HT 2017 - Part A - Simulation and Statistical Programming |

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

Class tutors: J. Berestycki / R. Evans

Teaching Assistants: C. Gill and A. Homer

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.

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You can register for classes here:
Doodle poll
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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 Thursday 10-11am or 12-1pm 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 Monday at noon before the class and send the R code by email, in a single well-commented R-script to alexander.homer@wolfson.ox.ac.uk (9am class) or christopher.gill@dtc.ox.ac.uk(10am class).

Class allocation details are on Minerva (accessible from Oxford University network).

- Problem Sheet 1 (due Monday 30 Jan, noon)
- Problem Sheet 2 (due Monday 13 Feb, noon)
- Problem Sheet 3 (due Monday 27 Feb, noon)
- Problem Sheet 4 (due Monday 6 March, noon)

Computer labs

Material on Robin Evan's course page.

Last update: 26 February 2016