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• Feb

  18

  IEMS Seminar: Piecewise deterministic Markov processes for MCMC - A large deviations analysis of the zig-zag sampler

  Department of Industrial Engineering and Management Sciences

  11:00 AM M228, Technological Institute

  EVENT DETAILS

  Pierre Nyquist

  KTH Royal Institute of Technology

  Title: Piecewise deterministic Markov processes for MCMC - A large deviations analysis of the zig-zag sampler

  Abstract:

  Over the last decade piecewise deterministic Markov processes (PDMPs) have emerged as a new tool for MCMC simulation, potentially mitigating the problems of slow convergence and heavy computational cost exhibited by many other methods. The two main examples of such processes are the bouncy particle sampler and the zig-zag sampler. The idea of using PDMPs extends the ubiquitous discrete time MCMC methodology towards a new continuous time approach, having several advantageous aspects, for example non-reversibility and the possibility to reduce the computational effort per iteration by using subsampling techniques.

  In order to employ this new PDMP methodology a solid understanding of mathematical properties of these methods is necessary. Whereas the theoretical
  properties of PDMPs have been an active research area in recent years, our understanding of the performance of the corresponding MCMC methods is still incomplete. In particular knowledge of the speed of convergence of time averages is essential in choosing the most suitable sampling technology for a particular problem and in tuning the parameters of the chosen method.

  In this talk I will discuss recent work on using large deviation results for empirical measures to study and compare the performance of PDMPs. We will start with a general discussion of non-reversible MCMC methods and the use of empirical measure large deviations in the simulation setting. We then focus on PDMPs, in particular the zig-zag sampler, and a large deviations analysis based on the Feng-Krutz approach; no previous knowledge of either PDMPs or large deviations will be necessary. This is based on joint work with Joris Bierkens and Mikola Schlottke.

  Bio:

  Pierre Nyquist is associate professor in the Department of Mathematics at KTH Royal Institute of Technology in Stockholm. He received his PhD in Applied and Computational Mathematics from the same institution in 2014. Before moving back to KTH in 2018 he spent time as a postdoc in the Division of Applied Mathematics at Brown University and as assistant professor at Eindhoven University of Technology. His research interests lie broadly at the intersection of analysis and probability and include large deviations, stochastic control, interacting particle systems and design and analysis of Monte Carlo methods. Recent work has focused on the mathematical foundation of methods in machine learning.

  Title: Piecewise deterministic Markov processes for MCMC - A large deviations analysis of the zig-zag sampler

  Abstract:

  Over the last decade piecewise deterministic Markov processes (PDMPs) have emerged as a new tool for MCMC simulation, potentially mitigating the problems of slow convergence and heavy computational cost exhibited by many other methods. The two main examples of such processes are the bouncy particle sampler and the zig-zag sampler. The idea of using PDMPs extends the ubiquitous discrete time MCMC methodology towards a new continuous time approach, having several advantageous aspects, for example non-reversibility and the possibility to reduce the computational effort per iteration by using subsampling techniques.

  In order to employ this new PDMP methodology a solid understanding of mathematical properties of these methods is necessary. Whereas the theoretical
  properties of PDMPs have been an active research area in recent years, our understanding of the performance of the corresponding MCMC methods is still incomplete. In particular knowledge of the speed of convergence of time averages is essential in choosing the most suitable sampling technology for a particular problem and in tuning the parameters of the chosen method.

  In this talk I will discuss recent work on using large deviation results for empirical measures to study and compare the performance of PDMPs. We will start with a general discussion of non-reversible MCMC methods and the use of empirical measure large deviations in the simulation setting. We then focus on PDMPs, in particular the zig-zag sampler, and a large deviations analysis based on the Feng-Krutz approach; no previous knowledge of either PDMPs or large deviations will be necessary. This is based on joint work with Joris Bierkens and Mikola Schlottke.

  —

  Bio:

  Pierre Nyquist is associate professor in the Department of Mathematics at KTH Royal Institute of Technology in Stockholm. He received his PhD in Applied and Computational Mathematics from the same institution in 2014. Before moving back to KTH in 2018 he spent time as a postdoc in the Division of Applied Mathematics at Brown University and as assistant professor at Eindhoven University of Technology. His research interests lie broadly at the intersection of analysis and probability and include large deviations, stochastic control, interacting particle systems and design and analysis of Monte Carlo methods. Recent work has focused on the mathematical foundation of methods in machine learning.

