Department of Information Technology

Sequential Monte Carlo methods

Schedule & Material

Lectures

Most of the scheduled time will consist of traditional lectures. Slides will be provided via this page, but note that the blackboard will be used quite extensively as well.

Practicals

Each day, a few hours of practical sessions are also scheduled. Assistants will be available to help you with the exercises and hand-in assignments during these sessions. A large share of the problems will be on implementation, so please bring your own laptop with a suitable language of your choice installed (e.g., Python, Julia, R, Matlab, ...). (Note! You will probably need to spend more time than the scheduled sessions to complete the assignments.)

Thursday (24/8)

Time Room Type Topic(s) Material
9.15-12.00 Hambergsalen, Geocentrum Lecture 1-3 1. Introduction and probabilistic modelling; 2. Probabilistic modelling of dynamical systems and the filtering problem; 3. Monte Carlo and importance sampling Le1, Le2, Le3
Lunch
13.15-15.00 Hambergsalen, Geocentrum Lecture 4-5 4. The bootstrap particle filter; 5. Convergence of bootstrap PF Le4, Le5
15.15-17.00 Norrland I & II, Geocentrum Practicals Preparatory problems, Exercises set I

Friday (25/8)

Time Room Type Topic(s) Material
9.15-12.00 Hambergsalen, Geocentrum Lecture 6-8 6. Auxiliary variables and the auxiliary PF; 7. the fully adapted PF; 8. Path space view, path degeneracy and ESS Le6, Le7, Le8
Lunch
13.15-15.00 Hambergsalen, Geocentrum Lecture 9-10 9. Parameter learning and likelihood estimation; 10. The particle filter as a likelihood estimator Le9, Le10
15.15-17.00 Norrland I & II, Geocentrum Practicals Exercises set II

Saturday (26/8)

Social activity. More information later.

Monday (28/8)

Time Room Type Topic(s) Material
9.15-12.00 Room I and XI, University main building Practicals Exercises set III
Lunch
13.15-17.00 Room IV, University main building Lecture 11-14 11. Metropolis-Hastings; 12. Particle Metropolis-Hastings; 13. Gibbs sampling; 14. Particle Gibbs Le11, Le12, Le13, Le14, MwG example

Tuesday (29/8)

Time Room Type Topic(s) Material
9.15-11.00 Room I and XI, University main building Practicals Exercises set IV
11.15-13.00 Room IV, University main building Lecture 15-16 15. General SMC; 16. SMC samplers Le15, Le16, SMC sampler notes
Late lunch
15.15-17.00 Room IV, University main building Lecture 17-18 17. SMC for probabilistic programming; 18. High-dimensional SMC Le17, Le18
Updated  2017-09-28 11:38:39 by Andreas Svensson.