Math 577 -- Monte Carlo Methods

Spring 2019

Instructor: Kevin Lin

Time: WF 1200-1315
Place: Math 501

Office: Math 606
Office hours: see here


Phone: +1-520-626-6628
E-mail: klin@math.arizona.edu

Course web page (this page):
http://math.arizona.edu/~klin/monte-carlo

Announcements

(Last revised on April 27, 2019.)
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* Important dates
- <2019-02-25 Mon> make-up class
- <2019-02-27 Wed> no class
- <2019-03-01 Fri> no class
- <2019-03-18 Mon> make-up class??? (cancelled)
- <2019-04-10 Wed> U2 Can UQ Workshop in ENR2-S395
- <2019-04-15 Mon> make-up class
- <2019-04-22 Mon> make-up class
- <2019-04-29 Mon> presentations (make-up)
- <2019-05-01 Wed> presentations (until 2pm)
* <2019-04-15 Mon> Make-up class at 1215 in Math 501
* old announcements

Course description

Monte Carlo methods are numerical algorithms that use random sampling to generate statistical estimates of (usually) deterministic quantities. They are often more efficient than their deterministic counterparts, especially for higher-dimensional problems, and are widely used in scientific, engineering, and statistical computing.

This introductory course is aimed at graduate students in mathematics, statistics, computer science, engineering, physical sciences, quantitative biology, or really any field where Monte Carlo methods are used. The goal is to equip students with knowledge of basic algorithms and relevant theory so they can design and implement Monte Carlo solutions to scientific problems and perform basic statistical analysis on the output. As such, the course tries to balance between discussion of practical algorithms and their mathematical analysis.

The first part of the course will cover

Examples will be drawn from statistical mechanics, chemistry, Bayesian statistics, and other fields, depending in part on student interest. However, no background in these areas is assumed. The second part covers more specialized topics. Possibilities include (but are not limited to) A detailed week by week plan will be posted on this page, and updated as we go along.

Prerequisites

Students should know probability at the undergraduate-level, e.g., Math 464 or equivalent, as well as linear algebra (e.g., Math 410 or equivalent). Some of this material will be briefly reviewed, and additional mathematical tools (e.g., theory of Markov chains) will be covered as needed. Students are expected to carry out both pencil-and-paper analysis and computer experiments, so facility in or willingness to learn a programming language (e.g., Matlab, Python, R, Julia, ...) is required.

Interested students without this background are encouraged to see the instructor prior to registering for the course.

Grading

Grading will be based on a few problem sets (due every 2-3 weeks) and an individual term project. Students will consult the instructor to choose a suitable project topic; projects related to students' own research are especially encouraged. Project results will be presented to the class and summarized in a term paper, to be published on the course web page at after the end of semester.

The grade breakdown is as follows:

There are no written exams. However, project presentations may take place during the final exam period.


Syllabus

These are the topics I'm planning to cover. It may get will be updated as we go along.
(Last revised on March 12, 2019.)
* PART I: Fundamentals
- Direct methods, e.g., transform and rejection methods
- Markov chain Monte Carlo (MCMC)
  1. Basic Markov chain theory
  2. Some standard MCMC algorithms
  3. Error analysis
- Variance reduction, e.g., control variates, antithetic
  variates.
- Importance sampling
* PART II: Selected Topics
- Rare event simulation
- Sequential MC and filtering

References

There is no required text, and I do not plan to follow any one text closely. I do plan to assign reading from some of the books and lecture notes listed below, in addition to course notes and papers to be posted later in the term.

All these are either downloadable for free from the UA Library (just follow the links below from a computer on the campus network, or use VPN), or available from the authors.

The following standard textbooks on Monte Carlo are intended as primary references. The mathematical level of the course is somewhere between [RK] and [Liu]; [KW] is a good source for some of the topics we'll discuss.

Additional general references: In addition to the books above, there are two sets of lecture notes you may find useful: [M] provides a very readable introduction to some of the things we'll cover, and [S] gives a clear, concise exposition of some key ideas in Markov chain Monte Carlo.

For sequential Monte Carlo, particle filtering, etc., see

For EnKF, see Finally, for basic Markov chain theory, I like
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This page was last updated on April 27, 2019.