M1399.000100 Computational Statistics @ SNU 2022
This is the course website for M1399.000100: “Computational Statistics” at Seoul National University in Spring 2022. Assignments, lecture notes, and open source code will all be available on this website.
Announcements
- 2022-04-29 Homework 3 has been posted.
- 2022-04-01 Lecture notes on LU decomposition has been slightly updated.
- 2022-04-01 Homework 2 has been posted.
- 2022-03-18 Lecture notes on Computer Arithmetic has been updated.
- 2022-03-11 There was a typo in Q2-1 of HW1. Please check the fixed version.
- 2022-03-04 Homework 1 has been posted.
Instructor
Joong-Ho (Johann) Won
Email: wonj AT stats DOT snu DOT ac DOT kr
Class Time: Mondays/Wednesdays 9:30 - 10:45
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 | 2022-03-27 |
| 2 (3/7, 3/9) | Computer Arithmetic | - | ||
| 3 (3/14, 3/16) | Direct methods for linear systems: LU decomposition [notebook] [example] |
2장 | ||
| 4 (3/21, 3/23) | Direct methods for linear systems: LU decomposition | 2장 | ||
| 5 (3/28, 3/30) | Direct methods for linear systems: Cholesky decomposition [notebook] |
2장 | Homework 2 | 2022-04-24 |
| 6 (4/4, 4/6) | Direct methods for least squares: QR decomposition [notebook] |
6장 | ||
| 7 (4/11, 4/13) | Iterative methods for linear systems [notebook] |
6장 | ||
| 8 (4/18, 4/20) | Solving nonlinear equations [notebook] |
3장 | ||
| 9 (4/25, 4/27) | Optimization [notebook] |
4장 | Homework 3 | 2022-05-25 |
| 10 (5/2, 5/4) | Optimization | 4장 | ||
| 11 (5/9, 5/11) | Numerical integration [notebook] |
5장 | ||
| 12 (5/16, 5/23) | Numerical integration | 5장 | ||
| 13 (5/30, 6/8) | Random number generation [notebook] |
8장 | Homework 4 [pdf] | 2022-06-19 |
| 14 (6/8) | Monte Carlo integration [notebook] |
9장 | ||
| 15 (6/13, 6/15) | Monte Carlo integration | |||
| 16 (6/20) | Final Exam |