MVE550 Stochastic processes and Bayesian inference Autumn 21

Course PM

This page contains the program of the course. Other information, such as learning outcomes, teachers, literature, examination, and old exams, are in a separate course PM.

Program

The schedule of the course is in TimeEdit and in the table below. Each week there are two lectures, each lecture directly followed by an exercise session.

The lectures will be possible to follow either in the lecture room or live on-line, and will be recorded. To follow the lectures on-line, use zoom with the link https://chalmers.zoom.us/j/65679991152 and password 135791.

Details about the literature is found in the course PM; the relevant chapters for the different lectures are listed in the table below. Overheads and other material used in the lectures will be posted on Canvas (mostly) before the lectures. 

The exercise sessions are off-line, but some videos where exercises are solved will be available on-line. There will be two parallel exercise sessions, and you can choose to attend either (or none). The teachers will demonstrate solutions to specific exercises, listed in the table below, and there will be time for discussions and individual help. Lists of additional recommended exercises are also found below. Generally exercise sessions will focus on material from the lecture half a week earlier, so you have time between the lecture and the exercise class to work on the exercises.

Assignments

An important part of the course are the three obligatory assignments. They should be solved and submitted in small groups of 2-3 students. The groups are created by the students themselves, go to "People" and "Groups". It may be a good idea to find a group directly, as you can then get started working together with somebody. One way to find group partners is to use "Discussions" here in Canvas. For more details on the assignments go to the list at the bottom of this page.

Piazza

We will try using Piazza for class discussions. In this system, you may post your questions, even anonymously, and answer questions from other students. The course teachers will also look at and answer questions. To participate you must use our class signup link.  Technical questions may be directed towards team@piazza.com.

Lectures and exercise classes

Contents Study material Meeting
Lecture 1: Introduction and review

Dobrow Chapter 1 + Appendices A, B, C, D

Overheads, VideoWB1WB2

Tuesday 2/11 13:15 - 15:00, GD-Salen.

Exercises

Dobrow Chapter 1: 6, 9, 10, 14, 16, 20, 24, 30, 32, 35 . Answers to these exercises in Chapter 1 of Dobrow can be found here 

Recorded solutions:

Exercise 1.6

Exercise 1.9

Video of first Exercise Session 2019

Tuesday 2/11 15:15 - 17:00, SB-L200 or SB-L216. All exercise classes will be in these rooms.

Lecture 2: Basics of Bayesian inference

Compendium Chapter 1

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6

Thursday 4/11 13:15 - 15:00, GD-Salen

Exercises

Continue with the exercise list from Tuesday.

Thursday 4/11 15:15 - 17:00

Lecture 3: Markov chains

Dobrow Chapters 2 and 3

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6

Tuesday 9/11 13:15 - 15:00, HB3

Exercises

Compendium Chapter 1: 3, 4, 6, 7, 8, (9, 10).

Recorded video of earlier exercise session (question 1.11) can be found here Link

Recorded solutions: Exercise C_1_3_a, Exercise C_1_3_b, Exercise C_1_3_c

Tuesday 9/11 15:15 - 17:00

Lecture 4: Markov chains

Dobrow Chapter 3

Overheads, Video, WB1, WB3, WB4, WB5

Thursday 11/11 13:15 - 15:00, HB3

Exercises

Dobrow Chapter 2: 2, 7, 10, 14, 16 17, 18 20, 21, 22, 26. Video recording 

Answers can be found here

An earlier recorded exercise session (exercise 2.14) can be found here

Recorded Solutions: Exercise 2.1 Exercise 2.11

Thursday 11/11 15:15 - 17:00

Lecture 5: Hidden Markov Models (HMM), inference

Compendium Chapters 2 and 3

Overheads, R code, Video, WB1, WB2, WB3, WB4

Tuesday 16/11 13:15 - 15:00, HC1

Exercises

Dobrow Chapter 3: 2, 5, 9, 14, 18, 22, 30, 35, 38, 41, 46, 64. Answers can be found here

An earlier recorded exercise session (exercise 3.54) can be found here

Recorded Solutions: 3.1 3.22

Tuesday 16/11 15:15 - 17:00

Lecture 6: Branching processes

Dobrow Chapter 4

Overheads, R code, Video, WB1, WB2, WB3, WB4

Thursday 18/11 13:15 - 15:00, HA4

Exercises

Questions 1, 2, 3, 6 from Compendium chapter 3.

