M1399_000200-2021fall

Advanced Statistical Computing @ Seoul National University, 2021

M1399.000200 Advanced Statistical Computing @ SNU 2021

This is the course website for M1399.000200: “Advanced Statistical Computing “ at Seoul National University in Fall 2021. Assignments, lecture notes, and open source code will all be available on this website.

Announcements

Instructor

Joong-Ho (Johann) Won

Email: wonj AT stats DOT snu DOT ac DOT kr

Class Time: Mondays/Wednesdays 11:00 - 12:15 @ online

Office Hours: By appointment.

Textbook: There is no required textbook.

References:

Course Objectives

By the end of this course, you will be able to acquire

Course Overview

Assessment

The course will be graded based on the following components:

Schedule

The following schedule is tentative, and is subject to change over the course.

Week Topic Assignment Due Date
1 (9/1) Introduction, Julia Intro I [notebook] Jupyter [notebook], Plotting [notebook]  
2 (9/6, 9/8) Julia Intro II [notebook] Homework 1 [notebook] 2021-09-26
3 (9/13, 9/15) Computer Arithmetic [notebook]    
4 (9/20, 9/22) Computer Arithmetic [notebook], Algorithm [notebook]    
5 (9/27, 9/29) Numerical Linear Algebra: intro [notebook], triangular systems [notebook] Homework 2 [notebook] 2021-10-21
6 (10/4, 10/6) LU decomposition [notebook] [example], Cholesky [notebook]    
7 (10/11, 10/13) QR decomposition [notebook] Final Project Proposal 2021-10-28
8 (10/18, 10/20) Linear regression [notebook], Iterative methods [notebook]    
9 (10/24, 10/27) Eigenvalue and singular value decompositions [notebook] Homework 3 [notebook] 2021-11-16
10 (11/1, 11/3) Introduction to mathematical optimization, Optimization in Julia [notebook]    
11 (11/8, 11/10) Linear programming [notebook]    
12 (11/15, 11/17) Quadratic programming [notebook], Second-order cone programming [notebook], Semidefinite programming [notebook]    
13 (11/22, 11/24) Geometric programming [notebook], KKT conditions Homework 4 [notebook] [corrupted image] 2021-12-13
14 (11/29, 12/1) Newton’s method I [notebook], MM algorithms, First-order methods    
15 (12/6, 12/8) Newton’s method II, Final Projects    
16 (12/13) Final Projects