Implementation of stochastic simulation algorithms
The practicals concern the implementation of stochastic simulation
algorithms. Examples are given for implementation in R and
C. Undergraduates should read through the examples, trying to
understand both the R and C code, but should not worry too much about
understanding the C examples, and should not spend time trying to
implement the examples in C. The undergraduate exercises all concern
implementation of algorithms in R. It is quite sufficient for this
course to be able to implement the algorithms in R. It is highly
recommended that staff and postgraduates implement the algorithms in
both R and C, and learn to link the two together (Week 10), as real research
problems involving MCMC need to have the main simulation loop
implemented in a compiled language. There are additional exercises for
postgraduates. Unfortunately, programming in C under Windows is very
irritating, so using a Unix machine for
compiling (using "gcc") and running the C code will be preferable.