Fall 2016 Course Syllabus: Math 448
Course Title: 
Stochastic Simulation 
Textbook: 
Simulation, by Ross, Sheldon,
M.

Reference
Books: 
Introductory Statistics with R, by Peter Dalgaard (2008, 2 edition). 
Prerequisites: 
Math 333 with a grade of C or better or Math 340 with a grade of C or better. 
Course
Outline 

Date 
Lecture 
Chapter 
Topic 
Assignment 
Week 1 9/6 
1 
Chapter 2 
Elements of Probability 

Week 2 9/13 
3 
Chapter 2 
Elements of Probability

Homework 1 
Week 3 9/20 
5 
Chapter 3 
Random Numbers 

Week 4 9/27 
7 
Chapter 4 
Generating Discrete Random Variables 
Homework 2 
Week 5 10/4 


MIDTERM EXAM I: Tuesday ~ October 4, 2016 


Generating Continuous Random Variables 

Week 6 10/11 
10 
Chapter 5 
Generating Continuous Random Variables 
Homework 3 
Week 7 10/18 
12 
Chapter 6 
The Multivariate Normal Distribution and Copulas 

Week 8 10/25 
13 
Chapter 8 
Statistical Analysis of Simulated Data 
Homework 4 
Week 9 11/1 
15 
Chapter 9 
Variance Reduction Techniques 

Week 10 11/8 


MIDTERM EXAM II: Tuesday ~ Nov. 8, 2016 

Chapter 9 
Variance Reduction Techniques 

Week 11 11/15 
18 
Chapter 9 
Variance Reduction Techniques


Week 12 11/22

20 
Chapter 9 
Variance Reduction Techniques Tuesday ~ Thursday Class Meet 
Homework 6 
Week 13 11/29 
21 
Chapter 11 
Statistical Validation Techniques 

Week 14 12/6 
23 
Chapter 11 
Statistical Validation Techniques 
Homework 7 
Week 15 12/13 
25 
Chapter 12 
Markov Chain Monte Carlo Methods Thursday ~ Reading Day 

Week 16 12/20 


FINAL EXAM: Tuesday ~ December 20, 2016 

IMPORTANT
DATES 

FIRST DAY OF SEMESTER 
September 6, 2016 
LAST DAY TO WITHDRAW 
November 7, 2016 
LAST DAY OF CLASSES 
December 14, 2016 
FINAL EXAM PERIOD 
December 16 – 22, 2016 
Grading Policy
Assignment Weighting 

Tentative Grading Scale 

Homework 
30 % 

A 
90  100 
Midterm Exam I 
20 % 

B+ 
82  90 
Midterm Exam II 
20 % 

B 
75  81 
Final Exam 
30 % 

C+ 
67  74 



C 
60  66 




50  59 

0  49 
Important Departmental and University
Policies
Prepared by Prof. Wenge Guo, August 22, 2016