Inhoud |
The course is an introduction to solving problems using random numbers. As primary example, the problem of multi-dimensional integration is treated. This course is mainly intended for people confronted with numerical integration and Monte Carlo simulation, such as in the phenomenology of elementary particle physics. |
Onderwerpen |
• Theory of Monte Carlo integration: probability calculations and the construction of estimators • Techniques of variance reduction: stratification, importance sampling, multichanneling • Algorithms for the generation of (pseudo)random numbers • Tests of randomness of number series • Algorithms for the generation of non-uniform number sets • Discrepancies and Koksma-Hlawka type inequalities • The Wozniakowski theorem • Principles of quasi-Monte Carlo • Generating quasi-random number sets • The problem of many-particle phase space integration: RAMBO, MAMBO and SARGE algorithms |
Toetsinformatie |
By arrangement |
Voorkennis |
Theory of probability, some programming experience |
Literatuur |
Announced during the course |
Werkvormen |
• 32 hours lecture • 136 hours individual study period Extra information teaching methods: • 40 hours lecture |
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