JCAOligoTutorialPCR
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The diagram at left (from fig.cox.miami.edu) is an overview of how PCR works. First of all, what you are doing is making a mixture of DNAs, proteins, and chemicals and then putting it through a program of temperature changes. Inside the mixture is a template double-stranded DNA, which usually is a small amount of plasmid DNA or genomic DNA, two oligonucleotides, which are short (~20bp) single stranded DNAs, a thermostable DNA polymerase, and the monomer units that make up DNA, referred to as dNTPs.
You make up this sample in little tubes (at right, from www.ga-international.com), and run the temperature program in an instrument called a thermocycler (at right, from www.uni-saarland.de).