MA647A: Monte Carlo and Simulation Methods (Winter 2019)

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.

Exclusions

MA547, ST474.

Instructor

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

Lectures

Tuesday 2:30 p.m. - 3:50 p.m. in LH3060 (Lazaridis Hall)
Thursday 2:30 p.m. - 3:50 p.m. in P118 (Peters Building)

Two additional lecture hours, schedule to be determined.

Textbook

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

Calculators

Students may use a non-programmable, non-graphing calculator on course tests and the final examination.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA647 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, Feb. 26, 2019, during lecture time, location to be announced): 30%
• Final Exam: 40%

This document is a summary of the course outline for MA647 and is provided for the convenience of students.