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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