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world:cours:montecarlo

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2017/10/07 23:39 · douc

Monte Carlo and Advanced simulation methods

Introduction

This 24H course will be given at VNUHCM in june 2023. It will be based on the following lecture notes (it will be updated regularly):

Previsional programme

Day Date 8.30-10.00 10.15-11.45 13.00-14.30
1 Monday, 19 june Lecture Tutorial Computer Session
2 Tuesday, 20 june Lecture Tutorial Computer Session
3 Wednesday, 21 june Lecture Tutorial
4 Thursday, 22 june Lecture Tutorial Computer Session
5 Friday, 23 june Lecture Tutorial Computer Session
6 Satursday, 24 june Lecture Tutorial
  • Day 1: 4H30
    • Lecture 1H30: Recap on Measures, Integration, Random Variables, independence, LLN.
    • Tutorial 1H30: Exercises
    • Computer 1H30: Histograms and sampling of random variables. LLN.
  • Day 2: 4H30
    • Lecture 1H30: Central Limit Theorem, Confidence interval, Slutsky's lemma.
    • Tutorial 1H30: Exact sampling, quantile function. Rejection sampling: exercise.
    • Computer 1H30. CLT and confidence intervals. Exact sampling.
  • Day 3: 3H
    • Lecture 1H30: Approximate sampling, Importance sampling. Monte Carlo by Markov chains.
    • Tutorial 1H30: Approximate sampling, Markov chains, exercices.
  • Day 4: 4H30
    • Lecture 1H30: Variance reduction (I): antithetic and control variates.
    • Tutorial 1H30: Markov chains and antithetic variables.
    • Computer 1H30: Importance sampling and MCMC.
  • Day 5: 4.30h
    • Lecture 1H30: Variance reduction (II): conditioning, stratified sampling
    • Tutorial 1H30: Exercises on variance reduction.
    • Computer 1H30: Variance reduction (II)
  • Day 6: 3H
    • Lecture 1H30: Other approximate sampling methods (Variational Inference).
    • Tutorial 1H30: Exercise.
world/cours/montecarlo.1677670252.txt.gz · Last modified: 2023/03/01 12:30 by rdouc