Lecture

Stochastic Simulation: Markov Chains and Monte Carlo

In course

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Description

This lecture covers the theory of Markov chains and Monte Carlo methods for stochastic simulation. Topics include low discrepancy sequences, Markov Chain Monte Carlo, and the computation of multidimensional integrals using Monte Carlo estimators. The lecture also discusses Halton and Hammersley point sets, as well as the concept of radical inverse for numerical computations.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_p0qbvhhq

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Statistics

Statistical inference: Bayesian inference

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