MATS442 Stochastic Simulation (4 cr)

Study level:
Advanced studies
Grading scale:
0-5
Language:
English, Finnish
Responsible organisation:
Department of Mathematics and Statistics
Curriculum periods:
2017-2018, 2018-2019, 2019-2020

Description

Content

Monte Carlo methods, such as importance sampling, rejection sampling, Markov chain Monte Carlo, sequential Monte Carlo and multilevel Monte Carlo. The contents vary yearly.

Completion methods

Problems classes, course exam, and a possible course assignment.

Assessment details

The final mark is determined by the points of the final exam, the possible problems class bonuses and the mark of the course assignment (if applicable).

Learning outcomes

The student can
• apply stochastic simulation methods in practice,
• describe why the methods work,
• modify the methods for a specific application

Additional information

The course is given every second year. It is given in 2018 and 2020.

Description of prerequisites

MATA280 Foundations of stochastics or TILA121 Probability. Recommended: MATS262 Probability theory 2.

Completion methods

Method 1

Select all marked parts

Method 2

Select all marked parts
Parts of the completion methods
x

Teaching (4 cr)

Type:
Participation in teaching
Grading scale:
0-5
Language:
English, Finnish

Teaching

x

Exam (4 cr)

Type:
Exam
Grading scale:
0-5
Language:
English, Finnish

Teaching