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Lecture Notes
Below you willl find electronic copies of the lecture notes from the 2007 Geilo Winter School on Monte Carlo Methods

Morten Hjorth-Jensen

  • Introduction to Monte Carlo Methods, Integration and Probability Distributions
  • Random Numbers, Markov Chains, Diffusion and the Metropolis Algorithm
  • Examples from the Physical Sciences and Sociology

Laurent Bertinio and Geir Evensen

  • Outline of Presentations
  • The Inverse Problem
  • Kalman Filtering
  • The Bayes Theorem
  • Ensemble Kalman Filter
  • The Combined Parameter and State Estimation Problem
  • TOPAZ - A High-Dimensional Application of the EnKF to 3D Ocean Modelling
  • EnKF Application (to Petroleum Reservoirs)

HÃ¥kon Tjelmeland

  • Introduction to Markov Chain Monte Carlo - with Examples from Bayesian Statistics
  • More on Markov Chain Monte Carlo
  • Bayesian Modelling and Markov Chain Monte Carlo

Fred Espen Benth

  • Application of Monte Carlo Methods in Finance

Published February 9, 2007