University Subjects

MATH3871: Bayesian Inference and Computation

MATH3871: Bayesian Inference and Computation

University
University of New South Wales
Subject Link
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Subject Reviews

Opengangs

2 years ago

Assessment
- 2 x class tests (35%; 15% and 20%).
- 5 x quizzes (5%; 1% each).
- Final exam (60%)
Assumed Knowledge
The official prerequisite is MATH2801 or MATH2901. The content on law of large numbers will be pertinent for the discussion of the theory of Monte Carlo methods.
Comments
A fantastic and highly practical course that shies away from classical statistics. The course is split into two major themes: the theory of Bayesian inference, and the practicality of implementing Monte Carlo methods which is arguably the most important aspect of the course. There is equal weighting between the theory and the practical component so you should familiarise yourself with both aspects of the course. And in fact, the way to understand the theory is to understand what you're implementing when you're in the labs. This was how I understood the Monte Carlo methods. The assessments were relevant to the lecture content and the lecture slides were more than sufficient to do well in the course. However, because the tutorial and the lecture slots were so packed together (lecture was 7-9PM on a Tuesday evening and the tutorial was 9AM on a Wednesday morning), I often found myself not having any time to complete the tutorial problems until the first week of stuvac. In short, I basically learned how to do each of the problems without attempting it first during the tutorial.
In saying that, if you need an elective and don't mind the challenge to learn something interesting, I would recommend this course. Just don't neglect either the coding or the theory, and you'll be fine.
Contact Hours
- 2 hour lecture
- 1 hour tutorial
- 1 hour lab
Difficulty
3.5/5
Lecture Recordings?
Yes.
Lecturer(s)
Dr. Clara Grazian
Notes / Materials Available
Lecture slides are sufficient.
Overall Rating
4/5
Textbook
None prescribed.
Year & Trimester Of Completion
2021 Term 3
Your Mark / Grade
92 HD.

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RuiAce

5 years ago

Assessment
- 20% Group Assignment
- 15% Individual Assignment
- 5% Class Participation (not too hard to get)
- 60% Final Exam
Assumed Knowledge
MATH2801 or MATH2901, but the latter is seriously recommended. (Apparently the lecturer was told by someone that MATH2931 was also a prerequisite when it was not, but fortunately he kept the 2931 content minimal. Although even if not mandatory, MATH2931 is still helpful.)
Comments
This is one of the third year electives for a Statistics major. Completion of this course along with the three core gets accreditation with the Statistics Society of Australia.

Bayesian inference stems from a probabilistic approach of inference - it literally falls out of Bayes rule. In the classical frequentist approach, parameters to be estimated were fixed, but Bayesian approaches treat the parameter itself as a random variable, consequently invoking lots more probabilistic techniques (credible intervals, hypothesis tests, expectation of the parameter, predictive distribution etc.)

This course also introduced simulation techniques. Basic methods (inverse transform, accept/reject method) were covered but there was a lot of depth put into Markov-chain Monte Carlo.

The computations in this course are quite interesting. On one hand, some of them are fairly straightforward thanks to the shortcuts you're introduced in weeks 1 and 2. But then at other times they get completely chaotic and it feels a bit like a war trying to fight through all of it (cough Bayes factors). A part of the course was recognising distributions, because that helped you simplify down nasty integrals (including multivariate integrals).
Those tricks were so convenient though. Trivialised pretty much half of the computations you saw in this course.

The simulations were examined through making you do a few computations in advance and also writing pseudocode. For example, with the usual rejection sampling you had to understand high school optimisation to find the optimal enveloping constant. But you pretty much just had to adapt your distributions/values/etc. to the algorithm itself to write out the pseudocode, and there was no strict style guide for it either.

Much like with combinatorics last sem, I found I actually liked this course despite having various difficult concepts. It helped that the tutorials/assignments/exam were all made fairer by the new lecturer (this course used to be a 5/5 difficulty course). But it was still pretty easy to get lost in the lectures because the lecture examples were much harder to grasp (a lot of multivariate computations).

You did need to know all the definitions, techniques and tricks the course teaches you to do well in the exam. A bit of all of that was asked.
Contact Hours
2 hours of lecture, 1 hour of tutorial, 1 hour of laboratory
Difficulty
3.5/5
Lecture Recordings?
Mostly yes - at times Zdravko used the whiteboard, but not frequently.
Lecturer(s)
Dr. Zdravko Botev
Notes / Materials Available
Lecture slides (+ notes for the MCMC section) and tutorial/lab exercises provided, but that was it. Felt insufficient, but it seemed to be fine - you just had to be able to redo the tutorial exercises.
Overall Rating
4.5/5
Textbook
Statistical Modeling and Computation, D.P. Kroese and J.C.C. Chan, Springer, 2014. Was not necessary but it was still a decent textbook.
Also provided was Handbook of Monte Carlo Methods, D.P. Kroese, T. Taimre, Z. Botev - had some helpful techniques included.
Year & Semester / Trimester Of Completion
18 s2
Your Mark / Grade
92 HD

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