HT 2018 - Part A - Simulation and Statistical Programming |

Lecturers: Prof Robin Evans (Statistical Programming), Prof Julien berestycki (Simulation)

Class tutors: J. Berestycki / R. Evans / A. Caterini

Teaching Assistants: A. Caterini, L. Bozhilova

You will find on this webpage the slides and problem sheets regarding the Simulation part of the course. The material regarding Statistical Programming is available from Robin Evans's webpage.

Timetable

Week | Lecture Monday 2-3pm LG.01, 24-29 Saint-Giles' |
Computer Lab Wednesday 9-11am LG.02, 24-29 Saint-Giles' |
Problem class Mon. 3.30pm or Tue. 2pm or Wed. 2pm LG.04 24-29 Saint-Giles' |

1 | X | ||

2 | X | X | |

3 | X | X | X |

4 | X | ||

5 | X | X | X |

6 | X | X | |

7 | X | X | X |

8 | X | X | X |

Simulation lectures

- Lecture 1, Introduction and Monte Carlo method
- Lecture 2, Inversion method
- Lecture 3, Transformation methods
- Lecture 4, Rejection sampling
- Lecture 5, Importance sampling
- Lecture 6, Normalized importance sampling
- Lecture 7, Markov chain Monte Carlo
- Lecture 8, Metropolis-Hastings algorithm

See also the lecture notes of Geoff Nicholls (HT 2014).

Movie MCMC.

code R for MH image reconstruction.

code R for PS3.

Problem classes

Please hand in the solutions to the problem sheets by Friday of previous week at noon and send the R code by email, in a single well-commented R-script to the class TA.

Class allocation through the Chooser webtool on WebLearn until noon Wed. week 1.

- Problem Sheet 1 (due Friday 27/1, noon)
- Problem Sheet 2 (due Friday 9/2, noon)
- Problem Sheet 3 (due Friday 23/2, noon)
- Problem Sheet 4 (due Friday 2/3 March, noon)

Computer labs

Material on Robin Evan's course page.

Last update: 26 February 2016