Bayesian Computing Course
Material for course on Bayesian Computation
Setup
This tutorial assumes that you have Anaconda (Python 3.7) setup and installed on your system. If you do not, please download and install Anaconda on your system before proceeding with the setup.
The next step is to clone or download the tutorial materials in this repository. If you are familiar with Git, run the clone command:
git clone https://github.com/fonnesbeck/Bayes_Computing_Course.git
otherwise you can download a zip file of its contents, and unzip it on your computer.
The repository for this tutorial contains a file called environment.yml that includes a list of all the packages used for the tutorial. If you run:
conda env create
from the main tutorial directory, it will create the environment for you and install all of the packages listed. This environment can be enabled using:
conda activate bayes_course
Then, you can start JupyterLab to access the materials:
jupyter lab
The binder link above should also provide a working environment.
Pre-course Work
In advance of the course, we would like attendees to complete a short homework notebook that will ensure everyone has the requisite baseline knowledge. You can find this Jupyter notebook in the /notebooks subdirectory (under Section0-Pre_Work.ipynb). There is no need to hand this in to anyone, but please reach out if you have difficulty with any of the problems (or with setting up your computing environment) by creating an issue in this repository, or by emailing.
Course Outline
The course comprises six 2-hour modules of videoconference lectures, along with short associated hands-on projects to reinforce materials covered during lectures. The first four sections cover core materials related to Bayesian computation, while the final two modules are elective material chosen by your group, which extend the concepts covered by the core sections to specific topics: time series modeling and non-parametric Bayesian models.
Monday, July 13
Hierarchcial Models (Chris) 2:00pm - 4:00pm
- Motivation and case studies
- Partial pooling
- Building hierarchical models
- Parameterizations
- Model checking
Wednesday, July 15
Markov chain Monte Carlo (Thomas) 2:00pm - 4:00pm
- Probability density functions, inverse CDF sampling
- Rejection sampling
- MCMC basics
- Metropolis-Hastings samplers
- Gibbs samplers
Friday, July 17
Gradient-based MCMC (Chris) 2:00pm - 4:00pm
- Problems with first-generation MCMC methods
- Using gradient information to improve MCMC
- Hamiltonian Monte Carlo
- NUTS
- Diagnostics
Monday, July 20
The Bayesian Workflow (Thomas) 2:00pm - 4:00pm
- Prior predictive checks
- Iterating models
- Posterior predictive checks
- Using the model
Wednesday, July 22
Bayesian Non-parametric Models (Chris) 2:00pm - 4:00pm
- Kernel-based models
- Modeling with Gaussian distributions
- Gaussian processes
- Covariance functions
- Bayesian optimization
Friday, July 24
Bayesian Time Series Models (Thomas) 2:00pm - 4:00pm
- Modeling repeated measurements
- Structural time series models
- Hierarchical time series models
- Censored data and survival models
- Model checking