Instructor:  

• Jia Li
  417A Thomas Building, phone: 814-863-3074, email: jiali@stat.psu.edu
  office hours: TTh 2:00pm-3:30pm, or by appointment
  
  

Lectures:   MWF 10:10am-11:00am     216 Thomas

Course homepage:   http://www.stat.psu.edu/~jiali/course/stat540

Description of the course:

This course comprises roughly three parts: computer algorithms, numerical optimization, and Monte Carlo methods. In particular, we will introduce sorting algorithms and dynamic programming, data structures such as linked lists and binary search trees, foundamentals of unconstrained optimization and constrained optimization, Newton's method, coordinate descent method, linear programming, EM algorithm, Monte Carlo integration, importance sampling, Gibbs sampling, etc.

Prerequisites: Stat 414, 513, or equivalent.

Textbooks:
There are no required textbooks. Suggested reading:

• Introduction to Algorithms by T. H. Cormen, C. E. Leiserson, R. L. Rivest
• Numerical Optimization by J. Nocedal and S. J. Wright
• Numerical Analysis for Statisticians by K. Lange
• Monte Carlo Statistical Methods by C. P. Robert and G. Casella

Grading:

• Projects/homework:   90%
• Participation and discussion:   10%

Academic Integrity:
All Penn State and Eberly College of Science policies regarding academic integrity apply to this course. See http://www.science.psu.edu/academic/Integrity/index.html for details.

Topic Schedule

Lecture Dates

Course Materials

------------- Updated on August 29, 2003 ---------------