Statistics 36-462: Chaos, Complexity, and Inference
TuTh 12:00-1:20, in 208 Scaife Hall
This course will cover some key parts of modern theories of nonlinear dynamics
("chaos") and complex systems, and their connections to fundamental aspects of
probability and statistics. By studying systems with many strongly-interacting
components, students will learn how stochastic models can illuminate phenomena
beyond the usual linear/Gaussian/independent realm, as well as gain a deeper
understanding of why stochastic models work at all.
The course will emphasize building modeling skill and intuition over rigor,
though relevant mathematical results will be presented where applicable and
accessible. Students will gain experience using, interpreting and designing
simulation models of complex stochastic systems, understanding their varieties
and limitations, and learn how to tie them to real-world data.
Topics will include: chaos
theory and nonlinear
prediction; information; the
relationship between randomness and
emergence; heavy-tailed and "scale-free"
agents; and inference from simulations.
- Gary William
Computational Beauty of Nature
- John Miller
- Leonard Smith, Chaos: A Very Short Introduction
Modeling of Scientific Data
- Paul Krugman, The
- Andrew M. Fraser, Hidden Markov Models and Dynamical Systems
- W. John Braun and Duncan
J. Murdoch, A First
Course in Statistical Programming with R (Use of R is not required,
but ask before using other languages.)
Grading, Prequisities and Other Policies are described in the
See also the detailed syllabus with links to readings.
- Dynamical Systems: Jan. 13--Feb. 5
- Dynamical systems, chaos, state-space reconstruction, prediction, information, inference for dynamical systems, and the relationship betwen randomness and determinism
- Self-organization: Feb. 10--Feb. 19
- Self-organizing systems, cellular automata
- Heavy-tailed Distributions: Feb. 24--Mar. 17
- Examples, properties, origins, estimation, testing
- Inference from Simulations: Mar. 19--Mar. 26
- Error statistics and severity; breaking your simulations; Monte Carlo, direct
inference, parametric bootstrapping; indirect inference
- Complex Networks and Agent-Based Models: Mar. 30--Apr. 28
- Network structures and properties; network growth; agent-based modeling;
collective phenomena; contagion on networks; network inference; social
complexity; real-world examples
- Chaos, Complexity and Inference: Apr. 30
Last year's version of the course website is still available.
Page created 6 November 2007; last modified 20 November 2008