140.778.01 ADVANCED STATISTICAL COMPUTING

Covers the theory and application of common algorithms used in statistical computing. Topics include root finding, optimization, numerical integration, Monte Carlo, Markov chain Monte Carlo, stochastic optimization and bootstrapping. Some specific algorithms discussed include: Newton-Raphson, EM, Metropolis-Hastings algorithm, Gibbs sampling, simulated annealing, Gaussian quadrature, Romberg integration, etc. Also discusses applications of these algorithms to real research problems.

Upon successfully completing this course, students will be able to: 1) describe common deterministic statistical algorithms, such as root finding, numerical integration methods, Newton-Raphson, quasi-Newton methods, EM; 2) describe common stochastic algorithms used in statistics, such as Monte Carlo methods, Markov Chain Monte Carlo, stochastic optimization, Gibbs sampling, Metropolis-Hastings method; 3) understand mathematical properties of common statistical algorithms; 4) implement statistical algorithms using a high-level statistical programming language.