CS-E5795 - Computational Methods in Stochastics D, 08.09.2020-07.12.2020

Topic outline

• Materials
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    Preliminaries File

    PDF document
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    Lecture Slides 1 Folder

    There are two stacks of the same slides, one with gray and another with white background (for printing, if you should want to do that).

    I'll be mapping out where the stuff can be found in the two older reference books. References to the online book are made in the lecture slides.
    

    The probability review part of the first lecture corresponds to Chapter 1 in "An Introduction to Stochastic Modeling" (ISM)  and Chapter 3 in "Stochastic Modeling for Systems Biology" (SMSB).
    The random number part is not directly from any book, so the lecture notes are the "source".

    
    

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    Ranmar RNG algorithm Folder

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    Ranmar algorithm: initialisation - Rmarin - and recursive generator: Ranmar.

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    SMSB and ISM Folder

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    Code names - check this out.

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    Lecture Slides 2 Folder

    Mostly based on Chapter 4 in SMSB.
    

    A typo corrected on page 31 (linear binning) at 9:30, Sep 23.

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    B-movie 2 Folder

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    Lecture 2. Not for distribution!

    I still  come back to the first question: With changing the pdf (measure) the point is to do simulate more easily, not that the original distribution could not be simulated at all. For instance, rejection sampling can be done if we know the value of pdf for all x.

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    Lecture Slides 3 Folder

    Based on Chapters 2 and 3 of ISM.
    

    
    

    Last edit Oct 5, 5.50 pm. a typo on page 8 fixed.

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    B-movie 3 Folder

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    I seem to be always returning to the questions. By 'state vector' people can mean either a vector defining the available states - this should perhaps preferably be called a vector of states - or a vector giving the probabilities of different states. There may still be other uses...

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    Lecture 4 Folder

    Parts of SMSB, Chapter 5 + bits from ISM, Chapter 6.
    

    The part of revised algorithm for ordered sampling of inhomogeneous Poisson process has been modified on Oct 9 11:50 am.

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    Downton Shabby 4 Folder

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    The question at the end resulted in my adding some text on the slides (page 64).

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    Lecture 5 Folder

    Last modified Oct 29 at 10.45 am.

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    Hercule Poisson and Captain Hastings 5 Folder

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    Lecture 6 Folder

    This is the last lecture.

    Updated Oct 13 at 11.40 am.

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    For a Few Scholars More 6 Folder

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