Seminars and Colloquia by Series

Thursday, January 19, 2017 - 15:05 , Location: Skiles 006 , Dave Goldberg , ISyE, GaTech , Organizer: Christian Houdre
Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these methodologies suffer from the problem of time-inconsistency, the work of Klabjan et al. established a general time-consistent framework for such problems by connecting to the literature on robust Markov decision processes. Motivated by the fact that many forecasting models exhibit very special structure, as well as a desire to understand the impact of positing different dependency structures, in this talk we formulate and solve a time-consistent distributionally robust multi-stage newsvendor model which naturally unifies and robustifies several inventory models with demand forecasting. In particular, many simple models of demand forecasting have the feature that demand evolves as a martingale (i.e. expected demand tomorrow equals realized demand today). We consider a robust variant of such models, in which the sequence of future demands may be any martingale with given mean and support. Under such a model, past realizations of demand are naturally incorporated into the structure of the uncertainty set going forwards. We explicitly compute the minimax optimal policy (and worst-case distribution) in closed form, by combining ideas from convex analysis, probability, and dynamic programming. We prove that at optimality the worst-case demand distribution corresponds to the setting in which inventory may become obsolete at a random time, a scenario of practical interest. To gain further insight, we prove weak convergence (as the time horizon grows large) to a simple and intuitive process. We also compare to the analogous setting in which demand is independent across periods (analyzed previously by Shapiro), and identify interesting differences between these models, in the spirit of the price of correlations studied by Agrawal et al. This is joint work with Linwei Xin, and the paper is available on arxiv at https://arxiv.org/abs/1511.09437v1
Monday, January 9, 2017 - 15:05 , Location: Skiles 006 , Franck Maunoury , Université Pierre et Marie Curie , Organizer: Christian Houdre
We consider permanental and multivariate negative binomial distributions. We give sim- ple necessary and sufficient conditions on their kernel for infinite divisibility, without symmetry hypothesis. For existence of permanental distributions, conditions had been given by Kogan and Marcus in the case of a 3 × 3 matrix kernel: they had showed that such distributions exist only for two types of kernels (up to diagonal similarity): symmet- ric positive-definite matrices and inverse M-matrices. They asked whether there existed other classes of kernels in dimensions higher than 3.  We give an affirmative answer to this question, by exhibiting (in any finite dimension higher than 3) a family of matrices which are kernels of permanental distributions but are neither symmetric, nor inverse M-matrices (up to diagonal similarity). Analog properties (by replacing inverse M-matrices by entrywise non-negative matrices) are given for multivariate negative binomial distribu- tions. These notions are also linked with the study of inverse power series of determinant. This is a joint work with N. Eisenbaum.
Thursday, November 3, 2016 - 15:05 , Location: Skiles 006 , Sasha Rakhlin , University of Pennsylvania, Department of Statistics, The Wharton School , Organizer: Mayya Zhilova
Exact oracle inequalities for regression have been extensively studied in statistics and learning theory over the past decade. In the case of a misspecified model, the focus has been on either parametric or convex classes. We present a new estimator that steps outside of the model in the non-convex case and reduces to least squares in the convex case. To analyze the estimator for general non-parametric classes, we prove a generalized Pythagorean theorem and study the supremum of a negative-mean stochastic process (which we term the offset Rademacher complexity) via the chaining technique.(joint work with T. Liang and K. Sridharan)
Thursday, October 27, 2016 - 15:05 , Location: Skiles 006 , R. Gong , Illinois Institute of Technology , Organizer: Christian Houdre
In this talk, we consider the small-time asymptotics of options on a Leveraged Exchange-Traded Fund (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of off-the-money European call and put LETF option prices, near expiration, with explicit error bounds. We show that the price of an out-of-the-money European call on a LETF with positive (negative) leverage is asymptotically equivalent, in short-time, to the price of an out-of-the-money European call (put) on the underlying ETF, but with modified spot and strike prices. Similar relationships hold for other off-the-money European options. In particular, our results suggest a method to hedge off-the-money LETF options near expiration using options on the underlying ETF. Finally, a second order expansion for the corresponding implied volatilities is also derived and illustrated numerically. This is the joint work with J. E. Figueroa-Lopez and M. Lorig.
