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    DEPARTMENT OF MATHEMATICS
    Home»Course Description

    Course Description

    MATH 8605. Simulation and the Monte Carlo Method

    Course Code MATE 8605
    Course Title Simulation and the Monte Carlo Method
    Credits 3
    Hours 3 per week
    Prerequisites MATH 6606
    Description Random number generation. Random variate generation. Monte Carlo integration. Variance reduction techniques. Simulation of stochastic processes. Regenerative methods for simulation analysis. Simulation of queueing systems. Monte Carlo optimization. Simulation languages. Statistical evaluation of simulation results. Markov Chain Monte Carlo Methods (MCMC). Gibbs Sampler. Metropolis-Hastings Algorithm. Applications.
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