Stochastic Processes, Markov Chains & Variational Inference

Overview

You will learn about stochastic processes, Markov Chains and Variational Inference

Goals

• Learn about Stochastic processes in the realm of Data Science

• Learn about Markov-chain Theory

• Learn about the Variational Inference Method

Lecture Materials

• Slides

• Stochastic Processes and Markov-Chain Theory

• Variational Inference

Homework Assignment

• Homework 07: Markov Chains

Supplemental Readings

• C. Maes, An introduction to the theory of Markov processes mostly for physics students

• Example of dependence without correlation

• Conditional Independence

• Inverse Problem

• Brownian Motion

• Hamiltonian Mechanics

• Cannonical Distribution

• Hamiltonian MC

• Autocorrelation