Fall 2016 Course Syllabus:  Math 448

Course Title:

Stochastic Simulation

Textbook:

Simulation, by Ross, Sheldon, M.
Publisher: Academic Press; 5 edition (2013); I ISBN: 978-0125980630.

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 9 MIDTERM EXAM I: Tuesday ~ October 4, 2016 Chapter 5 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 17 MIDTERM EXAM II: Tuesday ~ Nov. 8, 2016 Homework 5 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

 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 D 50 -- 59 F 0 -- 49

Important Departmental and University Policies

Prepared by Prof. Wenge Guo, August 22, 2016