Math 577 -- Monte Carlo Methods

Spring 2026

Calendar

* [2026-02-16 Mon] variance reduction
- references: coming soon
* [2026-02-11 Wed] stationary gaussian processes; rejection sampling
- references: mc06
* [2026-02-09 Mon] stationary gaussian processes
- references: mc05b
* [2026-02-04 Wed] circulant matrices
- references: mc05a
* [2026-02-02 Mon] more gaussians
- references: mc05
* [2026-01-28 Wed] gaussians
- multidimensional transform methods
- Box-Mueller for independent standard normals
- affine transforms for multidimensional gaussians
- reference: mc04, mc05
* [2026-01-26 Mon] transformation methods
- reference: mc04
* [2026-01-21 Wed] intro to sampling
- mc integration
- "random" numbers
- cdf transform
- reference: mc02, mc03
* [2028-01-14 Fri] admin & intro
- administrivia
- example: estimating pi
  - 2d
  - higher dimensions
- estimator variance
- comparison to deterministic "quadrature"
- reference: mc01