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SUMMARY:Stochastic Differential Equations - David Burt
DTSTART:20190508T130000Z
DTEND:20190508T143000Z
UID:TALK124855@talks.cam.ac.uk
CONTACT:Robert Pinsler
DESCRIPTION:Stochastic Differential Equations (SDEs) have a range of appli
 cations from physics to finance and have attracted attention in the machin
 e learning community. We will give a brief overview of some of the theoret
 ical results concerning SDEs\, including the formulation of SDEs via the I
 to integral\, the Fokker-Planck Equation and simulation via the Euler-Maru
 yama method.  We will also highlight important machine learning applicatio
 ns of SDEs in optimization (Stochastic Gradient Langevin Dynamics) and the
  strong connections between SDEs and Gaussian processes.
LOCATION:Engineering Department\, CBL Room BE-438
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