Monte Carlo Methods

Module MA5308

This Module is offered by TUM Department of Mathematics.

This module handbook serves to describe contents, learning outcome, methods and examination type as well as linking to current dates for courses and module examination in the respective sections.

Basic Information

MA5308 is a semester module in English language at Master’s level which is offered irregular.

This module description is valid from SS 2010 to SS 2010.

Total workloadContact hoursCredits (ECTS)
270 h 90 h 9 CP

Content, Learning Outcome and Preconditions

Content

Introduction to Monte Carlo simulation techniques. Random variable generation. Monte Carlo integration. Markov chain Monte Carlo methods (Metropolis-Hastings algorithm, Gibbs sampler). Diagnosing convergence.

Learning Outcome

At the end of the module students have mathematical understanding of basic Monte Carlo methods, are able to apply Monte Carlo techniques to high-dimensional integration problems and have programming skills for stochastic simulation.

Preconditions

MA1302 Introduction to Numerical Analysis, MA2302 Numerical Analysis, MA1401 Introduction to Probability

Courses, Learning and Teaching Methods and Literature

Courses and Schedule

ArtSWSTitelDozent(en)Termine
VO 4 Monte Carlo Verfahren
UE 2 Übungen zu Monte Carlo Verfahren

Learning and Teaching Methods

lecture, excercise module, assignments

Media

blackboard

Literature

C. Robert, G. Casella, Monte Carlo Statistical Methods, 2nd Edition, Springer-Verlag, New York, 2004.

Module Exam

Description of exams and course work

Klausur

Exam Repetition

There is a possibility to take the exam at the end of the semester.

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