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Pierre Gremaud
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NA seminar
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Department of Mathematics
MA 798C
Numerical methods for model calibrations
Notes
Review of probability concepts
(updated 10/2/08)
Monte Carlo methods
(incomplete, updated 9/2/08)
Review of linear least squares
Nonlinear filtering
(updated 12/2/08); notes from Arnaud Doucet (UBC), guest lecturer on Oct. 28
Introduction to Sequential Monte Carlo methods
Computing gradients and Jacobians
Nonlinear least squares
Optimization without derivatives
Ensemble Kalman filtering
Examples
Slides for 11/18/08 presentation on
Circle of Willis
presentation
link to corresponding
paper
; Multiscale Model. Simul., 7 (2008), pp.888-909.
Homework
Exercises 1.5 and 1.6 of the probability review by 8/28.
Exercises 1.11, 2.1, 2.2 and 2.5 by 9/2.