Schedule & Material
The scheduled is preliminary and the order of lectures/practicals can (and will) change. The slides for the lectures and exercise sheets will be uploaded closer to the course start.
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.
Monday (26/8)
| Time | Room | Type | Topic(s) | Material |
|---|---|---|---|---|
| 9.15-12.00 | Room IX , University main building |
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 on your own | ||||
| 13.15-15.00 | Room IX, University main building |
Lecture 4-5 | 4. The bootstrap particle filter; 5. Convergence of bootstrap PF | Le4 Le5 |
| 15.15-17.00 | Room VIII and Room XI, University main building |
Practicals |
Tuesday (27/8)
| Time | Room | Type | Topic(s) | Material |
|---|---|---|---|---|
| 9.15-12.00 | Room IX, University main building |
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 on your own | ||||
| 13.15-15.00 | Room VIII and Room XI, University main building |
Practicals | ||
| 15.15-17.00 | Room IX, University main building |
Lecture 9-10 | 9. Parameter learning and likelihood estimation; 10. The particle filter as a likelihood estimator | Le9 Le10 |
Wednesday (28/8)
| Time | Room | Type | Topic(s) | Material |
|---|---|---|---|---|
| 10.15-12.00 | Room IV, University main building |
Practicals | ||
| Lunch on your own | ||||
| 13.15-15.00 | Room IV, University main building |
Practicals |
Thursday (29/8)
| Time | Room | Type | Topic(s) | Material |
|---|---|---|---|---|
| 9.15-12.00 | Room IX, University main building |
Lecture 11-13 | 11. Metropolis-Hastings; 12. Particle Metropolis-Hastings; 13. Gibbs sampling | Le11 Le12 Le13 Code le13
|
| Lunch on your own | ||||
| 13.15-15.00 | Room IX, University main building |
Lecture 14-15 | 14. Particle Gibbs; 15. General SMC | Le14 Le15 |
| 15.15-17.00 | Room VIII and Room XI, University main building |
Practicals |
Friday (30/8)
| Time | Room | Type | Topic(s) | Material |
|---|---|---|---|---|
| 9.15-12.00 | Eva Netzeliussalen, Blåsens Hus |
Lecture 16-18 | 16. SMC samplers; 17. SMC for probabilistic programming Jan Kudlicka; 18. Guest lecture by Fredrik Ronquist. |
Le16 Le17 |
| Lunch on your own |