MATS442 Stochastic Simulation (5 cr)

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Study level:
Advanced studies
Grading scale:
0-5
Language:
English, Finnish
Responsible organisation:
Department of Mathematics and Statistics
Curriculum periods:
2020-2021, 2021-2022, 2022-2023, 2023-2024

Description

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

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 biennially.

Description of prerequisites

Good control of foundations of probability, including continuous multidimensional distributions and knowledge of limit theorems (as in courses MATA2600 Basic course in probability & TILA2700 Further probability or TILA1200 Probability 1 & TILA1300 Probability 2 or MATA280 Foundations of Stochastics & MATS262 Probability Theory 2).

Completion methods

Method 1

Evaluation criteria:
Points in the exam and possibly solutions in problems classes and/or course work. Details are given later.
Select all marked parts

Method 2

Evaluation criteria:
Points in the final exam.
Select all marked parts
Parts of the completion methods
x

Participation in teaching (5 cr)

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

Teaching

x

Exam (5 cr)

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

Teaching