When: Monday, January 16, 2012 [9:30 AM - 11:30 AM]
Where: Building 9 - 3225
Where: Building 9 - 3225
Description
Monte Carlo methods are abundant in many scientific areas, including engineering, physics and chemistry, and finance. This 2 lecture mini-course will introduce the students to the concepts of Monte Carlo sampling and its application for the computation of integrals in high-dimensional domains. We will discuss some of its advantages and disadvantages and show some performance improving techniques for instance variance reduction.
Erik Vonschwerin
TBC

Raul Tempone
TBC
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