Core Curriculum

Monte Carlo Methods & Optimization Methods

Course Outline

There are a total of 12 lectures, each running for 3 hours.

SessionTopicsReadingsHomeworks
1 Generate random numbers Lecturer handout hw1
2 Generate random processes Lecturer handout hw2
3 Variance reduction techniques Lecturer handout hw3
4 Quasi-Monte Carlo Lecturer handout hw4
5 Discretization methods Lecturer handout hw5
6 Estimating sensitivities Lecturer handout hw6
7 Sequential importance sampling and resampling Lecturer handout hw7
8 Linear programming Lecturer handout hw8
9 Quadratic programming Lecturer handout hw9
10 Second-order conic programming Lecturer handout hw10
11 Mixed-Integer (non-)linear programming Lecturer handout hw11
12 (Stochastic) linear quadratic regulator problems Lecturer handout hw12