2014-15 Catalog

This course introduces the theory and applications of linear algebra and linear analysis. Lectures and homework will require the ability to understand and produce mathematical proofs. Theoretical topics may include topology of metric spaces, structure of Banach and Hilbert spaces, examples of normed spaces, duality, structure of linear operators, spectral theory, functional calculus for linear operators, and calculus in Banach spaces. Applications will be drawn from signal processing, numerical analysis, optimization, approximation, differential equations, control, and other areas. Emphasis will be placed on geometry and convexity.

This class studies mathematical optimization from the viewpoint of convexity. Topics covered include duality and representation of convex sets; linear and semidefinite programming; connections to discrete, network, and robust optimization; relaxation methods for intractable problems; as well as applications to problems arising in graphs and networks, information theory, control, signal processing, and other engineering disciplines.

Introduction to fundamental ideas and techniques of stochastic analysis and modeling. Random variables, expectation and conditional expectation, joint distributions, covariance, moment generating function, central limit theorem, weak and strong laws of large numbers, discrete time stochastic processes, stationarity, power spectral densities and the Wiener-Khinchine theorem, Gaussian processes, Poisson processes, Brownian motion. The course develops applications in selected areas such as signal processing (Wiener filter), information theory, genetics, queuing and waiting line theory, and finance.

This course covers advanced topics in the design and analysis of algorithms. Topics are drawn from approximation algorithms, randomized algorithms, online algorithms, streaming algorithms, and other areas of current research interest in algorithms.

Social networks, the web, and the internet are essential parts of our lives and we all depend on them every day, but do you really know what makes them work?This course studies the "big" ideas behind our networked lives. Things like, what do networks actually look like (and why do they all look the same)? How do search engines work? Why do memes spread the way they do? How does web advertising work? For all these questions and more, the course will provide a mixture of both mathematical analysis and hands-on labs. The course assumes students are comfortable with graph theory, probability, and basic programming.

This course covers classical and modern approaches to problems in signal processing. Problems may include denoising, deconvolution, spectral estimation, direction-of-arrival estimation, array processing, independent component analysis, system identification, filter design, and transform coding. Methods rely heavily on linear algebra, convex optimization, and stochastic modeling. In particular, the class will cover techniques based on least-squares and on sparse modeling. Throughout the course, a computational viewpoint will be emphasized.

Fundamentals of estimation theory and hypothesis testing; Bayesian and non-Bayesian approaches; minimax analysis, Cramer-Rao bounds, shrinkage in high dimensions; Kalman filtering, basics of graphical models; statistical model selection. Throughout the course, a computational viewpoint will be emphasized.

Registration open to graduate students only. This course is a research seminar covering topics at the intersection of mathematics, computation, and their applications. Speakers are internationally recognized researchers from mathematics, applied mathematics, statistics, computer science, electrical engineering, control theory, and related disciplines. Attendance is required. Staff.