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, 5th 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%
Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. 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 MA647 and is provided for the convenience of students.