This is the website for the "Probabilités et simulation" course held at PolyTech INFO4.
Jonatha Anselmi is in charge of the lectures and Davide Legacci will help with exercise sessions (TD).
Expanded explanations of class exercises: probasim24.
See the official schedule with room information.
We will follow and cover most of the material presented in Probabilités et statistique pour l’ingénieur, by Benjamin Jourdain.
We will write code in R and to this end, it is recommended to install RStudio. Snippets of code written in class are published at this rpubs link: https://rpubs.com/janselmi
- Some additional references for the interested student (deeper and longer explanations on most topics):
- Cours de Jean Bérard
- Méthodes de simulation de variables continues: Non-uniform Random Variate Generation by Luc Devroye
- Initiation aux probabilités by Sheldon M. Ross.
- Initiation aux Probabilités, by P. Brémaud (un ouvrage de référence, très très complet)
- Theoretical Computer Science Cheat Sheet
| Semaine | Cours | TD |
|---|---|---|
| #1 | Introduction (Ch.1) | |
| #2 | Probability basics (Ch.1) | |
| #3 | Common discrete probability laws (Ch.2) | |
| #4 | Expectation and "Théorème de transfert" (Ch.2) | |
| #5 | Continuous random variables and common pdfs I (Ch.3) | |
| #6 | Continuous random variables and common pdfs II (Ch.3) | |
| #7 | Expectation and "Théorème de transfert" (continuous case) (Ch.3) | |
| #8 | Control continue [?] | |
| #9 | Random generation of continuous and discrete random variables (Ch.4) | Discrete generation in R |
| #10 | Rejection Sampling (Ch.4) | Rejection Sampling in R |
| #11 | Modes of convergence of sequences of random variables (Ch.5) | |
| #12 | Law of Large Numbers / Central Limit Theorem (Ch.5) | LLN and CLT in R |
| #13 | Correction of past exams |