We will talk about several basic (and way to large) topics:

Meeting time: every Friday at 10:00

Jan 13: Organization

We will have 4 large sections:

1. Matrix operations: including topics such as eigenvalue/eigenvector, matrix exponentiation, sparse matrices
2. Diffusion approximation
3. Reversible Jump and other MCMC strategies
4. Partial derivative equations

For each section we will produce a handout and we will also have pointers to literature, website etc.

Jan 20: Matrix operations: multiplication, transposition, inversions, norms

Jan 27: Matrix operations: Eigenvalues, eigenvectors, orthogonal systems, SVD, matrix exponentiation

Feb 3: Matrix operations: DRAFT factorizations

Feb 10: Matrix operations: Numerical stability

Feb 17: Diffusion approximation (introduction) [Walsh and Lynch 2000]

Feb 24: ?

March 3: Diffusion approximation (calculation of the M and D or a(x) and b(x) terms)

March 10: Spring break

March 17: out of town

March 24: Diffusion approximation: example revisited (Diffusion approximation handout)

March 31: Reversible jump MCMC: introduction of "simple" MCMC (some text see here)

[updated March, 2006]