Prerequisites

The course is intended for Ph.D. students from Statistics or a related field (e.g. Mathematical Statistics, Engineering Science, Quantitative Finance, Computer Science). Previous knowledge in the following is expected:

- familiarity with R (or another programming language with similar possibilities),
- basic knowledge in multivariate calculus (e.g. from a Multivariate Statistics course),
- statistical inference (e.g. from a Master's level course).

Examination and grading

The course is graded Pass or Fail. Examination is through individual home assignments on problems for each topic and through a concluding mini project.

Course literature

We will not use a central course book. Several articles, book chapters and other learning resources will be recommended.

Course structure

The course is divided into four topics. The topics will be discussed during online meetings with Zoom. Course participants will spend most of their study time by solving the problem sets for each topic on their own computers without supervision. The course will be held in October and November 2020.

A second part of the course with a deeper focus on theoretical foundations (Optimisation algorithms in statistics II, 3.5 HEC) will be offered in Spring 2021.

Course schedule

- Topic 1: Gradient based algorithms

Lectures: October 2; Time 10-12, 13-15 (online, Zoom) - Topic 2: Stochastic gradient based algorithms

Lecture: October 13; Time: 9-12 (online, Zoom) - Topic 3: Gradient free algorithms

Lecture: October 23; Time 9-12 (online, Zoom) - Topic 4: Optimisation with restrictions

Lecture: November 6, Time 9-12 (online, Zoom)

Registration

To register for the course, please send an email to me (frank.miller at stat.su.se) until September 18, 2020. You are also welcome for any questions related to the course.

Most welcome to the course!

Frank Miller, Department of Statistics, Stockholm University

www.frank-miller.eu