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Monte Carlo Class

Here you can find the syllabus and course materials for ACM 206: Monte Carlo methods for scientific computing.

Week 1: How random number generators (don't) work.

lecture 1, presentation 1, problem set 1.

Week 2: What's the point of point processes?

lecture 2 (guest taught by Eliza O'Reilly), reading, problem set 2.

Week 3: Jump up and down and move it all around.

lecture 3, presentation 3, reading, problem set 3.

Week 4: Splitting and killing.

lecture 4, presentation 4 (Use Adobe Acrobat Reader to play the embedded gifs), reading, problem set 4.

Week 5: Sampling from a chain.

lecture 5, presentation 5, problem set 5, problem 5.1 solution.

Week 6: Uncountable spaces.

lecture 6, problem set 6.

Week 7: Continuous-time samplers.

lecture 7, interactive MCMC gallery, problem set 7.

Week 8: All killer, no filler.

lecture 8, parallel tempering video, problem set 8

Week 9: Big moves.

lecture 9, problem set 9.

Week 10: Finding structure with randomness.

lecture 10, problem set 10.