Fakultät für Physik
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Monte Carlo Methods – Übersicht

  • Übersicht

Dozent

Schedule

3 hours of lectures
Mo 14:15-16   A449, Theresienstr. 37

Di  16:15-17   A450, Theresienstr. 37
and 1 hour of excercises
Di 17:15-18    A450, Theresienstr. 37

Exam

The exam was on Tuesday 26.07.2016.
You may pick up the certificate/Scheine at the examination office. For office hours see  "Ausgabe von Scheinen etc."

Contents

  • Basic stochastics
  • Methods for generating random numbers.
  • Monte Carlo integration with a focus on variance reduction techniques.
  • Markov Chain Monte Carlo with a basic introduction to Markov chains and applications in statistical physics.
  • Other topics like Brownian Motion and the QM pathintegral, numerical solutions to stochastic differential equation, stochastic optimization, direct stochastic simulation, quasi Monte Carlo methods etc., depending on how far we get.

Previous Knowledge

Statistical Mechanics and Quantum Mechanics. To solve the programming excercises a solid proficiency in a programming lanuage is assumed.

Literature

M.E.J. Newman, G.T. Barkem: Monte Carlo Methods in Statistical Physics, Oxford University Press (1999)
Jun S. Liu: Monte Carlo Strategies in Scientific Computing, Springer (2001)