Fakultät für Physik
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Monte Carlo Methoden – Übersicht

  • Übersicht

Dozent

Exam

The two hour exam was on Monday July 22, 2019.  The inspection was on August 6, 2019.
You may pick up the certificates at the Ausgabe von Zeugnissen, Scheinen.

Contents

  • Basic stochastics
  • Methods for generating random numbers.
  • Monte Carlo integration and variance reduction techniques.
  • Markov Chain Monte Carlo with a basic introduction to Markov chains and applications in statistical physics.
  • Monte Carlo Methods for Bayesian data analysis.
  • 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. are possible, 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)