MVE550 Stochastic processes and Bayesian inference Autumn 25
Course PM
This page contains the program of the course. Other information, such as learning outcomes, teachers, literature, examination, and old exams, can be found in a separate course PM.
Program
The schedule of the course is in TimeEdit and in the table below. Each week there are two or three lectures. There is also an exercise session, usually on Thursdays. Petter Mostad will have office hours on Fridays 10:00 - 11:45 (except on Friday 12/12).
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 before the lectures.
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 lectures roughly one week earlier, so you have time between the lecture and the exercise class to work on the exercises.
Lectures will not be recorded or streamed this year. However, recordings of lectures from 2024 are avaliable 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.
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. When answering these assignments it is of course not allowed to use AI tools. 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 "Assignment groups" 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, and get feedback, 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. If this happens, you must mail me with complete details about who is working on the assignments, and who is not. Submitting answers in the name of a group that contains members that have not contributed is otherwise a kind of cheating. Unfortunately, Canvas does not allow changes to groups that have already submitted answers.
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
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.
Lectures and exercise classes
| Contents | Study material | Meeting |
|---|---|---|
| Lecture 1: Introduction and review |
Dobrow Chapter 1 + Appendices A, B, C, D. |
Tuesday 4/11 13:15 - 15:00, HB2. |
| Lecture 2: Basics of Bayesian inference |
Compendium Chapter 1. |
Thursday 6/11 13:15 - 15:00, HC4. |
| Exercises |
Dobrow Chapter 1: 6, 9, 10, 14, 16, 20, 24, 30, 32, 35. |
Thursday 6/11 15:15 - 17:00, TP-L11 and TP-L20. |
| Office hours |
Ask questions to Petter Mostad |
Friday 7/11 10:00 - 11:45 in MVH3017 |
| Lecture 3: Markov chains |
Dobrow Chapter 2. |
Friday 7/11 13:15 - 15:00. HC4. |
| Lecture 4: Markov chains |
Dobrow Chapter 3. |
Tuesday 11/11 13:15 - 15:00, HB2. |
| Lecture 5: Markov chains |
Dobrow Chapter 3. |
Thursday 13/11 13:15 - 15:00, HC4. |
| Exercises |
Compendium Chapter 1: 3, 4, 6, 7. Dobrow Chapter 2: 2, 7, 10, 14, 16, 17, 18 |
Thursday 13/11 15:15 - 17:00. TP-L11 and TP-L20. |
| Office hours |
Ask questions to Petter Mostad |
Friday 14/11 10:00 - 11:45 in MVH3017 |
| Lecture 6: Branching processes |
Dobrow Chapter 4. |
Friday 14/11 13:15 - 15:00. HB2. |
| Lecture 7: MCMC |
Dobrow Chapter 5. |
Tuesday 18/11 15:15 - 17:00, HC4. |
|
Lecture 8: MCMC for Bayesian inference |
Dobrow Chapter 5. Compendium Chapter 2. |
Thursday 20/11 15:15 - 17:00. HC4. |
| Office hours |
Ask questions to Petter Mostad |
Friday 21/11 10:00 - 11:45 in MVH3017 |
| Exercises |
Dobrow Chapter 2: 20, 21, 22, 26. Chapter 3: 2, 5, 9, 14, 18, 22, 30, 35, 38, 41, 46, 64. |
Friday 21/11 13:15 - 15:00. TP-L11 and TP-L21 |
| Lecture 9: MCMC |
Lecture on MCMC and Bayesian inference. |
Tuesday 25/11 13:15 - 15:00, HC4. |
| Lecture 10: Poisson processes |
Dobrow Chapter 6. |
Thursday 27/11 13:15 - 15:00, HC4. |
| Exercises |
Dobrow Chapter 4: 2, 5, 6, 8, 12, 19, 20, 26, 29 |
Thursday 27/11 15:15 - 17:00. TP-L11 and TP-L20 |
| Office hours |
Ask questions to Petter Mostad |
Friday 28/11 10:00 - 11:45 in MVH3017 |
| Lecture 11: Poisson processes | Dobrow Chapter 6. |
Friday 28/11 13:15 - 15:00. HB2. |
| Lecture 12: Continuous-time Markov chains |
Dobrow Chapter 7. |
Tuesday 2/12 13:15 - 15:00, HC4. |
| Lecture 13: Bayesian parameter inference for stochastic processes |
Compendium Chapter 3. |
Thursday 4/12 13:15 - 15:00. HC4. |
| Exercises |
Dobrow Chapter 5: 2, 4, 5, 6, 8, 9, 18. Chapter 6: 2, 5, 8 |
Thursday 4/12 15:15 - 17:00. TP-L11 and TP-L20 |
| Office hours |
Ask questions to Petter Mostad |
Friday 5/12 10:00 - 11:45 in MVH3017 |
| Lecture 14: Continuous-time Markov chains |
Dobrow Chapter 7. |
Friday 5/12 13:15 - 15:00. HB2. |
| Lecture 15: Continuous-time Markov chains |
Dobrow Chapter 7. |
Tuesday 9/12 13:15 - 15:00. HC4. |
| Lecture 16: Brownian motion |
Dobrow Chapter 8. |
Thursday 11/12 13:15 - 15:00. HC4. |
| Exercises |
Compendium Chapter 3: 1, 2, 3, 4, 6. Dobrow Chapter 6: 10, 14, 16, 21, 24. Chapter 7: 1, 4, 5, 6, 12. |
Thursday 11/12 15:15 - 17:00. TP-L11 and TP-L20 |
| Lecture 17: Brownian motion | Dobrow Chapter 8. | Tuesday 16/12 13:15 - 15:00. HC4. |
| Lecture 18: Brownian motion |
Dobrow Chapter 8. |
Thursday 18/12 13:15 - 15:00. HC4. |
| Exercises |
Dobrow Chapter 7: , 14, 18, 20, 23, 26, 30, 34. Chapter 8: 6, 9, 16, 18, 19, 22, 25, 26, 29 |
Thursday 18/12 15:15 - 17:00. TP-L11 and TP-L20 |
| Office hours |
Ask questions to Petter Mostad |
Friday 19/12 10:00 - 11:45 in MVH3017 |
| Review |
Everything. |
Friday 19/12 13:15 - 15:00. HC4. |
| Exam |
|
Monday 12/1 8:30-12:30 |
Course summary:
| Date | Details | Due |
|---|---|---|