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  TIME Tuesday, February 18, 2020 at 11:00 AM - 12:00 PM

  LOCATION M228, Technological Institute    map it

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  CONTACT Agnes Kaminski    a-kaminski@northwestern.edu EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences

• Apr

  30

  Learning and Information Aggregation in Dynamic Games

  Department of Industrial Engineering and Management Sciences (IEMS)

  11:00 AM ITW 1.350, Ford Motor Company Engineering Design Center

  EVENT DETAILS

  Abstract: Many competitive situations can be represented as dynamic stochastic games in which there is an unobserved state that affects the players’ payoffs. Players try to learn both the environment and their competitors’ strategies. Without competition, to learn the environment, a player needs exploration and more information is always beneficial. This talk will discuss how competition can significantly change the structure of optimal policies and lead to the players’ optimally not learning the environment.

  Bio: John R. Birge is the Hobart W. Williams Distinguished Service Professor of Operations Management at the University of Chicago Booth School of Business. He studies mathematical modeling of systems under uncertainty, especially for maximizing operational and financial goals using the methodologies of stochastic programming and large-scale optimization. He has applied his work in a variety of contexts and industries including energy, finance, health care, manufacturing, and transportation. He has published widely and is the recipient of the Best Paper Award from the Japan Society for Industrial and Applied Mathematics, the Institute for Operations Research and the Management Sciences Fellows Award, the Institute of Industrial Engineers Medallion Award and was elected to the National Academy of Engineering.

  A former dean of the Robert R. McCormick School of Engineering and Applied Sciences at Northwestern University, he has worked as a consultant for a variety of firms including the University of Michigan Hospitals, Deutsche Bank, Allstate Insurance Company, and Morgan Stanley.

  Birge earned a bachelor's degree in mathematics from Princeton University in 1977 and a master's degree and a PhD in operations research from Stanford University in 1979 and 1980, respectively.

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  TIME Tuesday, April 30, 2024 at 11:00 AM - 12:00 PM

  LOCATION ITW 1.350, Ford Motor Company Engineering Design Center    map it

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  CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

• May

  8

  Extending Care: A Conversation about Conservation and Futurity

  Block Museum of Art

  6:00 PM Block Museum of Art, Mary and Leigh

  EVENT DETAILSmore info

  The Center for Scientific Studies in the Arts is a collaboration between the Art Institute of Chicago and materials science-related departments at Northwestern University to pursue objects-based and objects-inspired scientific research. Materials research benefits ongoing work in conservation, archaeology, art history, and curatorial scholarship.

  Learn how the Center uses materials research to care for art objects in sustainable, innovative ways with Maria Kokkori, Senior Scientist in the Center for Scientific Studies in the Arts. She will be in conversation with Corey Byrnes, Northwestern Associate Professor of Chinese Culture and co-founder/co-director of the Environmental Humanities Workshop in Kaplan Humanities Center.

  This event is presented by the McCormick School of Engineering and Applied Science in conjunction with exhibition Actions for the Earth: Art, Care & Ecology.

  Register Now

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  TIME Wednesday, May 8, 2024 at 6:00 PM - 7:30 PM

  LOCATION Block Museum of Art, Mary and Leigh    map it

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  CONTACT Block Museum of Art    block-museum@northwestern.edu EMAIL

  CALENDAR Block Museum of Art

• Jun

  10

  Northwestern Engineering PhD Hooding and Master's Degree Recognition Ceremony

  McCormick School of Engineering and Applied Science

  9:00 AM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering PhD Hooding and Master’s Degree Recognition Ceremony

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  TIME Monday, June 10, 2024 at 9:00 AM - 11:00 AM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Jun

  10

  Northwestern Engineering Undergraduate Convocation

  McCormick School of Engineering and Applied Science

  2:00 PM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering Undergraduate Convocation

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  TIME Monday, June 10, 2024 at 2:00 PM - 4:00 PM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Aug

  14

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

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  TIME Wednesday, August 14, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

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  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Aug

  15

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

  more less

  TIME Thursday, August 15, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

  ADD TO CALENDAR

  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science