Date: Tuesday, March 15, 2016
Location: 1360 East Hall (4:10 PM to 5:00 PM)
Title: Ziwet lecture I: Universality in numerical computations with random data. Case studies
Abstract: This is joint work with Govind Menon, Sheehan Olver and Thomas Trogdon. The speaker will present evidence for universality in numerical computations with random data. Given a (possibly stochastic) numerical algorithm with random input data, the time (or number of iterations) to convergence (within a given tolerance) is a random variable, called the halting time. Twocomponent universality is observed for the fluctuations of the halting time, i.e., the histogram for the halting times, centered by the sample average and scaled by the sample variance, collapses to a universal curve, independent of the input data distribution, as the dimension increases. Thus, up to two components, the sample average and the sample variance, the statistics for the halting time are universally prescribed. The case studies include six standard numerical algorithms, as well as a model of neural computation and decision making.
Files:
Speaker: Percy Deift
Institution: Courant Institute, NYU
Event Organizer:
