Monte Carlo Method

Course guarantor:

Lecturer:

Tutor:

Supervisor:

Department of Software Engineering

Synopsis:

This courseis devoted to the numerical method Monte Carlo and to its selected applications.

Requirements:

Probability theory basics

Syllabus of lectures:

1.Prerequisities for the MC Method.

2.Precision of the MC Method

3.Transformation of the uniformly distributed random quantity to the random quantity with given distribution

4.Generation of the uniformly distributed random quantity.

5.Computation of integrals using the MC method

6.Solving system of linear algebraic equations by the MC method.

7.Solving integral equations by the MC method.

8.Solving selected problems for the partial differential equations by the MC method.

9.Solving problems about radiation transport by the MC method.

10. Solving problems ftom the queue theory by the MC method.

Syllabus of tutorials:

Study Objective:

Knowledge:

Monte Carlo principles, its application in selected domains.

Abilities:

Ability to use the Monte Carlo Method for the solution of mathematical and physical problems

Study materials:

Key references:

[1] Virius, M. Monte Carlo Method. Vydavatelství ČVUT, Praha 2010. ISBN 978-80-01-04595-4. (in Czech)

Recommended references:

[1] Kalos, M. H., Whitlock, Paula A. Monte Carlo Methods. Second edition. Wiley & Blackwell 2008. ISBN 978-3-527-40760-6.

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans: