ACM 216: Markov Chains, Discrete Stochastic Processes and Applications.
Last Update: January 6, 2020
Homework: Posted on Piazza
Lecture Notes : Sent via email to registered students
Prerequisite: ACM/EE 116 or CMS/ACM/EE 117 or instructor agreement
Piazza: for all class-related discussions (in particular for Q/A).
https://piazza.com/caltech/winter2020/acm216/home
Schedule: Classes are scheduled from 9:00am to 10:25am on Tuesdays and Thursdays in 105 Annenberg.
Grading: Homework (4 problem sets, one every two weeks): 100%
Instructor: Houman Owhadi
Office hour: Tues/Thu 10:30am-11:00 am, Steele House, 201.
TAs:
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Anirudh Rangaswamy:
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Office hour: Monday 7-8pm
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Location: Annenberg 106
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Email: anirudh@caltech.edu
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Zhang, Xiaotian (Jim):
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Office hour: Tuesday 3-4pm
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Location: Annenberg 243
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Email: jim@caltech.edu
Syllabus:
Markov Chains.
Computer simulation of Markov Chains.
Irreducible and aperiodic Markov Chains.
Stationary Distributions.
Reversible Markov Chains.
Markov Chain Monte Carlo.
Fast Convergence of MCMC algortithms.
Approximate counting.
The Propp-Wilson algorithm.
Sandwiching.
Simulated annealing.
Convergence rates.
Continuous time Markov Chains
Textbooks: The lectures will not follow closely any of those textbooks (I will distribute my lecture notes),
they are given here only as suggestions.
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Markov Chains and Stochastic Stability (S. P. Meyn and R. L. Tweedie). Well written and comprehensive.
Can be downloaded from http://probability.ca/MT/
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Finite Markov Chains and Algorithmic Applications (Olle Hagstrom). This thin and inexpensive book is a nice
and up-to-date introduction to Markov Chain, algorithms and applications.
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Markov Chains, Gibbs Fields, Monte Carlo Simulation, and Queues (P. Bremaud).
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Probability and Random processes (G. R. Grimmett and D. R. Stirzaker).