DMS Statistics and Data Science Seminar

Time: Mar 04, 2021 (02:00 PM)
Location: ZOOM


Speaker: Hans-Werner van Wyk

Title: Stochastic Optimization in Data Analysis and Design under Uncertainty


Abstract: Questions of estimation, design, and control in systems subject to uncertainty can often be formulated as deterministic optimization problems, where the quantity to be minimized is some statistic related the model output. The idea of incorporating statistical sampling efficiently into the optimization loop has been fundamental to the development of feasible optimization methods in large-scale data applications. In this talk I will give a brief overview of stochastic optimization methods, the factors that determine their convergence, and their applications to stochastic tensor decomposition and to the optimal control of uncertain systems governed by partial differential equations.


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