Schedule (subject to change!)

Warning: Dates in the future (in particular, assignment release and due dates) will sometimes change to adjust to the pace I cover the material.

Note: files for assignments and lecture slides can be found under Files.

Meeting	Notes	Topics	Readings	Homework (out)	Homework (due)
02/26		Overview, motivation. Course logistics. Simple Monte Carlo. Basics such as Monte Carlo errors and running time analysis..		Exercise 1
02/28		Simple Monte Carlo, continued. Basic methods for exact simulation.
03/05		Exact sampling, continued. Importance sampling.		Exercise 2	Exercise 1
03/07		Importance sampling, continued.
03/12		Asymptotic analysis. Markov chains.		Exercise 3	Exercise 2
03/14		MCMC: basic LLN, CLT, MH
03/19		Introduction to probabilistic programming (guest lecture by Sohrab)			Exercise 3
03/21		MH, continued: practical considerations, analysis, slicers
03/26		Advanced MH methods: gradient, non-reversible, tempered, etc		Assignment 1
03/28		SMC, pseudo-marginal methods
04/02	Easter – No class
04/04		If time permits, glimpse into further topics such as ABC, reversible jump, normalization constant estimators, etc			Project outline + Assignment 1
04/26	Project due				Project due