Monte Carlo Simulation for Statistical Inference, Model Selection and Decision Making
published: March 13, 2008, recorded: March 2008, views: 152013
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Description
The first part of his course will consist of two presentations. In the first presentation, he will introduce fundamentals of Monte Carlo simulation for statistical inference, with emphasis on algorithms such as importance sampling, particle filtering and smoothing for dynamic models, Markov chain Monte Carlo, Gibbs and Metropolis-Hastings, blocking and mixtures of MCMC kernels, Monte Carlo EM, sequential Monte Carlo for static models, auxiliary variable methods (Swedsen-Wang, hybrid Monte Carlo and slice sampling), and adaptive MCMC. The algorithms will be illustrated with several examples: image tracking, robotics, image annotation, probabilistic graphical models, and music analysis.
The second presentation will target model selection and decision making problems. He will describe the reversible-jump MCMC algorithm and illustrate it with application to simple mixture models and nonlinear regression with an unknown number of basis functions. He will show how to apply this algorithm to general Markov decision processes (MDPs). The course will also cover other Monte Carlo simulation methods for partially observed Markov decision processes (POMDPs) using policy gradients, common random number generation, and active exploration with Gaussian processes. An outline to some applications of these methods to robotics and the design of computer game architectures will be given. The presentation will end with the problem of Monte Carlo simulation for Bayesian nonlinear experimental design, with application to financial modeling, robot exploration, drug treatments, dynamic sensor networks, optimal measurement and active vision.
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Reviews and comments:
Good presentation. The cameraman is sleepy
Excellent... Prof.'s Examples are really useful and make us easy to apply in real time
Where are the other 3 lectures?
There are altogether 6 videos in this lecture. Only three of them have been sent directly from the event. The other three will be published once we get the tapes from Australia - probably within a week or so.
Very good lecture. Thank You. I'm also interested in the other 3 lecutres, but they are not published yet app. one month later. Is there still an chance to get them ?
Excellent teacher!
The lecture from Nando de Freitas is now complete.
Awesome cameraman! He worked very hard to always be in the lecture theater and delivered us good quality video lectures which will not be possible without the joint effort of videolectures.net team. Thanks so much for the great work, guys!
Very good
why only no.2, 3, 4 available??
good course but how can I download these videos?
The slides in the PDF don't match the slides in the lecture. For example, the slide in the video at 32.00 is not in the PDF.
That was very Good...
But could any one help me downloading this video???
i.e.How to download this video??
VERY Goooooooooooooooooood !
Very nice presentation, You are very good Nando ! Thanks
Inappropriate see-through shirt..
He shouldn't come to class in gym clothing
This guy is doing a striptease rather than teaching showing of his body biceps ... ridiculous
I developed a risk analysis tool called Statscorer which allows do to Monte Carlo simulations within Excel and in-depth stochastic modeling, while remaining very simple.
You can download a 15-day evaluation version freely (no personal information required).
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Bye
what's with the gun show ?
Is there anyway that i can download .m file (MATLAB) to understand it further? Eg. for Rejection Sampling or SIR etc. etc. used in these lectures?
Thank's for putting the presentation online. It's great. I am not able to watch it online in a go. So, can you provide the link to download following video lectures
Markov Chain Monte Carlo Methods
author: Christian Robert, Paris Dauphine University
Monte Carlo Simulation for Statistical Inference, Model Selection and Decision Making
author: Nando de Freitas, Department of Computer Science, University of British Columbia
I was not expecting that this video lecture are so good.
Thank you.
Amazing! thank you :)
I wish I had .m codes
Fire the camera man. The lecture was great. thanks
Nice Videos on MCMC methods.Can you please make the .m codes available.
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This talk focuses on the development of a machine-learning model that can generate computer code for tasks such as image recognition and natural language processing. The model does this by analyzing vast amounts of code from online repositories like GitHub and StackOverflow, learning statistical patterns, and then generating new code based on those patterns.
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The course you described seems to cover a wide range of topics related to Monte Carlo simulation and its applications in various fields. Here's a breakdown of the key concepts and applications mentioned in the presentations:
First Presentation:
Fundamentals of Monte Carlo Simulation: This part of the course will introduce the basics of Monte Carlo simulation for statistical inference. It will likely cover the principles and underlying theory of Monte Carlo methods.
Importance Sampling: This algorithm is commonly used in Monte Carlo simulations to estimate properties of a target distribution by sampling from an alternate distribution.
Particle Filtering and Smoothing for Dynamic Models: Particle filtering and smoothing methods are used to estimate the hidden states of a dynamic system based on observed measurements.
Markov Chain Monte Carlo (MCMC): MCMC methods are widely used for sampling from complex probability distributions. The presentation will likely cover concepts such as Gibbs sampling and the Metropolis-Hastings algorithm.
Blocking and Mixtures of MCMC Kernels: These techniques are used to improve the efficiency and mixing properties of MCMC algorithms by combining different sampling kernels.
Monte Carlo EM: Monte Carlo EM is an extension of the Expectation-Maximization algorithm that uses Monte Carlo techniques to handle missing data or complex latent variable models.
Sequential Monte Carlo for Static Models: Sequential Monte Carlo, also known as particle filtering, is used for inference in models where data arrives sequentially over time.
Auxiliary Variable Methods: This part will cover various auxiliary variable methods in Monte Carlo simulation, such as Swendsen-Wang, hybrid Monte Carlo, and slice sampling.
Adaptive MCMC: Adaptive MCMC algorithms dynamically adjust the proposal distribution to improve sampling efficiency.
Second Presentation:
Model Selection and Decision Making Problems: This part will focus on techniques for model selection and decision making using Monte Carlo methods.
Reversible-Jump MCMC: The reversible-jump MCMC algorithm is a technique used for model selection in situations where the number of model parameters is unknown or can change.
Application to Mixture Models and Nonlinear Regression: The reversible-jump MCMC algorithm will be illustrated with its application to simple mixture models and nonlinear regression problems.
General Markov Decision Processes (MDPs): The presentation will cover how to apply the reversible-jump MCMC algorithm to general MDPs, which are used to model decision-making processes under uncertainty.
Partially Observed Markov Decision Processes (POMDPs): Monte Carlo simulation methods for POMDPs, including policy gradients, common random number generation, and active exploration with Gaussian processes, will be discussed.
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This is a YouTube lecture by Alex Freitas about assembly language programming. Assembly language is a low-level programming language that directly represents the machine instructions of a CPU. The lecture covers the basics of assembly language, including instruction formats, addressing modes, and memory access. Alex Freitas is a great lecturer and makes the subject matter interesting and accessible. I believe that this video lecture would be a valuable resource for anyone interested in learning about assembly language or CPU architecture. The lecture is well-organised and covers all the essential topics, making it an excellent resource for beginners and seasoned professionals alike. Overall, I would highly recommend this lecture to anyone interested in assembly language and CPU architecture.
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The course will be divided into two presentations, with the first focusing on the fundamentals of Monte Carlo simulation for statistical inference. The instructor will cover various algorithms such as importance sampling, particle filtering, smoothing for dynamic models, Markov chain Monte Carlo (MCMC), Gibbs and Metropolis-Hastings, blocking, mixtures of MCMC kernels, Monte Carlo EM, sequential Monte Carlo for static models, and auxiliary variable methods like Swendsen-Wang, hybrid Monte Carlo, and slice sampling. The algorithms will be demonstrated using practical examples in areas like image tracking, robotics, image annotation, probabilistic graphical models, and music analysis. https://www.paramountsealcoating.com/...
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