Monte Carlo Methods

Peter Parczewski

2+2 SWS / 6 ECTS, B.Sc.

Monte Carlo methods are algorithms which use random numbers. They have various applications, e.g. in the simulation of complex stochastic systems or in the numerical treatment of high-dimensional deterministic problems.

This course will address the following topics

• pseudo random numbers
• sampling from distributions
• Monte Carlo quadrature
• convergence of Monte Carlo estimators
• variance-cost reduction methods
• comparison of deterministic and randomized algorithms

Introduction Slides (PDF, 258 kB)

• Lecture:  Wednesday, 12:00 in C 015 Hörsaal (A 5, 6 Bauteil C). The lectures will start in the first week.
• Tutorial/Exercises:  Wednesday, 15:30 in C 014 Hörsaal (A 5, 6 Bauteil C).  The exercises will start in the second week.

Lecture notes and exercises sheets will be provided via ILIAS.

The dates for the oral exams (30 min) will be announced during the course. For admission to the exam, you have to achieve 50 % of the exercise points. There will be ≥12 exercise sheets.