2021-22 Catalog

Prerequisites ACM 95/100 ab or equivalent. This course gives an overview of different mathematical models used to describe a variety of phenomena arising in the biological, engineering, physical and social sciences. Emphasis will be placed on the principles used to develop these models, and on the unity and cross-cutting nature of the mathematical and computational tools used to study them. Applications will include quantum, atomistic and continuum modeling of materials; epidemics, reacting-diffusing systems; crowd modeling and opinion formation. Mathematical tools will include ordinary, partial and stochastic differential equations, as well as Markov chains and other stochastic processes. Not offered 2021-2022.

The main goal of the course is to provide an introduction to the central concepts and core methods of statistical learning, an interdisciplinary field at the intersection of statistics, machine learning, information and data sciences. The course focuses on the mathematics and statistics of methods developed for learning from data. Students will learn what methods for statistical learning exist, how and why they work (not just what tasks they solve and in what built-in functions they are implemented), and when they are expected to perform poorly. The course is oriented for upper level undergraduate students in IDS, ACM, and CS and graduate students from other disciplines who have sufficient background in probability and statistics. The course can be viewed as a statistical analog of CMS/CS/CNS/EE/IDS 155. Topics covered include supervised and unsupervised learning, regression and classification problems, linear regression, subset selection, shrinkage methods, logistic regression, linear discriminant analysis, resampling techniques, tree-based methods, support-vector machines, and clustering methods. Not offered 2021-2022.

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. Not offered 2021-2022.

This course offers an introduction to the theory of Partial Differential Equations (PDEs) commonly encountered across mathematics, engineering and science. The goal of the course is to study properties of different classes of linear and nonlinear PDEs (elliptic, parabolic and hyperbolic) and the behavior of their solutions using tools from functional analysis with an emphasis on applications. We will discuss representative models from different areas such as: heat equation, wave equation, advection-reaction-diffusion equation, conservation laws, shocks, predator prey models, Burger's equation, kinetic equations, gradient flows, transport equations, integral equations, Helmholtz and Schrödinger equations and Stoke's flow. In this course you will use analytical tools such as Gauss's theorem, Green's functions, weak solutions, existence and uniqueness theory, Sobolev spaces, well-posedness theory, asymptotic analysis, Fredholm theory, Fourier transforms and spectral theory. More advanced topics include: Perron's method, applications to irrotational flow, elasticity, electrostatics, special solutions, vibrations, Huygens' principle, Eikonal equations, spherical means, retarded potentials, water waves, various approximations, dispersion relations, Maxwell equations, gas dynamics, Riemann problems, single- and double-layer potentials, Navier-Stokes equations, Reynolds number, potential flow, boundary layer theory, subsonic, supersonic and transonic flow. Not offered 2021-2022.

Covers modern numerical methods. Possible topics include randomized matrix computations, numerical optimization, Monte Carlo methods. Not offered 2021-2022.

Finite difference and finite volume methods for hyperbolic problems. Stability and error analysis of nonoscillatory numerical schemes: i) linear convection: Lax equivalence theorem, consistency, stability, convergence, truncation error, CFL condition, Fourier stability analysis, von Neumann condition, maximum principle, amplitude and phase errors, group velocity, modified equation analysis, Fourier and eigenvalue stability of systems, spectra and pseudospectra of nonnormal matrices, Kreiss matrix theorem, boundary condition analysis, group velocity and GKS normal mode analysis; ii) conservation laws: weak solutions, entropy conditions, Riemann problems, shocks, contacts, rarefactions, discrete conservation, Lax-Wendroff theorem, Godunov's method, Roe's linearization, TVD schemes, high-resolution schemes, flux and slope limiters, systems and multiple dimensions, characteristic boundary conditions; iii) adjoint equations: sensitivity analysis, boundary conditions, optimal shape design, error analysis. Interface problems, level set methods for multiphase flows, boundary integral methods, fast summation algorithms, stability issues. Spectral methods: Fourier spectral methods on infinite and periodic domains. Chebyshev spectral methods on finite domains. Spectral element methods and h-p refinement. Multiscale finite element methods for elliptic problems with multiscale coefficients Not offered 2021-2022.

The topic of this course changes from year to year and is expected to cover areas such as stochastic differential equations, stochastic control, statistical estimation and adaptive filtering, empirical processes and large deviation techniques, concentration inequalities and their applications. Examples of selected topics for stochastic differential equations include continuous time Brownian motion, Ito's calculus, Girsanov theorem, stopping times, and applications of these ideas to mathematical finance and stochastic control. Not offered 2021-2022.

Introduction to finite element methods. Development of the most commonly used method-continuous, piecewise-linear finite elements on triangles for scalar elliptic partial differential equations; practical (a posteriori) error estimation techniques and adaptive improvement; formulation of finite element methods, with a few concrete examples of important equations that are not adequately treated by continuous, piecewise-linear finite elements, together with choices of finite elements that are appropriate for those problems. Homogenization and optimal design. Topics covered include periodic homogenization, G- and H-convergence, Gamma-convergence, G-closure problems, bounds on effective properties, and optimal composites. Not offered 2021-2022.

A basic knowledge of probability and statistics as well as transform methods for solving PDEs is assumed. This course develops some of the techniques of stochastic calculus and applies them to the theory of financial asset modeling. The mathematical concepts/tools developed will include introductions to random walks, Brownian motion, quadratic variation, and Ito-calculus. Connections to PDEs will be made by Feynman-Kac theorems. Concepts of risk-neutral pricing and martingale representation are introduced in the pricing of options. Topics covered will be selected from standard options, exotic options, American derivative securities, term-structure models, and jump processes. Not offered 2021-2022.