Jointly organized by Harvard University, Massachusetts Institute of Technology, and Microsoft Research New England, the Charles River Lectures on Probability and Related Topics is a one-day event for the benefit of the greater Boston area mathematics community.
The 2017 lectures will take place 9:15am – 5:30pm on Monday, October 2 at Harvard University in the Harvard Science Center.
Title: Noise stability of the spectrum of large matrices
Abstract: The spectrum of large non-normal matrices is notoriously sensitive to perturbations, as the example of nilpotent matrices shows. Remarkably, the spectrum of these matrices perturbed by polynomially(in the dimension) vanishing additive noise is remarkably stable. I will describe some results and the beginning of a theory.
The talk is based on joint work with Anirban Basak and Elliot Paquette, and earlier works with Feldheim, Guionnet, Paquette and Wood.
10:20 am – 11:20 am:Andrea Montanari
Title: Algorithms for estimating low-rank matrices
Abstract: Many interesting problems in statistics can be formulated as follows. The signal of interest is a large low-rank matrix with additional structure, and we are given a single noisy view of this matrix. We would like to estimate the low rank signal by taking into account optimally the signal structure. I will discuss two types of efficient estimation procedures based on message-passing algorithms and semidefinite programming relaxations, with an emphasis on asymptotically exact results.
11:20 am – 11:45 am: Break
11:45 am – 12:45 pm:Paul Bourgade
Title: Random matrices, the Riemann zeta function and trees
Abstract: Fyodorov, Hiary & Keating have conjectured that the maximum of the characteristic polynomial of random unitary matrices behaves like extremes of log-correlated Gaussian fields. This allowed them to predict the typical size of local maxima of the Riemann zeta function along the critical axis. I will first explain the origins of this conjecture, and then outline the proof for the leading order of the maximum, for unitary matrices and the zeta function. This talk is based on joint works with Arguin, Belius, Radziwill and Soundararajan.
1:00 pm – 2:30 pm: Lunch
In Harvard Science Center Hall E:
2:45 pm – 3:45 pm: Roman Vershynin
Title: Deviations of random matrices and applications
Abstract: Uniform laws of large numbers provide theoretical foundations for statistical learning theory. This lecture will focus on quantitative uniform laws of large numbers for random matrices. A range of illustrations will be given in high dimensional geometry and data science.
3:45 pm – 4:15 pm: Break
4:15 pm – 5:15 pm:Massimiliano Gubinelli
Title: Weak universality and Singular SPDEs
Abstract: Mesoscopic fluctuations of microscopic (discrete or continuous) dynamics can be described in terms of nonlinear stochastic partial differential equations which are universal: they depend on very few details of the microscopic model. This universality comes at a price: due to the extreme irregular nature of the random field sample paths, these equations turn out to not be well-posed in any classical analytic sense. I will review recent progress in the mathematical understanding of such singular equations and of their (weak) universality and their relation with the Wilsonian renormalisation group framework of theoretical physics.
