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

 

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

 

 

 

 D

50 -- 59

F

0 -- 49

 

 

 

Important Departmental and University Policies

 

 

Prepared by Prof. Wenge Guo, August 22, 2016