Monte Carlo Methods

3 credits · College of Engineering catalogue

Advisory Prerequisite: Graduate standing in Engineering, Mathematics or Sciences. Enforced Prerequisite: None. (3 credits) Monte Carlo methods are applicable to a broad range of scientific disciplines. Topics include probability and statistics, generation of random variates, discrete and continuous Markov chains, random processes, Markov Chain Monte Carlo, simulated annealing, estimation techniques, variance reduction, perturbation methods, Green’s functions, and diffusion processes. Includes applications to particle transport.