Mathematics

Monte Carlo Simulations (L6)

Module code: G5220
Level 6
15 credits in spring semester
Teaching method: Lecture
Assessment modes: Coursework, Dissertation

The main aim of the module is to teach how to write Monte Carlo computer programs for the generation of random numbers, the calculation of integrals and for the analysis of systems. The module will include: • Introduction to R • Pseudo-random number generation • Generation of random variates • Variance reduction • Markov-chain Monte Carlo and its foundations • How to analyse Monte Carlo simulations • Application to physics: The Ising model • Application to statistics: Goodness-of-fit tests

Module learning outcomes

• Systematically understand key aspects of Monte Carlo method.
• Design and create programs for uniform and non-uniform random deviates.
• Investigate problems by using Markov-chain Monte Carlo simulations.
• Critically evaluate the output of Markov-chain Monte Carlo simulations.