Stochastic Simulations: Concepts and Applications
Contents The course will start with an introduction to basic methods in stochastic simulations. This will include the acception-rejection method for simulating a distribution, output analysis to evaluate the quality of a simulation, and methods for improving the quality: importance sampling, control variates, antithetic sampling. Among the possible subjects for the remaining part of the course are: Markov chain Monte Carlo, exact simulation, rare event simulation, maximization of a function determined by simulation, state space models, hidden Markov models and point processes.
Qualifications Probability 1 and
Statistics 1. Textbooks Articles and notes.
Evaluation Evaluation will be based on active participation.
ECTS-credits 10.
Semester Spring 2001.