M1399_000100-2021spring
M1399.000100 Computational Statistics @ SNU 2021
This is the course website for M1399.000100: “Computational Statistics” at Seoul National University in Spring 2021. Assignments, lecture notes, and open source code will all be available on this website.
Announcements
- 2021-05-28: Homework 4 has been posted.
- 2021-05-22: Homework 3 deadline has been extended to 2021-05-26
- 2021-04-14: Lecture notes for “iterative methods for linear systems” has been updated.
- 2021-04-14: Hint for Homework 2 Q3-4 has been revised.
Instructor
Joong-Ho (Johann) Won
Email: wonj AT stats DOT snu DOT ac DOT kr
Class Time: Mondays/Wednesdays 15:30 - 16:45 @ online
Office Hours: By appointment.
Textbook:
- 심송용. 통계계산. 교문사, 2006.
References:
- G.H. Givens and J.A. Hoeting. Computational Statistics (2ed). Wiley, 2013.
- N. Matloff. The Art of R Programming. No Starch Press, 2011.
Course Objectives
최근 수십년 간의 컴퓨터 기술의 발전으로 인해 이전에는 쉽게 상상할 수 없었던 복잡한 통계모형들을 통계분석에서 실제로 사용할 수 있게 되었다. 따라서 현대의 복잡하고 다양한 통계모형들을 사용하기 위해서는 컴퓨터를 이용한 여러 가지 통계계산 방법들을 습득하는 것이 필수불가결한 과제가 되었다. 이 과목에서는 모수론적 통계와 베이지안 통계에 필요한 통계계산 방법들을 배우고 이를 실제 컴퓨터로 구현해 보는 것을 목표로 한다. 이 과목에서 배우는 내용은 크게 다음과 같다.
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우도함수의 최적화 방법 – 행렬방정식의 수치적 해법, 최소제곱법, 비선형방정식
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수치적분 – 결정론적 및 몬테카를로 방법
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분포함수로부터의 난수 생성
Course Overview
Assessment
The course will be graded based on the following components:
- Attendance (4%): Mandatory.
- Assignments (46%): You will be assigned 4 homework assignments to be completed using R regularly throughout class.
- Final exam (50%): tentatively scheduled on 6/9 (Wed)
Schedule
The following schedule is tentative, and is subject to change over the course.
| Week | Topic | Textbook Chapter | Assignment | Due Date |
|---|---|---|---|---|
| 1 (3/2) | Computer Arithmetic [notebook]  |
- | Homework 1 | 2021-03-28 |
| 2 (3/8, 3/10) | Computer Arithmetic | - | ||
| 3 (3/15, 3/17) | Direct methods for linear systems: LU decomposition [notebook] [example] |
2장 | ||
| 4 (3/22, 3/24) | Direct methods for linear systems: LU decomposition | 2장 | ||
| 5 (3/29, 3/31) | Direct methods for linear systems: Cholesky decomposition [notebook] |
2장 | Homework 2 [pdf] | 2021-04-25 |
| 6 (4/5, 4/7) | Direct methods for least squares: QR decomposition [notebook] |
6장 | ||
| 7 (4/12, 4/14) | Iterative methods for linear systems [notebook] |
6장 | ||
| 8 (4/19, 4/21) | Iterative methods for linear systems | 3장 | ||
| 9 (4/26, 4/28) | Solving nonlinear equations [notebook] |
3장 | Homework 3 [pdf] | |
| 10 (5/3) | Optimization [notebook] |
4장 | ||
| 11 (5/10, 5/12) | Optimization | 4장 | ||
| 12 (5/17) | Numerical integration [notebook] |
- | ||
| 13 (5/24, 5/26) | Random number generation [notebook] |
8장 | Homework 4 [pdf] | 2021-06-13 |
| 14 (5/31, 6/2) | Monte Carlo integration [notebook] |
9장 | ||
| 15 (6/7, 6/9) | Monte Carlo integration | |||
| 16 (6/14) | Final Exam |