Monte Carlo Methods Lecture Notes

Preface

⚠️ Note: These notes are very much under construction and subject to significant changes.

These are the lecture notes for Monte Carlo Methods (EN.553.433). The notes are loosely based on course materials by Dr. Jim Spall and the textbook by Rubinstein & Kroese (Rubinstein and Kroese 2017).

These notes represent only half of the course content. The remaining material consists of Jupyter notebooks assigned as homework, which are not published online.

Thanks to Kyle Beaty for help with cleaning these notes.

Rubinstein, R. Y., and D. P. Kroese. 2017. Simulation and the Monte Carlo Method. 3rd ed. USA: Wiley.