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ST474A: Monte Carlo Methods (Winter 2018)

Calendar Description

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.


CP104, MA201, ST260 or (ST259 and one of MA241, ST230), and a 0.5 MA/ST credit at the 300 level (MA307 is recommended).


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


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


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


No calculator will be allowed on the midterm examination.


Materials related to this course and the full course outline will be posted on the ST474 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.


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 ST474 and is provided for the convenience of students.