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Course Details

Spring 2013-2014
ORF 570   No Audit

Special Topics in Statistics and Operations Research - Probability in High Dimension

Ramon van Handel

An introduction to nonasymptotic methods for the study of random structures in high dimension that arise in probability, statistics, computer science, and mathematics. Emphasis is on developing a common set of tools that has proved to be useful in different areas. Topics may include: suprema of random processes; Gaussian and Rademacher inequalities; generic chaining; entropy and combinatorial dimensions; concentration of measure; functional, transportation cost, martingale inequalities; isoperimetry; Markov semigroups, mixing times, random fields; hypercontractivity; thresholds and influences; Stein's method; selected applications.

Sample reading list:
Boucheron, Lugosi, Massart, Concentration Inequalities
Ledoux, The Concentration of Measure Phenomenon
Ledoux, Talagrand, Probability in Banach Spaces
van der vaart, wellner, Weak Convergence and Empirical Processes
Bakry, Ledoux, Soloff-Coste, Markov Semigroups at Saint-Flour
Chen, Goldstein, Shao, Normal Approximation by Steins Method
See instructor for complete list

Reading/Writing assignments:
Homework set due weekly

Design Project - 40%
Papers - 60%

Prerequisites and Restrictions:
Probability at least at the level of ORF 526.

Other information:
GRADING: A homework set is due every week. In addition, there is a final project (but no midterm or final exam). Breakdown: Homework 60%,; Project 40%. Additional points are available for serving as a scribe during lectures

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
41878 L01 09:30:00 am - 10:50:00 am M W   Friend Center   004   Enrolled:22 Limit:40