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