FEG3131 Monte Carlo Methods in Electric Power Research

The course is intended for Ph.D. students in electrical engineering, but can also be interesting for students from other fields of engineering.

Definition of Monte Carlo simulation, random numbers, random number generation, simple sampling, complementary random numbers, dagger sampling, control variates, correlated sampling, importance sampling, stratified sampling, simulation design.

After the course, the student should be able to

• state basic definitions concerning probability theory, random variables and sampling techniques,
• apply computation methods for random number generation, simple sampling and variance reduction techniques,
• formulate mathematical models appropriate for Monte Carlo simulation,
• analyse a simulation problem related to electric power research and design an efficient Monte Carlo simulation method for that problem.