Math 4/516 Fall 2017 Schedule, Dr. Genz

Problems with * are not required for Math 416 students.
Week: Date DaySection(s): Lecture Topic Assignments
1: Aug 22 Tue 1: Course Introduction 1:1,2*
1: Aug 24 Thu 2: Probability Review 2:3,7,12,13,20*,27,31,35*
2: Aug 29 Tue 3: Random Numbers, Monte Carlo Method 3:3,5,6,7,8,9*,12,13*,14
2: Aug 31 Thu 4.1-3: Inverse Trans., Poisson, Binomial RVs 4:1,2,3,4*,7,10,13*
3: Sep 5 Tue 4.4-6: Accept-Reject, Composition Methods 4:15,17,18*; Ch 1-3 HW1 Due
3: Sep 7 Thu 5.1-2: Inverse Transform, AR Methods 5:2,3,4,5*,6,7,8ac,9*,15
4: Sep 12 Tue 5.2-3: Normal RVs 5:16*,17,18,20; HW1 Solutions
4: Sep 14 Thu 5.4-5: Poisson Process RVs 5:22,23*,24,29
5: Sep 19 Tue 6: Multivariate Normal and Copulas 6:6,9,C
5: Sep 21 Thu 7.1-2: Discrete Event Intro, Single-Server Qs 7:1(you may modify this function),2,6*
6: Sep 26 Tue 7:3-4: Two-Server Queueing Systems 7:8; Ch 4-5 HW2 Due
6: Sep 28 Thu 7.5-7: Inventory, Insurance, Repair Models 7:11,13; HW2 Solutions
7: Oct 3 Tue 7.8-9: Stock Options, Verification; Exam 1 Rev. 7:16(acde)*,17; Sample Exam (Solution)
7: Oct 5 Thu Exam 1 Chapters 3-5; Solution Key
8: Oct 10 Tue 8.1-2: Sample Mean, Var, Interval Estimates 8:3,4,6,7,8,9*
8: Oct 12 Thu 8.3: Bootstrapping 8:12,13*,14,15; Ch 6-7 HW3 Due
9: Oct 17 Tue 9.1-2: Antithetic, Control Variates 9:1,2,3,5,7,8,9*
9: Oct 19 Thu 9.2-3: Control Variates, Conditioning 9:11*,12
10: Oct 24 Tue 9.3: Conditioning 9:18(a-c,e-g,i),19*,26(use 9s)
10: Oct 26 Thu 9.4-5: Stratified Sampling 9:27,36*; Sec 8.1-9.2 HW4 Due
11: Oct 31 Tue 9.6: Importance Sampling 9:38a-c(use rates 1/(i+2)),41
11: Nov 2 Thu 9.7-8: Common RNs; Exotic Options
12: Nov 7 Tue 10.2-3: Normalized Importance, Latin Hyper. 10:7,9(abcd)
12: Nov 9 Thu 11.1-3: Goodness-of-Fit Tests 11:1a,2a,4,5,7,12*,13;
13: Nov 14 Tue 11.3: 2-Sample Problems; Exam 2 Review Sec 9.3-9.8 HW5 Due; Sample Exam (Sol.)
13: Nov 16 Thu Exam 2Chapters 8-9
X: Nov 20-24Fall Break, No Classes
14: Nov 28 Tue 12.1-2: MCMC Intro, Hastings-Metropolis 12:4,5
14: Nov 30 Thu 12.3: Gibbs Sampling 12:6(use B=1),7,9,11,12*(use n-i, not ni)
15: Dec 5 Tue 12.4: More MCMC Examples
15: Dec 7 Thu 1-12: Course Summary; Final Exam Review
15: Dec 8 FriCh 10-12 Problems HW6 Due 5PM
16: Dec 11 MonFinal Exam Monday 10:10AM-12:10PM, Todd 434