Thesis Presentation

Type: Seminar
Lecturer: Prof. Dr. Martin Schader
Hours per week: 2
Grading: None
Date:Dates will be published here
Enrollment: By arrangement with Ms. Hey
Consulting hours: By appointment only with Ms. Hey
Contact:

IS 802 Simulation

Type: Lecture within the CDSB-Program
Lecturer: Prof. Dr. Martin Schader
Hours per week: 2
ECTS:8
Course Language:English
Date:Tue, 10:15 - 11:45 a.m. (weekly). On 18th February 2014, a brief introduction into the course outline will be given.
Beginning: Tuesday, 18th February 2014
Room:L15, 1-6, room 714-715
Enrollment: Via Öffnet einen externen Link in einem neuen FensterILIAS not later than February 3rd, 2014
Consulting hours: By appointment only
Contact:

Phone: 181-1642

Content: 
  • Basic R Programming
  • Random Variable Generation
  • Monte Carlo Integration
  • Controlling and Accelerating Convergence
  • Monte Carlo Optimization
  • Metropolis-Hastings Algorithms

In this course, we obtain an entry into Monte Carlo computational techniques. In particular, the purpose is to become familiar with the programming aspects of Monte Carlo methodology through practical implementation. Theoretical foundations are largely avoided - they may be looked up in Christian P. Robert, George Casella: Monte Carlo Statistical Methods (2nd ed.), Springer, 2004.

Previous experience:Mathematics, Statistics.
Literature:
  • Christian P. Robert, George Casella: Introducing Monte Carlo Methods with R, Springer, 2010.

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  • Sheldon M. Ross: Simulation (5th ed.), Elsevier, 2013.
  • James E. Gentle: Random Number Generation and Monte Carlo Methods (2nd ed.), Springer-Verlag, 2003.
  • Paul Bratley, Bennet L. Fox, Linus E. Schrage: A Guide to Simulation (2nd ed.), Springer-Verlag, 1987.
  • W. David Kelton, Randall P.Sadowski, David T. Sturrock: Simulation with Arena, Mcgraw-Hill, 2009.
  • Donald E. Knuth: The Art of Computer Programming, Vol. 2 (3rd ed.), Addison-Wesley, 1998.
A note to CDSB Students: Software or Docs you'll need to have available:
R (v 2.15.2 or higher); maybe downloaded from http://www.r-project.org.