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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

  • 2021-04-14: 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.

  • 우도함수의 최적화 방법 – 행렬방정식의 수치적 해법, 최소제곱법, 비선형방정식

  • 수치적분 – 결정론적 및 몬테카를로 방법

  • 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] Binder - 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] Binder 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] binder 2장 Homework 2 [pdf] 2021-04-25
6 (4/5, 4/7) Direct methods for least squares: QR decomposition [notebook] Binder 6장
7 (4/12, 4/14) Iterative methods for linear systems [notebook] Binder 6장
8 (4/19, 4/21) Iterative methods for linear systems 3장
9 (4/26, 4/28) Solving nonlinear equations [notebook] Binder 3장 Homework 3 [pdf] 2021-05-23
10 (5/3) Optimization [notebook] Binder 4장
11 (5/10, 5/12) Optimization 4장
12 (5/17) Numerical integration -
13 (5/24, 5/26) Random number generation 8장 Homework 4 2021-06-13
14 (5/31, 6/2) Monte Carlo integration 9장
15 (6/7, 6/9) Final Exam
16 (6/14) Homework 4 Due

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Computational Statistics @ SNU 2021

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