MATH 631 Computer Simulation Random Processes
Review of probability theory. Ergodic theorem and ergodic transformations as random number generators. Pseudo-random number generators on digital computers and their characteristics. Simulation of Bernoulli, Poison, and Gaussian random processes. Simulation of systems of independent random variables with arbitrary densities or distribution laws. Simulation of random variables on differentiable manifolds. A priori estimates of efficiency of stochastic methods for optimization of linear functions. Application to operations research and performance analysis of computer algorithms. Prerequisites: 531 and CSC 511.