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ST474
Monte Carlo Methods
0.5 Credit
Hours per week:
- Lecture/Discussion: 3
- Lab: 1.5 (biweekly)
Simulating random numbers from various probability distributions; transformations of uniform variates; sampling from multivariate distributions; simulation of stochastic processes; (quasi-)Monte Carlo methods; variance reduction techniques. Applications may include: numerical integration of multivariate functions in high dimensions; approximation algorithms for solving matrix equations, partial differential equations and integral equations; pricing financial securities; MCMC methods; resampling techniques and other topics of computational statistics.
