PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Alexei Novikov, Amy Hanley.

Title:Variable bandwidth diffusion kernels and its applications
Seminar:Probability and Financial Mathematics Seminar
Speaker:John Harlim, Penn State University
Abstract:
I will discuss an extension of the diffusion maps algorithm with a class of variable bandwidth kernels to estimate the generator of gradient drift diffusion from data sampled from non-compact manifolds without boundary. I will discuss an application of this method for quantifying uncertainties of dynamical systems. If time is permitted, I will also talk about the recent extension on estimating the generator of diffusion processes on smooth manifolds embedded in Euclidean space.

Room Reservation Information

Room Number:MB106
Date:01 / 15 / 2016
Time:03:35pm - 04:35pm