Monte Carlo methods coursework in applied mathematics
Monte Carlo Methods for Quantile Estimation
Simulation, rare-event estimation, and variance reduction with visual explainers
This project combines quantitative computing and pedagogy. It implements simulation methods for difficult probability and quantile estimation problems, then makes the mechanics visible through custom animations.
5
Methods
7
Animations
Rare events
Focus
Problem
Rare-event probability estimation becomes unstable with naive simulation, so strong variance reduction strategies are required for usable estimates.
Approach
Implemented several Monte Carlo estimators, compared where they help most, and generated animations to explain the sampling behavior and convergence intuitively.
Results
Produced seven custom animations and a modular simulation codebase covering five advanced sampling strategies for quantile estimation.
What is in the repository
Role and scope
Simulation design, variance reduction implementation, and technical visualization
Project context
Monte Carlo methods coursework in applied mathematics
Main stack