Instructor: Mengyang Gu Email: mengyang.gu, "at", pstat.ucsb.edu
Lecture time: Mon/Wed 9:30pm--10:45 pm, Location: PHELP 1444
Office hours: Mon 11:00am - 12:00pm, Location: South Hall 5511
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Week Slides Topics Code/Extra slides/HW
01/06, 01/08 L1 L2 Introduction, key ideas in UQ, C1 C2 R1 HW1
probabilistic models, Bayesian inference
01/13, 01/15 L3 Gaussian process surrogate, parameter estimation, C3 C4 R2 R3 HW2
predictive distribution, RobustGaSP package
01/20 01/22 L4 Vectorized Gaussian processes, C5
Parallel partial Gaussian processes
01/27, 01/29 L5 Space-filling design, active learning strategies C6 C7
02/03, 02/05 L6 Covariance function, reproducing kernel Hilbert space,
deep neural network, comparison
02/10, 02/12. L7, Dynamic linear model and Kalman filter C8 C9
02/17, 02/19 L8 Implementation, dlm package C10 C11
02/24, 02/26 L9 State space representation of Gaussian processes,
PCA, dynamic mode decomposition, generalization
03/03, 03/05 L10 L11 Generalized probabilistic principal component analysis,
Fast data inversion of spatial and spatio-temporal data
03/10, 03/12 L12 L13 Imperfect model calibration R4 C12
03/20 Final report submission