Recording of exercise session.

Earlier recorded solutions: C_2_3_a, C_2_3_b, C_2_3_c, C_2_3_d, C_2_3_e, C_2_3_f

Thursday 18/11 15:15 - 17:00

Lecture 7: Markov chain Monte Carlo (MCMC)

Dobrow Chapter 5

Overheads, R code, Video, WB1, WB2, WB3, WB4

Tuesday 23/11 13:15 - 15:00, HB3

Exercises

Dobrow Chapter 4: 2, 5, 6, 8, 12, 19, 20, 26, 29

Recorded solutions: 4.19 4.20

The recorded exercise session can be found here.

Tuesday 23/11 15:15 - 17:00

Lecture 8: Inference for branching processes, MCMC for inference

Compendium Chapters 4 and 5

Overheads, R code, Video, WB1, WB2, WB3

Thursday 25/11 13:15 - 15:00, GD-Salen

Exercises

Dobrow Chapter 5: 2, 4, 5, 6, 8 R solution 5.5

Recorded solutions: 5.8

Thursday 25/11 15:15 - 17:00

Lecture 9: Poisson processes

Dobrow Chapter 6

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6, WB7, WB8, WB9

Tuesday 30/11 13:15 - 15:00, HB3

Exercises

Dobrow Chapter 5: 9, 17, 18, 19

Recorded videos from earlier exercise session (exercise 5.19) can be found here: Part 1  Part 2

Tuesday 30/11 15:15 - 17:00

Lecture 10: Continuous-time Markov chains 

Dobrow Chapter 7

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6, WB7

Thursday 2/12 13:15 - 15:00, KE

Exercises

Dobrow Chapter 6: 2, 5, 8, 10, 14, 16, 21, 24

An earlier exercise session (exercise 6.21) can be viewed here

Recorded solutions: 6.8

Thursday 2/12 15:15 - 17:00

Lecture 11: Continuous-time Markov chains

Dobrow Chapter 7

Overheads, R code (see also R code for last lecture), Video, WB1, WB2, WB3, WB4

Tuesday 7/12 13:15 - 15:00, HB3

Exercises

Dobrow chapter 6: 14, 16, 21, 24

Dobrow Chapter 7: 1, 4

Recorded solution: 7.4

 

Tuesday 7/12 15:15 - 17:00

Lecture 12: Brownian motion

Dobrow Chapter 8

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6

Thursday 9/12 13:15 - 15:00, GD-Salen

Exercises

Dobrow Chapter 7: 5, 6, 12, 14, 18, 20

Recorded solutions: 7.12, 7.18,

Thursday 9/12 15:15 - 17:00
Lecture 13: Brownian motion

Dobrow Chapter 8

Overheads, R code, Video, WB1, WB2, WB3, WB4, WB5, WB6, WB7, WB8, WB9, WB10

Tuesday 14/12 13:15 - 15:00, HB3

Exercises

Dobrow Chapter 7: 23, 26, 30, 34, 39

Dobrow Chapter 8: 1, 2

Recorded solutions: 7.368.2

An earlier exercise session can be found here

Tuesday 14/12 15:15 - 17:00
Review

Remaining parts of Chapter 8. Review. Exam tips.

Overheads, R code, Video, WB1, WB2, WB3, WB4

Thursday 16/12 13:15 - 15:00, HB2

Dobrow Chapter 8: 6, 9, 16, 18, 19, 22, 25, 26, 29

Written solutions to exercises.

Thursday 16/12 15:15 - 17:00

Answers to exercises: Click here

The following sections of Dobrow are NOT part of the curriculum: 3.9, 3.10, 5.5, 5.6, 6.8, 9.1,9.2,9.3.

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Course summary:

Date Details Due