EE Student Information

Probability Seminar: Hamilton-Jacobi equations for statistical inference problems

Topic: 
Hamilton-Jacobi equations for statistical inference problems
Monday, January 3, 2022 - 4:00pm
Speaker: 
​Jiaming Xia (Univ of Pennsylvania)
Abstract / Description: 

We present the Hamilton–Jacobi equation approach to a class of high dimensional statistical inference problems. We start by introducing the model of matrix tensor products, the free energy associated with them, and motivation for studying their high-dimensional limit. Then we sketch the basic setup of the Hamilton–Jacobi equation approach. Lastly, I discuss the application of this approach to models with multiple hidden layers.

This is based on joint work with Hong-Bin Chen, and Jean-Christophe Mourrat.