[See also the evolving lecture notes and supplementary files, to be updated after each lecture.]This course will explore Monte Carlo algorithms, which use randomness to estimate difficult high-dimensional quantities. Topics will include Monte Carlo integration, the rejection sampler, importance sampling, and Markov chain Monte Carlo (MCMC) methods such as the Metropolis algorithm, the Metropolis-Hastings algorithm, variable-at-a-time MCMC, tempered MCMC, and simulated annealing. As time permits, it might also include transdimensional MCMC, applications of MCMC to Bayesian inference and financial modeling, theoretical justification and analysis of MCMC algorithms, and/or adaptive MCMC techniques. The course will involve a combination of methodological considerations, mathematical analysis, and computer programming.
Instructor: Professor Jeffrey S. Rosenthal, Department of Statistics, University of Toronto. Sidney Smith Hall, room 5016B; phone (416) 978-4594; http://probability.ca/jeff/; firstname.lastname@example.org
Time: Wednesdays 11:10 - 1:00, and Fridays 11:10 - 12:00. First class Jan 13. Last class Feb 26. No class Feb 17 & 19 (Reading Week).
Location: Room 1080 of Sidney Smith Hall (building "SS" on campus map).
Note: This course lasts only six weeks, and counts for only a quarter credit.
Course Web Page: Visit probability.ca/sta4502 for course information and materials.
Prerequisites: Knowledge of statistical inference and probability theory at the advanced undergraduate level, and familiarity with basic computer programming techniques. Students other than Stat Dept graduate students should e-mail the instructor to request permission to enrol.
40% Test, on Wed Feb 24 at 11:10-1:00 in SS 1073;
60% Homework, due on Fri Feb 26 at 11:15 sharp.
Computing: Students will be required to write computer programs for this course. The default computer language is "R", which is freely available and is designed for statistical computation (more information is available at probability.ca/Rinfo.html). However, the instructor may also present some examples in other computer languages (e.g. C, Java), and some other languages may (with prior permission) be accepted on the assignments.
Last Date to Enrol in [Add] this Course: Monday Jan 18.
Last Date to Drop this Course: Monday Feb 1.
References: There is no required textbook, but much of the material to be covered is discussed in various sources (plus the instructor will provide rough lecture notes online). The book closest to this course is probably: