CmpE 548 Monte Carlo Methods

Catalog Description: 

Basic principles of generating random variates, rejection, reweighting and variance reduction, importance sampling and rejection control. Monte Carlo computational strategies: Sequential Monte Carlo (SMC), Markov Chain Monte Carlo (MCMC), Metropolis Hastings algorithm, reversible jump process, Gibbs sampler, simulated annealing and bridging. Population Monte Carlo, Markov chains and convergence, Annealed importance sampling and SMC samplers.

Credits: 

(3+0+0) 3 ECTS 8

Prerequisites: 

Consent of the instructor

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