (1968, 1971). An Introduction to Probability Theory and Its Applications, Volumes I and II. Wiley. Hoel, P.G. (1984). Introduction to Mathematical Statistics. Wiley. Hoel, P.G., Port, S.C., Stone, C.J. (1971). Introduction to Probability Theory. Houghton-Mifflin. (Good introductory reference.) Miller, R.G. Jr. (1986). Beyond ANOVA: Basics of Applied Statistics. Wiley. Ross, S. (2001). A First Course in Probability. 6th Edition. Prentice Hall. Serfling, R.J. (1980). Approximation Theorems of Mathematical Statistics. Wiley.

Stochastic Processes and Probability Models

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MS&E 223 Simulation Peter J. Haas

Handout #3 March 29, 2010 Spring Quarter 2009-10

inlar, E. (1975). Introduction to Stochastic Processes. Prentice Hall. (Very readable.) Hoel, P.G., Port, S. C., Stone, C.J. (1972). Introduction to Stochastic Processes. Houghton-Mifflin. (Good introductory reference.) Karlin, S., Taylor, H.M. (1975). A First Course in Stochastic Processes. Academic Press, New York. Karlin, S., Taylor, H.M. (1975). A Second Course in Stochastic Processes, Second Edition. Academic Press. Ross, S.M. (1996). Stochastic Processes. 2nd Edition. Wiley. (Very readable.) Ross, S.M. (2007). Introduction to Probability Models. 9th Edition. Academic Press. Taylor, H.M., Karlin, S. (1998). An Introduction to Stochastic Modeling. 3rd Edition. Academic Press.

Additional References:
Davis, P.J. and Rabinowitz, P. (1984). Methods of Numerical Integration. Academic Press. Haas, P.J. (2002). Stochastic Petri Nets: Modelling, Stability, Simulation. Springer. Harbison, S.P. and Steele, G.L. (2002). C: A Reference Manual. 5th edition. Prentice Hall. Jain, R. (1991). The Art of Computer Systems Performance Analysis. Wiley. Kernighan, B.W. and Ritchie, D.M. (1988). The C Programming Language. 2nd edition. Prentice Hall. Press, W. H., Teukolsky, S.A., Vetterling, W. T., and Flannery, B.P. (2007). Numerical Recipes: The Art of Scientific Computing. 3rd Edition. Cambridge University Press. (Older versions available online at http://www.nr.com/oldverswitcher.html.)

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