報(bào)告人: 夏志明教授、薄立軍教授、許勇教授
講座日期：2020-10-23
講座時(shí)間：8:30
報(bào)告地點(diǎn)：騰訊會(huì)議（404445121）、數(shù)學(xué)與信息科學(xué)學(xué)院學(xué)術(shù)交流廳
主辦單位：數(shù)學(xué)與信息科學(xué)學(xué)院
報(bào)告題目1：Distributed Feature Screening via Componentwise Debiasing
報(bào)告人: 夏志明教授
講座日期：2020-10-23
講座時(shí)間：8:30
報(bào)告地點(diǎn)：騰訊會(huì)議（404445121）
講座人簡(jiǎn)介：
夏志明，教授，博士生導(dǎo)師，西北大學(xué)現(xiàn)代統(tǒng)計(jì)研究中心副主任，統(tǒng)計(jì)系主任，主要致力于張量數(shù)據(jù)分析、大數(shù)據(jù)異質(zhì)性結(jié)構(gòu)推斷、分布式統(tǒng)計(jì)推斷與計(jì)算、生物統(tǒng)計(jì)學(xué)等數(shù)據(jù)科學(xué)理論與應(yīng)用研究。在“Biometrika”、“Journal of machine learning research”, “Technometrics”、“Statistics in Medicine”等國(guó)際統(tǒng)計(jì)與機(jī)器學(xué)習(xí)期刊以及“中國(guó)科學(xué)”、“應(yīng)用概率統(tǒng)計(jì)”等國(guó)內(nèi)期刊發(fā)表論文40余篇；主持國(guó)家自然科學(xué)基金項(xiàng)目3項(xiàng)，主持省部級(jí)項(xiàng)目3項(xiàng), 作為骨干成員獲得“陜西省科學(xué)技術(shù)進(jìn)步獎(jiǎng)”二、三等獎(jiǎng)共2項(xiàng)，“陜西省高校科學(xué)技術(shù)獎(jiǎng)”一等獎(jiǎng)共2項(xiàng)，“陜西省國(guó)防科技進(jìn)步獎(jiǎng)”一等獎(jiǎng)1項(xiàng)；先后赴香港科技大學(xué)、佛羅里達(dá)大學(xué)等科研機(jī)構(gòu)進(jìn)行專業(yè)訪問(wèn)與學(xué)術(shù)交流。
講座簡(jiǎn)介：
Feature screening is a powerful tool in processing high-dimensional data. When the sample size N and the number of features p are both large, the implementation of classic screening methods can be numerically challenging. In this paper, we propose a distributed screening framework for big data setup. In the spirit of “divide-and-conquer”, the proposed framework expresses a correlation measure as a function of several component parameters, each of which can be distributively estimated using a natural U-statistic from data segments. With the component estimates aggregated, we obtain final correlation estimate that can be readily used for screening features. This framework enables distributed storage and parallel computing and thus is computationally attractive. Due to the unbiased distributive estimation of the component parameters, the nal aggregated estimate achieves a high accuracy that is insensitive to the number of data segments m. Under mild conditions, we show that the aggregated correlation estimator is as ecient as the centralized estimator in terms of the probability convergence bound and the mean squared error rate; the corresponding screening procedure enjoys sure screening property for a wide range of correlation measures. The promising performances of the new method are
supported by extensive numerical examples.
報(bào)告題目2：Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
報(bào)告人: 薄立軍教授
講座日期：2020-10-23
講座時(shí)間：14:30
報(bào)告地點(diǎn)：數(shù)學(xué)與信息科學(xué)學(xué)院學(xué)術(shù)交流廳
講座人簡(jiǎn)介：
薄立軍，西安電子科技大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院教授，本科畢業(yè)于西安電子科技大學(xué)數(shù)學(xué)系，碩士和博士畢業(yè)于南開(kāi)大學(xué)概率論與數(shù)理統(tǒng)計(jì)專業(yè)，研究方向?yàn)殡S機(jī)分析、隨機(jī)控制與金融數(shù)學(xué)。 2012年入選教育部新世紀(jì)優(yōu)秀人才支持計(jì)劃，先后主持國(guó)家自然科學(xué)基金面上項(xiàng)目2項(xiàng) (數(shù)理學(xué)部)、中科院前沿科學(xué)重點(diǎn)研究計(jì)劃-青年拔尖科學(xué)家項(xiàng)目。目前已在國(guó)際公認(rèn)的概率統(tǒng)計(jì)、金融數(shù)學(xué)、管理和運(yùn)籌學(xué)權(quán)威期刊Math. Finan., Finan. & Stoch., SIAM J. Finan. Math., SIAM J. Control & Optim, Math. Opers. Res., J.Banking & Finan., Appl. Math. & Optim., J. Dyn. Econ. & Contr., Queueing Syst., J. Theor. Probab.上發(fā)表學(xué)術(shù)論文30余篇。目前擔(dān)任中國(guó)概率統(tǒng)計(jì)學(xué)會(huì)會(huì)刊《應(yīng)用概率統(tǒng)計(jì)》編委；美國(guó)數(shù)學(xué)科學(xué)研究所(AIMS)旗艦期刊《J. Dynamics & Games》Associate Editor.
