Monte Carlo Methods

course notes
JHU
probability
Course notes for a semester-long JHU AMS course on simulation and Monte Carlo estimation.
Published

September 1, 2025

Course notes

Notes for the semester-long Monte Carlo Methods course I teach at JHU AMS. The course covers random number generation, variance reduction, Markov chain Monte Carlo, and applications to integration and optimization.

The prerequisites are probability and some programming experience.