**What are Monte Carlo Methods?**

Monte Carlo methods are numerical methods that use random numbers to compute quantities of interest. This is normally done by creating a random variable whose expected value is the desired quantity. One then simulates and tabulates the random variable and uses its sample mean and variance to construct probabilistic estimates.

**Purpose of the Course:**

This course is an introduction to Monte Carlo methods in the context of modern high-performance computing. We learn about the early history of Monte Carlo methods and their relationship to the advanced digital computing of the day. This relationship continues to this day, and we explore the reasons for this.

By combining the theoretical background, with the computational approach firmly anchored in applications, the Monte Carlo method can be used to solve many problems that traditional deterministic methods cannot. In addition, there are a wide number of areas where both Monte Carlo and deterministic methods can be used, where the Monte Carlo approach offers a very attractive alternative. Thus, Monte Carlo methods themselves are a fruitful source of research problems, and when combined with deterministic methods have the promise to provide many improved numerical methods.

**Secondary Purpose of the Course:**

**Meeting Time/Place:**

9:30AM to 12:00 NOON: January 26, 27,
and 28 in the Spine Auditorium between building 4 and 5 on the
KAUST main campus.

**Instructor:**

Michael Mascagni, Ph.D.

Professor of Computer Science

Professor of Mathematics

Professor of Scientific Computing

Faculty in the Graduate Program in Molecular Biophysics

Florida State University

Tallahassee, FL 32306-4530

E-mail: mascagni@fsu.edu

Office: Dirac Science Library 498/Love 207A

Telephone: +1.850.644.3290

For the curious, here are links to a brief biography of the Professor, and the Professor's home page.

** Lecture Notes:
**

Lecture notes for this course can be
found here.
Note: there are many more notes than there is time for the
lectures!