ST674
Monte Carlo and Simulation Methods
0.5 Credit
Monte Carlo techniques and simulation methods are studied in detail. Applications include mathematical modelling and computation of numerical solutions; evaluation of multi-dimensional integrals through pseudo-random numbers, quasi-random numbers, Sobol sequences and other sequences of lattice points. Topics include: sampling algorithms; simulated annealing; Markov processes; variance reduction techniques; importance sampling; adaptive and recursive Monte Carlo methods. Applications include numerical integration of multivariate functions in high dimensions; approximation algorithms for solving partial differential equations; stochastic lattice approaches and path expansions. Additional topics may include parallel algorithms for Monte Carlo simulations.
- Prerequisites
- ST559 - Intermediate Probability Theory or equivalent
- Exclusions
- ST474, MA547, MA647 or equivalent
- Notes
- Formerly offered as MA647 (Monte Carlo and Simulation Methods)