講座簡(jiǎn)介：
This talk is concerned with the ?nite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. To formulate such an optimal tracking problem, we envision that the fund manager can dynamically inject capital into the portfolio account such that the total capital dominates the nondecreasing benchmark ?oor process at each intermediate time. The control problem is to minimize the cost of the accumulative capital injection. We ?rst transform the original problem with ?oor constraints into an unconstrained control problem, however, under a running maximum cost. By identifying a controlled state process with re?ection, we next transform the problem further into an equivalent auxiliary problem, which leads to a nonlinear Hamilton-Jacobi-Bellman (HJB) with a Neumann boundary condition. By employing the dual transform, the probabilistic representation approach and some stochastic ?ow arguments, the existence of the unique classical solution to the dual HJB is established. The veri?cation theorem is carefully proved, which gives the complete characterization of the primal value function and the feedback optimal portfolio.
報(bào)告題目3：非高斯Lévy噪聲誘導(dǎo)的復(fù)雜動(dòng)力學(xué)研究
報(bào)告人: 許勇教授
講座日期：2020-10-23
講座時(shí)間：16:30
報(bào)告地點(diǎn)：數(shù)學(xué)與信息科學(xué)學(xué)院學(xué)術(shù)交流廳
講座人簡(jiǎn)介：
許勇，博士，教授，博導(dǎo)，德國(guó)洪堡高級(jí)研究學(xué)者（experienced researcher），教育部新世紀(jì)優(yōu)秀人才，陜西省青年科技新星，陜西省首屆杰出青年基金獲得者，陜西省特支計(jì)劃科技創(chuàng)新人才，西北工業(yè)大學(xué)優(yōu)秀青年教師、翱翔青年學(xué)者。主要研究領(lǐng)域?yàn)閼?yīng)用數(shù)學(xué)和力學(xué)，研究方向?yàn)殡S機(jī)動(dòng)力系統(tǒng)與應(yīng)用概率統(tǒng)計(jì)。主持包括6項(xiàng)國(guó)家自然科學(xué)基金在內(nèi)的10余項(xiàng)省部級(jí)項(xiàng)目，在國(guó)內(nèi)外著名期刊上發(fā)表 SCI期刊論文100余篇，其中第一或通訊作者80余篇。研究成果分別以第一完成人獲得2016年度陜西省科學(xué)技術(shù)一等獎(jiǎng)和2016年教育部自然科學(xué)技術(shù)二等獎(jiǎng)，2007年獲得陜西省科學(xué)技術(shù)一等獎(jiǎng)（第四完成人），2018年陜西省第十一屆青年科技獎(jiǎng)獲得者。2019年陜西省重點(diǎn)科技創(chuàng)團(tuán)隊(duì)負(fù)責(zé)人。現(xiàn)任陜西省振動(dòng)工程學(xué)會(huì)理事長(zhǎng)、中國(guó)力學(xué)學(xué)會(huì)動(dòng)力學(xué)與控制專業(yè)委員會(huì)隨機(jī)動(dòng)力學(xué)專業(yè)組組長(zhǎng)、中國(guó)數(shù)學(xué)會(huì)理事、中國(guó)振動(dòng)工程學(xué)會(huì)理事、陜西省工業(yè)與應(yīng)用數(shù)學(xué)學(xué)會(huì)副理事、陜西省統(tǒng)計(jì)學(xué)會(huì)常務(wù)理事、中國(guó)振動(dòng)工程學(xué)會(huì)非線性振動(dòng)專業(yè)委員會(huì)委員、中國(guó)宇航學(xué)會(huì)飛行器任務(wù)規(guī)劃專業(yè)委員會(huì)委員， 國(guó)際雜志Complexity與Frontiers in Physiology/Physics/Molecular Biosciences-Biophysics副主編（Associate Editor），Chaos，Theoretical & Applied Mechanics Letters，動(dòng)力學(xué)與控制學(xué)報(bào)編委、美國(guó)《數(shù)學(xué)評(píng)論》評(píng)論員、60余本國(guó)內(nèi)外期刊審稿人。教學(xué)上主要從事隨機(jī)動(dòng)力系統(tǒng)、統(tǒng)計(jì)計(jì)算、近現(xiàn)代統(tǒng)計(jì)、隨機(jī)微分方程、非線性動(dòng)力學(xué)等本科、研究生和留學(xué)生課程的教學(xué)，編著教材4本。第一完成人獲得陜西省教學(xué)成果特等獎(jiǎng)1項(xiàng)。
講座簡(jiǎn)介：
報(bào)告將給出作者及其團(tuán)隊(duì)在非高斯Levy噪聲所誘導(dǎo)的復(fù)雜動(dòng)力學(xué)方面的成果，包括早期預(yù)警，粗糙勢(shì)函數(shù)與隨機(jī)動(dòng)力學(xué)，隨機(jī)二元機(jī)翼模型，隨機(jī)平均原理等，特別是發(fā)現(xiàn)以往高斯噪聲下所不能發(fā)現(xiàn)的現(xiàn)象，研究非高斯與相關(guān)噪聲的對(duì)非線性動(dòng)力學(xué)的作用機(jī)理、方法和理論。最后給出目前存在的問(wèn)題以及可能解決的方法。
