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Monte Carlo Methods

The lecture takes place in the winter semester and is held in English.

Lecturer: Prof. Dr. Allen Caldwell

Time: Mondays 16:00 to 18:00

Location: PH 227 at the TUM Physik-Department

There will be an exercise session in the CIP room before the lectures (Monday, 14:00-15:45).

Topics

The course introduces Monte Carlo methods and their use in the physical sciences.  A practical element will be included, in that the students will be required to code algorithms and produce numerical results. The structure of the course is as follows:

  • introduction to random number generation
  • transforming among different probability densities
  • accept/reject methods
  • Monte Carlo integration: sample-mean, importance sampling
  • Random walks
  • Monte Carlo optimization: stochastic exploration, simulated annealing, ...
  • Markov Chain Monte Carlo methods
  • Other techniques
  • Applications: simulating physical systems, statistical analysis

The material will be introduced in lectures, and the students will then have exercises that they will need to solve by programming algorithms on their computers. The students write up the exercise solutions as a report that is submitted at the end of the semester.

More information: Lectures at the Physics Department of the Technical University of Munich