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 |