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Online Events Fotini Christia

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Stochastics and Statistics Seminar Series Jaouad Mourtada

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Stochastics and Statistics Seminar Series Gérard Ben Arous

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SES PhD Admissions Q&A

Fotini Christia (IDSS)
online

Learn about the Social and Engineering Systems Doctoral Program. Hosted by SES Program Head, Prof. Fotini Christia This live Q&A is a follow-up session for the pre-recorded SES Admissions Webinar which should be viewed prior to attending the Q&A. Sign-up by 28 November, 12PM EDT.

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Coding convex bodies under Gaussian noise, and the Wills functional

Jaouad Mourtada (ENSAE Paris)
E18-304

Abstract: We consider the problem of sequential probability assignment in the Gaussian setting, where one aims to predict (or equivalently compress) a sequence of real-valued observations almost as well as the best Gaussian distribution with mean constrained to a general domain. First, in the case of a convex constraint set K, we express the hardness…

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High-dimensional limit theorems for Stochastic Gradient Descent: effective dynamics and critical scaling

Gérard Ben Arous (NYU Courant)
E18-304

Abstract: We study the scaling limits of stochastic gradient descent (SGD) with constant step-size in the high-dimensional regime. We prove limit theorems for the trajectories of summary statistics (i.e., finite-dimensional functions) of SGD as the dimension goes to infinity. Our approach allows one to choose the summary statistics that are tracked, the initialization, and the…

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