Stochastic simulation

MATH-414

References for numerical analysis backgroundFrom T...

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References for numerical analysis background

From Trefethen, Lloyd N., and David Bau. Numerical linear algebra. Vol. 181. Siam, 2022 Cholesky factorization (Lecture 23) and SVD computation (Lecture 31);
From Kroese, Dirk P., Thomas Taimre, and Zdravko I. Botev. Handbook of monte carlo methods. John Wiley & Sons, 2013 Discrete Fourier transform and FFT algorithm (Appendix D4).