Lecture 1: Introduction, Quadrature, Crude Monte Carlo, Importance Sampling, Cross Entropy Method Preliminaries
- Video recordings: Part 1, Part 2
- Lecture slides: as Jupyter notebook, as Jupyter slideshow
- Quiz 1: pdf, solution
Lecture 2: Cross Entropy Method for Rare Event Estimation and Optimization, Acceptance-Rejection algorithm, Markov Chain Preliminaries
- Video recordings: Part 1, Part 2
- Lecture slides: as Jupyter notebook, as Jupyter slideshow
- Quiz 2: pdf, solution
- A note on the cross-entropy method to help with quiz 2: pdf.
Lecture 3: Markov Chain Monte Carlo (MCMC), Improved Cross Entropy Method
- Video recordings: Part 1, Part 2
- Lecture slides: as Jupyter notebook, as Jupyter slideshow
- Quiz 3: pdf, solution
Lecture 4: MCMC Details, and some Machine Learning Overview.
- Video recordings: Part 1, Part 2
- Lecture slides: as Jupyter notebook, as Jupyter slideshow
Course materials from 2020.