STATS305C: Applied Statistics III (Spring, 2022)

Overview

STATS305C: Applied Statistics III

Instructor: Scott Linderman
TA: Matt MacKay, James Yang
Term: Spring 2022
Stanford University


Course Description:

Probabilistic modeling and inference of multivariate data. Topics may include multivariate Gaussian models, probabilistic graphical models, MCMC and variational Bayesian inference, dimensionality reduction, principal components, factor analysis, matrix completion, topic modeling, and state space models. Extensive work with data involving programming, ideally in Python.

Prerequisites:

Students should be comfortable with probability and statistics as well as multivariate calculus and linear algebra. This course will emphasize implementing models and algorithms, so coding proficiency is required.

Logistics:

  • Time: Monday and Wednesday, 11:30am-1pm
  • Level: advanced undergrad and up
  • Grading basis: credit or letter grade
  • Office hours:
    • Monday 1-2pm (Scott)
    • Tuesday 5:30-7pm in Bowker, Room 207, Sequoia Hall and over Zoom (Matt)
    • Friday 1-2:30pm Zoom (James)
  • Final evaluation: Exam

Books

  • Bishop. Pattern recognition and machine learning. New York: Springer, 2006. link
  • Murphy. Probabilistic Machine Learning: Advanced Topics. MIT Press, 2023. link
  • Gelman et al. Bayesian Data Analysis. Chapman and Hall, 2005. link

Assignments

Schedule

Week 1 (3/28 & 3/30): Multivariate Normal Models and Conjugate Priors

  • Required Reading: Bishop, Ch 2.3
  • Optional Reading: Murphy, Ch 2.3 and 3.2.4

Week 2 (4/4 & 4/6): Hierarchical Models and Gibbs Sampling

  • Required Reading: Bishop, Ch 8.1-8.2 and 11.2-11.3
  • Optional Reading: Murphy, Ch 3.5.2, 4.2, and 11.1-11.3
  • Optional Reading: Gelman, Ch 5

Week 3 (4/11 & 4/13): Continuous Latent Variable Models and HMC

  • Required Reading: Bishop, Ch 12.1-12.2
  • Required Reading: MCMC using Hamiltonian dynamics Neal, 2012

Week 4 (4/18 & 4/20): Mixture Models and EM

  • Required Reading: Bishop, Ch 9
  • Optional Reading: Murphy, Ch 6.7

Week 5 (4/25 & 4/27): Mixed Membership Models and Mean Field VI

  • Required Reading: "Probabilistic topic models" Blei, 2012
  • Required Reading: "Variational Inference: A Review for Statisticians” Blei et al, 2017
  • Optional Reading: Murphy, Ch 10.2

Week 6 (5/2 & 5/4): Variational Autoencoders and Fixed-Form VI

  • Required Reading: “An Introduction to Variational Autoencoders” (Ch 1 and 2) Kingma and Welling, 2019
  • Optional Reading: Murphy, Ch 10.3

Week 7 (5/9 & 5/11): State Space Models and Message Passing

  • Required Reading: Bishop, Ch 13
  • Optional Reading: Murphy, Ch 8

Week 8 (5/16 & 5/18): Bayesian Nonparametrics and more MCMC

Weeks 9 and 10: Research Topics in Probabilistic Machine Learning

  • TBD
Owner
Scott Linderman
I'm an assistant professor at Stanford University. I work in machine learning and computational neuroscience.
Scott Linderman
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