This seminar series aims to facilitate sharing and learning about the research of our fellow staff members. Early and mid-career researchers will present a broader context of their work which should be accessible and relatable to the entire School community. Seminars will be held in-person, followed by a friendly gathering and refreshments in the SMRI common room or out on the terrace (weather permitting). Everyone is warmly invited.
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One School Seminar ‘From Matrix Interpolation to Tensorized High-Dimensional Random Variable Simulation with Applications to Bayesian Computation’
Tiangang Cui, The University of Sydney
Thursday 22 August 2024
Abstract: Simulating intractable high-dimensional random variables is one of the fundamental challenges in stochastic computation. This task has broad applications in statistical physics, machine learning, uncertainty quantification, econometrics, and beyond. In this talk, we will present how to formulate such tasks as function approximation problems and solve them using tensor computation. We will also show how the tensor computation problem can be reduced to simple recursive matrix interpolations. As a result, we obtain algorithms with complexity linear in the problem dimension. We will demonstrate the efficiency and efficacy of our developed methods on a range of Bayesian computation problems, including parameter estimation for dynamical systems, PDE-constrained inverse problems, and Bayesian filtering.
One School Seminar ‘‘Time-inconsistent problems’
Zhou Zhou, The University of Sydney
Thursday 18 April 2024
Abstract: Time inconsistency refers to the phenomenon that a plan that was deemed to be optimal at some point may no longer be preferred from a future perspective, due to a change of preferences. In this talk, we will present some dynamic optimisation problems in decision making that are time-inconsistent. We will introduce a game-theoretic framework to address the time inconsistency. We will further investigate a class of time-inconsistent problems – stopping under nonexponential discounting. Finally, we will talk about mathematical challenges in the research of general time-inconsistent problems.