M1399.000100 Computational Statistics @ SNU 2023
This is the course website for M1399.000100: “Computational Statistics” at Seoul National University in Spring 2023. Assignments, lecture notes, and open source code will all be available on this website.
Announcements
- 2023-03-26: Lecture note #2 has been update.
- 2023-03-19: Homework 1 assigned via Github Classroom. Deadline is now 2023-03-30.
- 2023-03-12: Homework 0 assigned via Github Classroom.
Instructor
Joong-Ho (Johann) Won
Email: wonj AT stats DOT snu DOT ac DOT kr
Class Time and classroom: TTh 15:30 - 16:45, 24-101
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
The development of computer technology in recent decades has made it possible to use complex statistical models in statistical analysis that were previously unimaginable in practice. Therefore, in order to use modern complex and diverse statistical models, it has become indispensable to learn various statistical computing methods using computers. In this course, you will learn statistical computing methods for parametric and Bayesian statistics and implement them on a computer. This course covers the following topics:
- Computer arithmetic
- Computation in linear models – numerical solution of matrix equations, least squares.
- Optimization methods for likelihood functions – nonlinear equations, Newton’s method, gradient descent.
- Numerical integration – deterministic and Monte Carlo methods
- Random number generation from distribution functions
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 | Git and Github, Computer Arithmetic  |
- | Homework 0 | 2023-03-17 |
| 2 | Computer Arithmetic [github] | - | Homework 1 | 2023-03-30 |
| 3 | Direct methods for linear systems: LU decomposition |
2장 | ||
| 4 | Direct methods for linear systems: LU decomposition [github] | 2장 | ||
| 5 | Direct methods for linear systems: Cholesky decomposition [github] |
2장 | Homework 2 | 2023-04-23 |
| 6 | Direct methods for least squares: QR decomposition [github] |
6장 | ||
| 7 | Iterative methods for linear systems [github] |
6장 | ||
| 8 | Solving nonlinear equations [github] |
3장 | ||
| 9 | Optimization [github] | 4장 | Homework 3 | 2023-05-14 |
| 10 | Optimization | 4장 | ||
| 11 | Numerical integration [github] | 5장 | ||
| 12 | Numerical integration | 5장 | ||
| 13 | Random number generation | 8장 | Homework 4 | 2023-06-11 |
| 14 | Monte Carlo integration | 9장 | ||
| 15 | Final Exam |