MVE550 Stochastic processes and Bayesian inference

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. Recordings will be available from this Canvas page.

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. 

There will be two (off-line) 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 a half to one week earlier, so you have time between the lecture and the exercise class to work on the exercises.

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.

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. 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. If you need help, you may contact Petter.

When your group is ready to submit answers to the first assignment, one group member goes to the "People" menu and the "First assignment group" menu. Select a group without members, and then invite your group partners into the group. The answers are then submitted in the name of this group. This ensures that all group members get graded as they should. Normally the same people will work together for all three assignments, but occasionally students switch groups, or drop out of the course. To handle such complications, you will need to repeat this procedure for the second and third assignment, using the "Second assignment group" and "Third assignment group" menus.

For more details on the assignments go to the list at the bottom of this page.

Some recommended exercises

Dobrow: 

Chapter 1: 1, 3, 7, 17, 26, 33

Chapter 2: 1, 3, 5, 9, 11, 25

Chapter 3: 1, 3, 7, 11, 13, 19, 33

Chapter 4: 1, 3, 7, 17, 23, 33

Chapter 5: 1, 3, 7, 15

Chapter 6: 1, 3, 7, 9, 15, 19

Chapter 7: 3, 7, 11, 13, 21, 29

Chapter 8: 3, 5, 7, 11, 13, 19

Some solutions.

NOTE: It is highly recommended to practice solving old exams: They are available, together with solutions, from the PM page.

In the compendium, all exercises are recommended, including those not listed in the schedule below. Solutions can be found in an Appendix of the compendium. 

IMPORTANT: The selection of exercises above is intended as a study help. It is NOT the case that theory, techniques, or ideas mentioned in the lectures but not "trained" in the exercises above cannot appear on the exam! You are expected to know and understand theory well enough to be able to apply it even when you have not done exercises with it.

If you have questions about the exercises above (or any other exercises) you are welcome to ask questions at the exercise classes. In these classes, we will mainly go through together the separate list of exercises listed in the schedule below. There is likely to also be time for individual help and questions.

Lectures and exercise classes

Contents Study material Meeting
Lecture 1: Introduction and review

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

 

Tuesday 1/11 13:15 - 15:00, HB3. RECORDING. Overheads. WB1

Exercises Dobrow Chapter 1: 6, 9, 10, 14, 16

Tuesday 1/11 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

Thursday 3/11 13:15 - 15:00, HB4. RECORDING. Overheads. R code used. WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8

Exercises Dobrow Chapter 1: 20, 24, 30, 32, 35

Thursday 3/11 15:15 - 17:00

Lecture 3: Markov chains

Dobrow Chapters 2 and 3

Tuesday 8/11 13:15 - 15:00, HB3. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6

Exercises

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

Tuesday 8/11 15:15 - 17:00

Lecture 4: Markov chains

Dobrow Chapter 3

Thursday 10/11 13:15 - 15:00, HB3. RECORDING. Overheads WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8

Exercises

Dobrow Chapter 2: 2, 7, 10, 14, 16, 17, 18

Thursday 10/11 15:15 - 17:00

Lecture 5: Hidden Markov Models (HMM), inference

Compendium Chapters 2 and 3

Tuesday 15/11 13:15 - 15:00, HB3. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7

Exercises Dobrow Chapter 2: 20, 21, 22, 26. Chapter 3: 2, 5, 9.

Tuesday 15/11 15:15 - 17:00

Lecture 6: Branching processes

Dobrow Chapter 4

Thursday 17/11 13:15 - 15:00, HA4. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7

Exercises

Dobrow Chapter 3: 14, 18, 22, 30, 35, 38, 41, 46, 64. 

Thursday 17/11 15:15 - 17:00

Lecture 7: Markov chain Monte Carlo (MCMC)

Dobrow Chapter 5

Tuesday 22/11 13:15 - 15:00, HB3. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5

Exercises

Compendium Chapter 3: 1, 2, 3, 4, 6.

Tuesday 22/11 15:15 - 17:00

Lecture 8: Inference for branching processes, MCMC for inference

Compendium Chapters 4 and 5

Thursday 24/11 13:15 - 15:00, HB4. RECORDING. Overheads. R code. WB1 WB2

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

Thursday 24/11 15:15 - 17:00

Lecture 9: Poisson processes

Dobrow Chapter 6

Tuesday 29/11 13:15 - 15:00, HB3. RECORDING. Overheads R code WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8 WB9

Exercises Dobrow Chapter 5: 2, 4, 5, 6, 8, 9, 17. R code

Tuesday 29/11 15:15 - 17:00

Lecture 10: Continuous-time Markov chains 

Dobrow Chapters 6, 7

Thursday 1/12 13:15 - 15:00. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8

Exercises

Dobrow Chapter 5: 18, 19. R code

Dobrow Chapter 6: 2, 5, 8

Thursday 1/12 15:15 - 17:00

Lecture 11: Continuous-time Markov chains

Dobrow Chapter 7

Tuesday 6/12 13:15 - 15:00. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8

Exercises

Dobrow Chapter 6: 10, 14, 16, 21, 24

 

Tuesday 6/12 15:15 - 17:00

Lecture 12: Brownian motion

Dobrow Chapter 8

Thursday 8/12 13:15 - 15:00. RECORDINGOverheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7

Exercises Dobrow Chapter 7: 1, 4, 5, 6, 12, 14, 18, 20. R code Thursday 8/12 15:15 - 17:00.
Lecture 13: Brownian motion

Dobrow Chapter 8

Tuesday 13/12 13:15 - 15:00. RECORDINGOverheads. R code. WB1 WB2 WB3 WB4 WB5 WB6 WB7 WB8 WB9

Exercises

Dobrow Chapter 7: 23, 26, 30, 34, 39. R code

Dobrow Chapter 8: 1, 2

Tuesday 13/12 15:15 - 17:00
Review

Remaining parts of Chapter 8. Review. Exam tips.

Thursday 15/12 13:15 - 15:00, SB-H2. RECORDING. Overheads. R code. WB1 WB2 WB3 WB4 WB5 WB6

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

Thursday 15/12 15:15 - 17:00

 

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Course summary:

Date Details Due