Course Schedule ⚙️

The first page of the notes indicates when it was most recently updated.

Date Topic Notes
Aug 18 What is a Monte Carlo? Introduction
Aug 20 Probability; Sampling
Low Discrepancy Sampling		  
Aug 25 Conditional Probability
Random Number Generation
Quantile Function to Generate Non-Uniform Samples		 Generating Samples
Aug 27 Quantile Function to Generate Non-Uniform Samples
Multivariate Normal; Gaussian Processes; Brownian Motion		  
Sep 1 Labor Day (no class)  
Sep 3 Option Pricing
Low Discrepancy Sampling		  
Friday, Sep 5 Assignment 1 Due
Acceptance-Rejection Sampling
Also see material recorded on September 6		  
Sep 8
Fred out of town
lectures to be recorded
will be announced when available		 qmcpy tutorial  
Sep 10
Fred out of town
lectures to be recorded
will be announced when available		 qmcpy tutorial  
Sep 15 Metropolis-Hastings Algorithm
Discrepancy		 Markov Chain Monte Carlo (MCMC) + Disrepancy
Sep 17 Discrepancy  
Sep 19 Assignment 2 Due  
Sep 22 Review of Generating Non-Uniform Samples  
Sep 24 Test on Parts 1 Introduction and Part 2 Generating Samples  
Sep 29 Discrepancy
Bayesian Inference		  
Oct 1 Project Proposals Due  
Oct 6    
Oct 8    
Oct 13 Fall Break (no class)  
Oct 15    
Oct 20    
Oct 22    
Oct 27    
Oct 29    
Nov 3    
Nov 5    
Nov 10    
Nov 12    
Nov 17    
Nov 19    
Nov 24    
Nov 26 Thanksgivng Break (no class)  
Dec 1    
Dec 3