Stochastic Simulation and Optimization

本研究涉及涉及不确定性的复杂随机系统的数学建模、计算机模拟和优化。随机建模和模拟是科学、工程、经济、管理和其他一些领域的主要工具。模拟通常是处理复杂系统的现实模型的唯一实用工具，这些模型通常是动态的、随机的和非线性的。该主席关注高效可靠的仿真方法的设计和实施，以及在复杂系统中使用仿真来优化决策/操作策略。它通过开发和实施新方法，从理论和经验的角度研究现有方法，并将其实际应用于解决现实生活中的问题，例如数学金融，风险分析，可靠性和服务系统管理，从而突破知识的界限。

This research concerns the mathematical modeling, simulation (by computer), and optimization of complex stochastic systems, which involve uncertainty. Stochastic modeling and simulation are primary tools in science, engineering, economics, management, and several other areas. Simulation is often the only practical tool to deal with realistic models of complex systems, which are typically dynamic, stochastic, and nonlinear. This Chair is concerned with the design and implementation of efficient and reliable simulation methods, and the use of simulation to optimize decision/operation strategies in complex systems. It push the boundaries of knowledge by developing and implementing new methods, by studying existing methods from both the theoretical and empirical viewpoints, and their practical use to solve real-life problems, for example in mathematical finance, risk analysis, reliability, and the management of service systems.