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MA547A: Monte Carlo and Simulation Methods (Winter 2018)

Calendar Description

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.

Note

Formerly offered as MA647 (Monte Carlo and Simulation Methods)

Instructor

Professor Mark Reesor (PhD)
Office: LH3049 (Lazaridis Hall)
Telephone: x3247
Office Hours: Monday 9:30 a.m. - 10:30 a.m., Wednesday 1 p.m. - 2 p.m., or by appointment.
Email: mreesor@wlu.ca

Lectures

Tuesday and Thursday, 11:30 a.m. - 12:50 p.m. in BA112 (Bricker Academic Building)

Two additional lecture hours, schedule to be determined.

Textbook

Sheldon M. Ross, Simulation, 5th Edition, Elsevier, 2013.

Calculators

No calculator will be allowed on the midterm examination.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA547 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:

  • Assignments: 30%
  • Midterm Test (Tuesday, Mar. 6, in class): 30%
  • Course Project: 40%

The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

This document is a summary of the course outline for MA547 and is provided for the convenience of students.