MATH 5225: Statistical Computing

Course Description

This course will introduce fundamental algorithms in Monte Carlo methods: random variable generation, Monte Carlo integration, Monte Carlo optimization, Markov chain Monte Carlo, Metropolis-Hastings algorithm, Gibbs sampler, Langevin algorithms and Hamilton Monte Carlo, perfect, iterated and sequential importance sampling. Other topics covered may include particle systems, hidden Markov models, parallel and cloud computing. Topics are identical to MATH 4085 but material is covered at a greater depth and additional projects/assignments are required. Credit cannot be earned for bothMATH 4225andMATH 5225.