Course Description |
This is an introductory course on computational stochastic processes.
Topics include sampling random variables and variance reduction,
Markov chain Monte Carlo simulations,
and numerical methods for stochastic differential equations.
If time permits, some selected advanced topics,
such as simulation of rare events, simulation of chemical reactions,
and algorithms of stochastic optimization, will be covered.
The course is co-listed as Math 114 (for undergraduate students) and Math 214 (for graduate students). A course project is part of Math 214. |
Prerequisites | The prerequisite for Math 114 is Math 180A. In addition, students are strongly recommended to have completed a computer programming course before enrolling in Math 114. Examples of such a course include: CSE 5A, CSE 8A, CSE 11, or ECE 15. |
Lectures | 1:00 pm - 1:50 pm, Mondays, Wednesdays, and Fridays, Peterson Hall 102. |
Instructor |
Professor Bo Li
(Office: AP&M 5723. Email: bli@math.ucsd.edu)
Office hours: 4:00 pm - 5:00 pm, Mondays and 2:00 - 3:00 pm, Fridays, AP&M 5723. |
Discussion Sessions |
Session A01, 2:00 pm - 2:50 pm, Tuesdays, HSS 4025.
Session A01, 3:00 pm - 3:50 pm, Tuesdays, HSS 4025. |
Teaching Assistant |
Mr. Jingze (Johnny) Li (Office: HSS 3084. Email: jil164@ucsd.edu)
Office hours: 6:00 pm - 7:00 pm, Tuesdays, HSS 4012; 1:00 pm - 2:00 pm, Thursdays, HSS 5012. |
Canvas and Gradescope | Canvas will be used to manage our course (e.g., class announcement, homework assignments, etc.). Gradescope will be used to collect and grade homework and exams, and manage the grding. |
Textbooks |
We will use the following two books. UCSD has the full access to these eBooks.
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Lecture Notes | When completed, lecture notes will be posted in Canvas. |
Homework |
Homework is assigned, collected, and partially graded regularly.
A large portion of homework is computationally oriented, and Matlab is
the preferred mathematical software.
Please note:
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Exams and Projects |
Math 114:
There will be one 50-minute midterm and one 3-hour final exam.
Both exams will be close-book and close-note exams.
The final exam will be cumulative.
Midterm Exam: 1:00 pm - 1:50 pm, Friday, May 5, 2023, Peterson Hall 102 (same as the lecture room). Final Exam: 11:30 am - 2:29 pm, Thursday, June 15, 2023 (place to be announced). Math 214: There will be a 50-minute, close-book and close-note, midterm exam and a final course project. Midterm Exam: 1:00 pm - 1:50 pm, Friday, May 5, 2023. The final course project is due 3:30 pm, Thursday, June 15, 2023. Please note:
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Project Guidelines | This is only for Math 214. Here is a set of guidelines for course projects (requirement, some suggested topics, etc.): Project Guidelines. |
Grading |
Math 114: The final course grade will be determined based on the
homework (40%), midterm exam (20%), and final exam (40%).
The final course grade will be curved within Math 114.
Math 214: The final course grade will be determined based on the homework (40%), midterm exam (20%), and final course project (40%). The final course grade will be curved within Math 214. |
Academic Integrity | All students are expected to conduct themselves with academic integrity. Violations of academic integrity will be treated seriously. Please see |
Topics to be covered |
Here is a tentative list of topics to be covered in the course.
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References |
Here is a list of reference books; UCSD has the electronic access to many of these books.
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