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Series: Stochastics Seminar

The CLT for free random variables was settled by Voiculescu very early in this work on free probability. He used this in turn to prove his main result on aymptotic freeness of independent random matrices. On the other hand, in random matrices, fluctuations can be understood as a second order phenomena. This notion of fluctuations has a conterpart in free probability which is called freenes of second order. I will explain what this is and how one can prove a free CLT result in this context. It is also interesting to point out that this is a nontrivial calculation which begs the same question in the classical context and I will comment on that.

Series: Stochastics Seminar

We will discuss sharp bounds on moments and concentration inequalities for
the operator norm of deviations of sample covariance operators from the
true covariance operator for i.i.d. Gaussian random variables in a
separable Banach space.
Based on a joint work with Karim Lounici.

Series: Stochastics Seminar

Let (X_k)_{k \geq 1} and (Y_k)_{k\geq1} be two independent
sequences of independent identically distributed random variables
having the same law and taking their values in a finite alphabet
\mathcal{A}_m. Let LC_n be the length of the longest common
subsequence of the random words X_1\cdots X_n and Y_1\cdots Y_n.
Under assumptions on the distribution of X_1, LC_n is shown to
satisfy a central limit theorem. This is in contrast to the Bernoulli
matching problem or to the random permutations case, where the limiting
law is the Tracy-Widom one. (Joint with Umit Islak)

Series: Stochastics Seminar

A sandpile on a graph is an integer-valued function on the vertices. It evolves according to local moves called topplings. Some sandpiles stabilize after a finite number of topplings, while others topple forever. For any sandpile s_0 if we repeatedly add a grain of sand at an independent random vertex, we eventually reach a sandpile s_\tau that topples forever. Statistical physicists Poghosyan, Poghosyan, Priezzhev and Ruelle conjectured a precise value for the expected amount of sand in this "threshold state" s_\tau in the limit as s_0 goes to negative infinity. I will outline the proof of this conjecture in http://arxiv.org/abs/1402.3283 and explain the big-picture motivation, which is to give more predictive power to the theory of "self-organized criticality".

Series: Stochastics Seminar

In this talk we investigate possible applications of the infinitedimensional Gaussian Radon transform for Banach spaces to machine learning. Specifically, we show that the Gaussian Radon transform offers a
valid stochastic interpretation to the ridge regression problem in the case when the reproducing kernel Hilbert space in question is infinite-dimensional. The main idea is to work with stochastic processes defined not on the Hilbert
space itself, but on the abstract Wiener space obtained by completing the Hilbert space with respect to a measurable norm.

Series: Stochastics Seminar

Let $Y$ be a nonnegative random variable with mean $\mu$, and let $Y^s$, defined on the same space as $Y$, have the $Y$ size biased distribution, that is, the distribution characterized by $\mathbb{E}[Yf(Y)]=\mu \mathbb{E}[f(Y^s)]$ for all functions $f$ for which these expectations exist. Under bounded coupling conditions, such as $Y^s-Y \leq C$ for some $C>0$, we show that $Y$ satisfies certain concentration inequalities around $\mu$. Examples will focus on occupancy models with log-concave marginal distributions.

Series: Stochastics Seminar

We discuss a technique, going back to work of Molchanov, for determining the small-time asymptotics of the heat kernel (equivalently, the large deviations of Brownian motion) at the cut locus of a (sub-) Riemannian manifold (valid away from any abnormal geodesics). We relate the leading term of the expansion to the structure of the cut locus, especially to conjugacy, and explain how this can be used to find general bounds as well as to compute specific examples. We also show how this approach leads to restrictions on the types of singularities of the exponential map that can occur along minimal geodesics. Further, time permitting, we extend this approach to determine the asymptotics for the gradient and Hessian of the logarithm of the heat kernel on a Riemannian manifold, giving a characterization of the cut locus in terms of the behavior of the log-Hessian, which can be interpreted in terms of large deviations of the Brownian bridge. Parts of this work are joint with Davide Barilari, Ugo Boscain, and Grégoire Charlot.

Series: Stochastics Seminar

Rare events,
metastability and Monte Carlo methods
for stochastic dynamical systems have been of central scientific interest
for
many years now. In this talk we focus on multiscale systems that can exhibit
metastable behavior, such as rough energy landscapes. We discuss quenched large
deviations in related random rough environments and design of provably efficient
Monte Carlo methods, such as importance sampling, in order to estimate
probabilities of rare events. Depending
on the type of interaction of the fast scales with the strength of the noise we
get different behavior, both for the large deviations and for the corresponding
Monte Carlo methods. Standard Monte Carlo
methods perform poorly in these kind of problems in the small noise limit. In
the presence of multiple scales one faces additional difficulties and
straightforward adaptation of importance sampling schemes for standard small
noise diffusions will not produce efficient schemes. We resolve this issue and
demonstrate the theoretical results by examples and simulation studies.

Series: Stochastics Seminar

Series: Stochastics Seminar

Several new results on asymptotic normality
and other asymptotic properties of sample covariance operators
for Gaussian observations in a high-dimensional
setting will be discussed. Such asymptotics are of importance
in various problems of high-dimensional statistics (in particular,
related to principal component analysis). The proofs of these results
rely on Gaussian concentration inequality. This is a joint work
with Karim Lounici.