June 2015

June 2015 Meeting

June 17, 2015 | 12:00pm - 2:00pm

Using Simulation Models to help make 21st Century Decisions

"Simulation refers to a broad collection of methods and applications to mimic the behavior of real systems, usually on a computer. … Simulation is more popular and powerful than ever since computers and software are better than ever." (Kelton, Sadowski, Zupick)

"Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. They are … most useful when it is difficult or impossible to use other mathematical methods.

"…A discrete-event simulation (DES) models the operation of a system as a discrete sequence of events in time. … The simulation can directly jump in time from one event to the next." (Wikipedia)

An optimal bidding model (and perhaps an options pricing model) will be presented as an example of a Monte Carlo simulation. This model was constructed using EXCEL (MS) and CRYSTAL BALL (Oracle).

A call center model (and perhaps another model) will be presented as an example of a Discrete-Event (i.e. Event Based) simulation. This model was constructed using ARENA (Rockwell).

The first objective is to understand the value of using simulation models to aid in decision making. The second objective is to demonstrate the incredible power of (relatively) easy-to-use software packages.


Robert E Blau

Robert E Blau

Robert E Blau (Bob) is a full time faculty member in the Statistics & Computer Information Systems Dept., Zicklin School of Business, Baruch College (CUNY) since 2000. Starting in 1977, he had been a specialist and options market-maker on the floor of the American Stock Exchange (learning risk control the hard way).

In the previous three years he had been an internal consultant at Chase Manhattan Bank, as a member of the Management Science Department.

From 1972-1974, Bob Blau was a full-time faculty member in the Management Science Dept. at Stevens Institute of Technology. Bob earned his B.S., M.S., and Ph.D. degrees in the Industrial Engineering & Operations Research Dept. at Cornell University.

Vincent Chen

Vincent Chen

Vincent Chen is a statistical programmer focused on high performance computing and efficient optimization. He is a resident and native of New York City and is a former pupil of professor Blau before graduating from the Macaulay Honors College and Baruch College.