| Week: Date Day | Section(s): Lecture Topic | Assignments |
|---|
| 1: August 21 Tues
| 1.0: Introduction
| |
| 1: August 23 Thurs
| 2.1: Independent Monte Carlo
| MC Assignment |
| 2: August 28 Tues
| 2.2-3: Monte Carlo Sampling
| 2.11: H1, H2 |
| 2: August 30 Thurs
| 2.4: Importance Sampling
| 2.11: H3, H4* |
| 3: Sept. 4 Tues
| 2.5-6: Volume Estimation
| 1: Weeks 1-2 Work Due;
2.11: H5, H6*, H7, H8; |
| 3: Sept. 6 Thurs
| 2.7: Product and NonProduct Spaces
| 2.11: H9, H10* |
| 4: Sept. 11 Tues
| 2.7: Network Reliability Example
| 2.11: H11, H12 |
| 4: Sept. 13 Thurs
| 2.7: Option Pricing Example
| 2: Week 3 Work Due;
2.11: H13, H14* |
| 5: Sept. 18 Tues
| 2.8: Option Pricing Importance Sampling
| 2.11: H16 (Data File), H17* |
| 5: Sept. 20 Thurs
| 2.8: Bootstrap Method
| 2.11: H18, H20 (Data File) |
| 6: Sept. 25 Tues
| 2.9: Regression Analysis
| 3: Week 4 Work Due |
| 6: Sept. 27 Thurs
| 2.1-9: Chapter 2 Summary
| |
| 7: Oct. 2 Tues
| 3.1-2: Sample Generation Introduction
| |
| 7: Oct. 4 Thurs
| 3.3: Inverse Transform Method
| 4: Week 5 Work Due |
| 8: Oct. 9 Tues
| 3.4: Sampling from a Table
| 3.9:1, 2, 3, 4, 5, 6, 7*, 8* |
| 8: Oct. 11 Thurs
| 3.5: Composition Method
| |
| 9: Oct. 16 Tues
| 3.6: Acceptance-Rejection Method
| 5: Week 8 Work Due |
| 9: Oct. 18 Thurs
| 3.7: Ratio-of-Uniforms Method
| 3.9: 9, 10, 12, 13, 14* |
| 10: Oct. 23 Tues
| 3.7: Ratio-of-Uniforms Examples
| 3.9: 15*, 16, 17, 19ac, 20* |
| 10: Oct. 25 Thurs
| 4.1-2: Linear Congruential Generators, Testing
| 6: Week 9 Work Due |
| 11: Oct. 30 Tues
| 4.3-4: Mixed LCGs and Combined Generators
| |
| 11: Nov. 1 Thurs
| 5.1: Stratified Sampling
| 7: Week 10 Work Due |
| 12: Nov. 6 Tues
| 5.1: Stratified Sampling Examples
| 5.8: H1, H2, H3, H4* |
| 12: Nov. 8 Thurs
| 5.2: Rao-Blackwellization
| |
| 13: Nov 13 Tues
| 5.2: Rao-Blackwellization Examples
| 5.8: H6, H7, H9, H12* |
| 13: Nov. 15 Thurs
| 5.3: Control Variates
| 8: Week 12 Work Due |
| X: Nov. 20-24
| Fall Break, No Classes
| |
| 14: Nov. 27 Tues
| 5.3: Control Variates Examples
| 5.8: H14, H15, H17, H21* |
| 14: Nov. 29 Thurs
| 5.4: Antithetic Variates
| 9: Week 13 Work Due |
| 15: Dec. 4 Tues
| 5.5: Quasirandom Numbers
| 5.8: H22, H23, H24 |
| 15: Dec. 6 Thurs
| Course Summary
| 10: Week 14 Work Due |
| 16: Dec. 13 Thurs
|
| 11: Week 15 Work Due 4PM |