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Department Talks

Low-rank dynamics

IS Colloquium
  • 26 May 2014 • 15:15 16:30
  • Christian Lubich
  • AGBS seminar room

This talk reviews differential equations on manifolds of matrices or tensors of low rank. They serve to approximate, in a low-rank format, large time-dependent matrices and tensors that are either given explicitly via their increments or are unknown solutions of differential equations. Furthermore, low-rank differential equations are used in novel algorithms for eigenvalue optimisation, for instance in robust-stability problems.

Organizers: Philipp Hennig


  • Simo Särkkä
  • Max Planck House Lecture Hall

Gaussian process regression is a non-parametric Bayesian machine learning paradigm, where instead of estimating parameters of fixed-form functions, we model the whole unknown functions as Gaussian processes. Gaussian processes are also commonly used for representing uncertainties in models of dynamic systems in many applications such as tracking, navigation, and automatic control systems. The latter models are often formulated as state-space models, where the use of non-linear Kalman filter type of methods is common. The aim of this talk is to discuss connections of Kalman filtering methods and Gaussian process regression. In particular, I discuss representations of Gaussian processes as state-space models, which enable the use of computationally efficient Kalman-filter-based (or more general Bayesian-filter-based) solutions to Gaussian process regression problems. This also allows for computationally efficient inference in latent force models (LFM), which are models combining first-principles mechanical models with non-parametric Gaussian process regression models.

Organizers: Philipp Hennig


  • Rainer Dahlhaus
  • Max Planck House Lecture Hall

(joint work with Jan. C. Neddermeyer) A technique for online estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction. Furthermore, a nonlinear market microstructure noise model is proposed that reproduces several stylized facts of high frequency data. A computationally efficient particle filter is used that allows for the approximation of the unknown efficient prices and, in combination with a recursive EM algorithm, for the estimation of the volatility curve. We neither assume that the transaction times are equidistant nor do we use interpolated prices. We also make a distinction between volatility per time unit and volatility per transaction and provide estimators for both. More precisely we use a model with random time change where spot volatility is decomposed into spot volatility per transaction times the trading intensity - thus highlighting the influence of trading intensity on volatility.

Organizers: Michel Besserve


Simulation in physical scene understanding

IS Colloquium
  • 28 March 2014 • 11:15 12:45
  • Peter Battaglia
  • Max Planck House Lecture Hall

Our ability to understand a scene is central to how we interact with our environment and with each other. Classic research on visual scene perception has focused on how people "know what is where by looking", but this talk will explore people's ability to infer the "hows" and "whys" of their world, and in particular, how they form a physical understanding of a scene. From a glance we can know so much: not only what objects are where, but whether they are movable, fragile, slimy, or hot; whether they were made by hand, by machine, or by nature; whether they are broken and how they could be repaired; and so on. I posit that these common-sense physical intuitions are made possible by the brain's sophisticated capacity for constructing and manipulating a rich mental representation of a scene via a mechanism of approximate probabilistic simulation -- in short, a physics engine in the head. I will present a series of recent and ongoing studies that develop and test this computational model in a variety of prediction, inference, and planning tasks. Our model captures various aspects of people's experimental judgments, including the accuracy of their performance as well as several illusions and errors. These results help explain core aspects of human mental models that are instrumental to how we understand and act in our everyday world. They also open new directions for developing robotic and AI systems that can perceive, reason, and act the way people do.

Organizers: Michel Besserve



Dino Sejdinovic - TBA

IS Colloquium
  • Dino Sejdinovic