Welcome to Stochastic Simulation

This is an online companion to the lecture notes of the course Stochastic Simulation taught at Imperial College London, Department of Mathematics, by O. Deniz Akyildiz.

These pages feature extra explanations and code. Here we aim at reproduce almost every example in the notes in terms of implementation and results.

The lecture notes for the 2024-2025 term can be found from the following link

[Lecture Notes]

Note that the lecture notes are different than last year, so please do not use the old notes.

Please note that this is a work in progress. If you find any errors, please let me know.

Table of Contents

• Chapter 1 - Introduction
• Chapter 2 - Exact Generation of Random Variates
  • Section 2.1
  • Example 2.1
  • Example 2.2
  • Example 2.5
  • Example 2.6
  • Example 2.8
  • Example 2.12
  • Example 2.13
  • Example 2.14
• Chapter 3 - Probabilistic Modelling and Inference
  • Example 3.2
  • Example 3.3
  • Example 3.5
• Chapter 4 - Importance sampling
  • Example 4.2
  • Example 4.3
  • Example 4.4
  • Example 4.6
  • Example 4.8
• Chapter 5 - Markov Chain Monte Carlo
  • Example 5.1
  • Example 5.2
  • Example 5.3
  • Example 5.4
  • Example 5.5
  • Example 5.6
  • Example 5.7
  • Example 5.8
  • Example 5.9
  • Example 5.10
  • Example 5.11
  • Example 5.13
  • Example 5.18