Advanced Simulation Methods

This is a companion webpage to the MSc course on Advanced Simulation Methods taught at Imperial College London for the academic year 2024-2025. This lecture is delivered by O. Deniz Akyildiz.

Main resources for this year will be the notes (see Blackboard) and notebooks that I will upload here.

See this page for the resources from my undergraduate course, which is largely relevant. See Bayesian filtering summer course for some extra material on Bayesian filtering. See also my LTCC course which also has a significant overlap with this course.

Table of Contents

• Week 1
  • Introduction
  • Importance Sampling
  • Metropolis-Hastings algorithm
  • Exercises
• Week 2
  • The Kalman filter
  • The particle filter
  • Lorenz 63 model