Course Schedule ⚙️

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Date Topic Notes
Aug 18 What is a Monte Carlo? Introduction (PDF)
Introduction (Keynote)
Aug 20 Probability; Sampling
Low Discrepancy Sampling		  
Aug 25 Conditional Probability
Random Number Generation
Quantile Function to Generate Non-Uniform Samples		 Generating Samples (PDF)
Generating Samples (Keynote)
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 (PDF)
Markov Chain Monte Carlo (MCMC) + Disrepancy (Keynote)
Sep 17 Discrepancy  
Sep 19 Assignment 2 Due  
Sep 22 Review of Generating Non-Uniform Samples  
Sep 24 Test 1 on Parts 1 Introduction and Part 2 Generating Samples  
Sep 29 Worst case error
  
Oct 1 Average case error
Bayesian Inference
Project Proposals Due		  
Oct 6 Bayesian inference
Queues		  
Oct 8 Metropolis
Queues
Variable Transformations
Importance Sampling		 Improving Efficiency (PDF)
Improving Efficiency (Keynote)
Oct 13 Fall Break (no class)  
Oct 15 Importance Sampling  
Oct 17 Assignment 3 Due  
Oct 20 Importance Sampling
Control Variates		  
Oct 22 Control Variates  
Oct 27 Review  
Oct 29 Test 2 on Part 3 MCMC + Discrepancy and Part 4 Importance Sampling, Control Variates  
Nov 3 Conditional Monte Carlo
Antithetic Variates		  
Nov 5 Antithetic Variates
Latin Hypercube Sampling		  
Nov 10 Quasi-Monte Carlo  
Nov 12 Quasi-Monte Carlo  
Nov 14 Assignment 4 Due  
Nov 17 Quasi-Monte Carlo
Parallel Computing		 Selected Topics (PDF)
Selected Topics (Keynote)
Nov 19    
Nov 24 Project Presentations
No lecture		  
Nov 25 Project Presentations  
Nov 26 Thanksgivng Break (no class)  
Dec 1    
Dec 3 Take-Home Portion of the Final Exam Released on Canvas  
Dec 11
2–4PM, WH 115		 Take-Home Portion of the Final Exam Due
In-Class Portion of the Final Exam