Director of the BS Program and Professor
Professor Karl Sigman joined Columbia University’s Industrial Engineering and Operations Research Department in 1987. Professor Sigman was the recipient of the Distinguished Faculty Teaching Award both in 1998 and in 2002. He teaches courses in stochastic models, financial engineering, and...
Professor Yuan Zhong joined the Department of Industrial Engineering and Operations Research in 2013. Before coming to Columbia, he spent one year as a Postdoctoral Scholar in the Computer Science Department at UC Berkeley. He received a Ph.D in Operations Research from MIT in 2012, an M.A in...
Instructor: Karl Sigman
3-4 pts. Lect: 3-4. SIEO W3600 or SIEO W4150: Introduction to Probability and Statistics, computer programming language such as C, C++, Java or Matlab. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. This course is also required for MSIE and MSOR. Graduate students must register for 3 points. Undergraduate students must register for 4 points. This is an introductory course to simulation, a statistical sampling technique that uses the power of computers to study complex stochastic systems when analytical or numerical techniques do not suï¬ce. The course focuses on discrete-event simulation, a general technique used to analyze a model over time and determine the relevant quantities of interest. Topics covered in the course include the generation of random numbers, sampling from given distributions, simulation of discrete-event systems, output analysis, variance reduction techniques, goodness of fit tests, and the selection of input distributions. The first half of the course is oriented towards the design and implementation of algorithms, while the second half is more theoretical in nature and relies heavily on material covered in prior probability courses. The teaching methodology consists on lectures, recitations, weekly homework, and both in-class and take-home exams. Homework almost always includes a programming component for which students are encouraged to work in teams. Students who have taken IEOR E4703 Monte Carlo simulation may not register for this course for credit.