APPM 7400, Fall 2004, section 002
Stochastic Simulation
Other lectures are available but have not been organized.
Please click here to see the index of all notes including presentations 20 through 30.
MWF
9:00-9:50
Location : ECCR 131
Handout for variance of runs up/down test
Proof of Box-Muller transformation
Proof of Polar-Marsaglia transformation
Binomial-Exponential Simulation Connection
An example of the algorithm for creating an alias table
Power Point Presentations:
Note: Certain symbols, graphics, and animations did not translate well to the web.
(Sorry, but I don't have time to make special "web friendly" presentations!)
Presentation 1: RNG's and Tests,
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Presentation 2: Tests of Uniformity,
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Presentation 3: Generating Discrete Random Variables,
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Presentation 4: Generating Continuous Random Variables,
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Presentation 5: Monte Carlo Integration,
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Presentation 6: More Monte Carlo Methods and Variance Reduction Techniques,
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Presentation 7: A Summary of Random Variable Simulation,
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Presentation 8: Poisson Process Modeling,
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Presentation 9: Non-homogeneous Poisson Process , (ppt)
Presentation 10: The Alias Method ,
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Presentation 11: Spatial Poisson Processes ,
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Presentation 12: Gambler's Ruin and Differential Equations ,
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Presentation 13: Intro to Markov Chains ,
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Presentation 14: Stationarity and Limit Behavior ,
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Presentation 15: Markov Chains: Continuous Time ,
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Presentation 16: Queueing Models ,
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Presentation 17: Markov Chain Monte Carlo ,
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Presentation 18: More Markov Chain Monte Carlo ,
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Presentation 19: Markov Chain Monte Carlo: Auxiliary Variable Methods ,
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Presentation 20: MCMC Convergence,
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Download Take-Home Exam here.