Gatsby Computational Neuroscience Unit


Probabilistic and Unsupervised Learning
Approximate Inference and Learning in Probabilistic Models

Dates 5 October - 16 December 2020
Lectures Mondays and Thursdays 11:00-13:00 (note any exceptions below)
Tutorials Wednesdays 9:00-11:00
Lecturers Peter Orbanz (weeks 1-5, COMP0086) and Maneesh Sahani (weeks 6-10, COMP0085)
Coordinator (CS) Dmitry Adamskiy. Please direct all correspondence regarding coursework, extensions and administrative issues to Dmitry at d.adamskiy@ucl.ac.uk.
TAs (CS) TBC (Gatsby/SWC) Hugo Soulat, Liyuan Xu, Theodore Moskovitz
Location Ground Floor Seminar Room. In light of the ongoing epidemic, only Gatsby and SWC PhD students may attend in person until further notice.
Online by zoom. The meeting ID will be distributed to registered students via moodle, email and calendars. You must connect using a UCL zoom account.
About the course

This course (offered as two successive modules to MSc students) provides an in-depth introduction to statistical modelling, unsupervised, and some supervised learning techniques. It presents probabilistic approaches to modelling and their relation to coding theory and Bayesian statistics. A variety of latent variable models will be covered including mixture models (used for clustering), dimensionality reduction methods, time series models such as hidden Markov models which are used in speech recognition and bioinformatics, Gaussian process models, independent components analysis, hierarchical models, and nonlinear models. The course will present the foundations of probabilistic graphical models (e.g. Bayesian networks and Markov networks) as an overarching framework for unsupervised modelling. We will cover Markov chain Monte Carlo sampling methods and variational approximations for inference. Time permitting, students will also learn about other topics in probabilistic (or Bayesian) machine learning.

The complete course forms a component of the Gatsby PhD programme, and is mandatory for Gatsby students. The two component modules are also available to students on Machine Learning related MSc programmes. Note that MSc student may only take the second part (Approximate Inference and Learning in Probabilistic Models) if they complete the first.

Mailing list TBC
General attendance

Unfortunately, for the moment only Gatsby/SWC PhD students and staff, and UCL students registered through moodle are able to attend. Students who wish to audit may self-register on moodle with the key "COMP00862020". We will provide further information here if this situation changes.


A good background in statistics, calculus, linear algebra, and computer science. You should thoroughly review the maths in the following cribsheet [pdf] [ps] before the start of the course. This quiz may help you check where you stand. You must know Matlab, Octave or Python/NumPy.


There is no required textbook. However, the following are excellent sources for many of the topics covered here.

David J.C. MacKay (2003) Information Theory, Inference, and Learning Algorithms, Cambridge University Press.
Christopher M. Bishop (2006) Pattern Recognition and Machine Learning, Springer-Verlag.
David Barber (2012) Bayesian Reasoning and Machine Learning, Cambridge University Press.
Kevin Patrick Murphy (2012) Machine Learning: a Probabilistic Perspective, MIT Press.
Daphne Koller and Nir Friedman (2009) Probabilistic Graphical Models, MIT Press. (This contains a more extensive treatment of graphical models, good for reference)

Some of our work will depend numerical computation. A very useful reference in this area is:

Gene H. Golub and Charles F. Van Loan (2013) Matrix Computations, 4th ed, Johns Hopkins Univ. Press
Reading material

Specific recommendations for additional reading can be found here. New material may be assembled as course progresses.

Lectures and slides Lecture slides and assignments will be posted here as the course progresses. Note that the content and sequence of lectures may vary from those of previous years. Also note that, following the usual Gatsby teaching pattern, there may be lectures scheduled during "reading week".
Probabilistic and Unsupervised Learning (PO)
aggregated slides for weeks 1-5 [last modified 4 Nov 2020]
5/10: Introduction to Probabilistic Learning 8/10: contd.
12/10: Optimisation 15/10: contd.
19/10: Latent Variables and EM 22/10: Linear-Gaussian Models
26/10: Model selection 29/10: Latent chain models
2/11: contd. 5/11:
9/11: Reading week 12/11
Approximate Inference (MS)
16/11: Graphical models / screen version 19/11: contd
23/11: Bayes and Gaussian Processes / screen version 26/11: contd
30/11: Factored variational approximations / screen version 3/12: contd
7/12: Expectation Propagation / screen version 10/12: Belief Propagation / screen version
13/12: Convexity and Free-Energy / screen version 17/12: Parametric variational and recognition models / screen version [to be updated]
50% of the total mark (for each module) is based on coursework assignments (the other 50% being based on the final written examination).

For those registered for the course through an MSc programme, assignments must be submitted online through moodle. For Gatsby, SWC and related students, they should be handed in by email or on paper to a Gatsby TA.

Assignments submitted late will be penalised in accordance with the usual UCL policy.

Assignment 0 - maths quiz to be discussed in tutorial 7 Oct 2020
Assignment 1        [binarydigits.txt,  bindigit.m,  bindigit.py] due around 21 Oct 2020
Assignment 2        [geyser.txt ssm_spins.txt ssm_spins_test.txt ssm_kalman.m ssm_kalman.py] due around 4 Nov 2020
Assignment 3        [message.txt, symbols.txt, matlab code, python code] due around 18 Nov 2020
Assignment 4        [co2.txt] due 9 Dec 2020
Assignment 5        [images.jpg, genimages.m, Mstep.m, genimages.py, MStep.py] due 6 Jan 2021
Assignment 6 due 20 Jan 2021
To attend Please see the note above