Markov Chain Monte Carlo (MCMC) Methods
• Sampling:
o Involves generating samples from a probability distribution when direct
sampling is difficult.
o Common techniques: Rejection Sampling, Importance Sampling.
• Proposal Distribution:
o A probability distribution used to propose moves in the Markov Chain.
o Needs to balance between exploring the space and achieving a high
acceptance rate.
o Examples: Gaussian proposal, Uniform proposal.
• Markov Chain Monte Carlo:
o A class of algorithms for sampling from a probability distribution.
o Constructs a Markov chain that converges to the desired distribution.
o Popular algorithms:
▪ Metropolis-Hastings Algorithm: Proposes a new state based on the
proposal distribution and accepts/rejects it based on a probability ratio.
▪ Gibbs Sampling: Simplifies the sampling process by sampling each
variable conditioned on others.
Graphical Models
• Framework for representing and reasoning about dependencies between random
variables using a graph.
1. Bayesian Networks:
o Directed acyclic graphs (DAGs).
o Represent conditional dependencies among variables.
o Each node is a random variable, and edges encode direct influence.
o Applications: Diagnosis, predictions, causal inference.
2. Markov Random Fields (MRFs):
o Undirected graphical models.
o Capture dependencies using undirected edges.
o Represent joint distribution as a product of potential functions over cliques.
3. Hidden Markov Models (HMMs):
o A statistical model where the system is assumed to follow a Markov process
with unobserved (hidden) states.
o Key Components:
▪ States: Hidden variables.
▪ Observations: Observable evidence linked to states.
▪ Transition Probabilities: Probabilities of moving between states.
o Applications: Speech recognition, time-series analysis.
Tracking Methods
• Techniques for estimating the state of a system over time, often using sequential data.
• Based on graphical models like HMMs and dynamic Bayesian networks.
• Examples:
o Kalman Filter: For linear systems with Gaussian noise.
o Particle Filter: For non-linear systems.
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Here’s a structured list of topics to study under Graphical Models:
1. Markov Chain Monte Carlo (MCMC) Methods
• Basics of Sampling:
o Importance Sampling.
o Rejection Sampling.
o Stratified Sampling.
• Proposal Distribution:
o Definition and role in MCMC.
o Types: Gaussian, Uniform.
• MCMC Algorithms:
o Metropolis-Hastings Algorithm.
o Gibbs Sampling.
o Convergence properties of Markov Chains.
2. Graphical Models
• Overview of Graphical Models:
o Probabilistic graphical models: Directed and undirected graphs.
o Representing dependencies between variables.
• Bayesian Networks (BNs):
o Directed Acyclic Graphs (DAGs).
o Conditional independence properties.
o Inference in Bayesian Networks.
• Markov Random Fields (MRFs):
o Undirected Graphs.
o Potential functions and cliques.
o Applications and examples.
• Dynamic Bayesian Networks:
o Extension of Bayesian Networks for temporal data.
3. Hidden Markov Models (HMMs)
• Model Structure:
o Hidden states.
o Observations.
o Transition probabilities.
• Key Algorithms:
o Forward-Backward Algorithm.
o Viterbi Algorithm.
o Baum-Welch Algorithm (for training HMMs).
• Applications of HMMs:
o Speech Recognition.
o Time-series prediction.
o Biological sequence analysis.
4. Tracking Methods
• Kalman Filter:
o Linear systems and Gaussian noise assumptions.
o Prediction and update steps.
• Extended Kalman Filter:
o For non-linear systems.
• Particle Filter:
o Sequential Monte Carlo methods.
o Resampling techniques.
• Applications in Tracking:
o Object tracking in videos.
o Position estimation in robotics.
5. Additional Topics
• Probabilistic Inference in Graphical Models:
o Exact methods: Variable elimination, Junction tree algorithm.
o Approximate methods: Belief propagation, Loopy belief propagation.
• Learning Graphical Models:
o Structure learning.
o Parameter estimation (Maximum Likelihood Estimation, Bayesian
Estimation).
• Applications of Graphical Models:
o Natural language processing (e.g., POS tagging).
o Computer vision (e.g., object detection).
o Bioinformatics (e.g., gene expression analysis).