Thursday, September 29, 2016 - 15:05 , Location: Skiles 006 , Eviatar Procaccia , Texas A&M University , procaccia@math.tamu.edu , Organizer: Michael Damron
We consider a Gibbs distribution over random walk paths on the square lattice, proportional to a random weight of the path’s boundary. We show that in the zero temperature limit, the paths condensate around an asymptotic shape. This limit shape is characterized as the minimizer of the functional, mapping open connected subsets of the plane to the sum of their principle eigenvalue and perimeter (with respect to the first passage percolation norm). A prime novel feature of this limit shape is that it is not in the class of Wulff shapes. This is joint work with Marek Biskup.
Thursday, September 15, 2016 - 15:05 , Location: Skiles 006 , Michael Damron , School of Mathematics, Georgia Tech , Organizer: Christian Houdre
The Eden model, a special case of first-passage percolation, is a stochastic growth model in which an infection that initially occupies the origin of Z^d spreads to neighboring sites at rate 1. Infected sites are colonized permanently; that is, an infected site never heals. It is known that at time t, the infection occupies a set B(t) of vertices with volume of order t^d, and the rescaled set B(t)/t converges to a convex, compact limiting shape. In joint work with J. Hanson and W.-K. Lam, we partially answer a question of K. Burdzy, concerning the order of the size of the boundary of B(t). We show that, in various senses, the boundary is relatively smooth, being typically of order t^{d-1}. This is in contrast to the fractal behavior of interfaces characteristic of percolation models.
Thursday, September 8, 2016 - 15:05 , Location: Skiles 006 , Matthew Junge , Duke University , jungem@math.duke.edu , Organizer: Michael Damron
Form a multiset by including Poisson(1/k) copies of each positive integer k, and consider the sumset---the set of all finite sums from the Poisson multiset. It was shown recently that four such (independent) sumsets have a finite intersection, while three have infinitely many common elements. Uncoincidentally, four uniformly random permutations will invariably generate S_n with asymptotically positive probability, while three will not. What is so special about four? Not much. We show that this result is a special case of the "ubiqituous" Ewens sampling formula. By varying the distribution's parameter we can vary the number of random permutations needed to invariably generate S_n, and, relatedly, the number of Poisson sumsets to have finite intersection. *Joint with Gerandy Brita Montes de Oca, Christopher Fowler, and Avi Levy.
Thursday, April 28, 2016 - 15:05 , Location: Skiles 006 , Mayya Zhilova , School of Mathematics, Georgia Tech , Organizer: Christian Houdre
The bootstrap procedure is well known for its good finite-sample performance, though the majority of the present results about its accuracy are asymptotic. I will study the accuracy of the weighted (or multiplier) bootstrap procedure for estimation of quantiles of a likelihood ratio statistic. The set-up is the following: the sample size is bounded, random observations are independent, but not necessarily identically distributed, and a parametric model can be misspecified. This problem had been considered in the recent work of Spokoiny and Zhilova (2015) with non-optimal results. I will present a new approach improving the existing results.
Thursday, April 21, 2016 - 15:05 , Location: Skiles 006 , Paul Jung , University of Alabama Birmingham , Organizer: Christian Houdre
We look at a class of Hermitian random matrices which includes Wigner matrices, heavy-tailed random matrices, and sparse random matrices such as adjacency matrices of Erdos-Renyi graphs with p=1/N. Our matrices have real entries which are i.i.d. up to symmetry. The distribution of entries depends on N, and we require sums of rows to converge in distribution; it is then well-known that the limit must be infinitely divisible. We show that a limiting empirical spectral distribution (LSD) exists, and via local weak convergence of associated graphs, the LSD corresponds to the spectral measure associated to the root of a graph which is formed by connecting infinitely many Poisson weighted infinite trees using a backbone structure of special edges. One example covered are matrices with i.i.d. entries having infinite second moments, but normalized to be in the Gaussian domain of attraction. In this case, the LSD is a semi-circle law.
Thursday, April 7, 2016 - 15:05 , Location: Skiles 006 , Wenqing Hu , University of Minnesota, Twin Cities , Organizer: Christian Houdre
Motivated by problems in turbulent mixing, we consider stochastic perturbations of geodesic flow for left-invariant metrics on finite-dimensional Lie groups. We study the ergodic properties and provide criteria that ensure the Hormander condition for the corresponding Markov processes on phase space. Two different types of models are considered: the first one is a classical Langevin type perturbation and the second one is a perturbation by a “conservative noise”. We also study an example of a non-compact group. Joint work with Vladimir Sverak.

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