Stochastic Simulation (Winter Semester 2022/23)
- Lecturer: Sebastian Krumscheid
- Classes: Lecture (0100027), Problem class (0100028)
- Weekly hours: 2+2
|Lecture:||Monday 11:30-13:00||20.30 SR 2.58|
|Problem class:||Friday 14:00-15:30||20.30 SR 2.67|
|Lecturer, Problem classes||Sebastian Krumscheid|
|Room Kollegiengebäude Mathematik (20.30)|
The course covers mathematical concepts and computational tools used to analyze systems with uncertainty arising across various application domains. First, we will address stochastic modelling strategies to represent uncertainty in such systems. Then we will discuss sampling-based methods to assess uncertain system outputs via stochastic simulation techniques. The focus of this course will be on the theoretical foundations of the discussed techniques, as well as their methodological realization as efficient computational tools.
- Random variable generation
- Simulation of random processes
- Simulation of Gaussian random fields
- Monte Carlo method; output analysis
- Variance reduction techniques
- Quasi Monte Carlo methods
- Markov Chain Monte Carlo methods (Metropolis-Hasting, Gibbs sampler)
Other topics that may be addressed if time allows, such as rare event simulations, and stochastic optimization using stochastic approximation or simulated annealing.
Course material as well as further details can be found on the course's ILIAS page.