Simulations, random walks, and error analysis (60' lecture)

David Ceperley

Link to Presentation slides (in PPT or PDF) format: http://cms.mcc.uiuc.edu/wiki/download/attachments/6458/SimulationsRandomWalksDMC.pdf

Random walks, Markov process

• Definition and examples
• General Theorems, ergodicity
• Detailed balance
• Metropolis Monte Carlo, rejection technique
• Example of classical Monte Carlo
• Example of permutation sampling

Error analysis

• Central Limit theorem
• Finite variance
• Derivation of fundamental formula for errors
• Practical rules for errors estimation