ST474A: Monte Carlo Methods (Winter 2019)

Jan. 15, 2020
Print | PDF

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.

Prerequisites

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

Exclusions

MA495H.

Instructor

Professor Mark Reesor (PhD)
Office: LH3049 (Lazaridis Hall)
Office Hours: Tuesday 9 a.m. - 10 a.m., Thursday 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)

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 ST474 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 class, 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 ST474 and is provided for the convenience of students.