FRE Special Seminar: Ibrahim Ekren & Louis-Pierre Chaintron
RSVP
Attend Virtually
4:00 PM | Louis-Pierre Chaintron
Research and Teaching Fellow at ENS Paris
Title
Optimal Rate of Convergence for Vanishing Noise Stochastic Control
Abstract
The rate of convergence of the value function for quadratic control problems in the small noise limit is a long-standing question. In this talk, I will present a proof of the optimal O( \epsilon \log \epsilon ) rate, recently obtained in a joint work with Samuel Daudin. Our method relies on simple probabilistic arguments, combining the regularity properties of a well-chosen stochastic flow with the semiconcavity of the value function. The obtained rate raises many questions about the optimality of constants, as well as perspectives for mean-field control.
Bio
Louis-Pierre Chaintron is a research and teaching fellow at ENS Paris. He obtained his PhD last year from École des Ponts Paris Tech. His main research interests are interacting particle systems, large deviation theory, calculus of variations, and stochastic filtering. He will stay at Columbia University until the end of April as a visiting researcher on Professor Lacker's team.
5:00 pm | Ibrahim Ekren
Associate Professor of Mathematics at the University of Michigan
Title
Uniform-in-Time Weak Propagation of Chaos for Consensus-Based Optimization
Abstract
We show that the uniform-in-time weak propagation of chaos methodology of Delarue-Tse can be used to study consensus-based optimization algorithms. The methodology leads to quantitative bounds for the joint convergence to the large particle and large time limit. Based on joint work with Erhan Bayraktar and Hongyi Zhou.
Bio
Ibrahim Ekren is an Associate Professor of Mathematics at the University of Michigan. After receiving his MS in Probability and Finance from the University of Paris 6, Ibrahim earned his PhD in Mathematics from the University of Southern California in 2014. From 2014 to 2017, he was a postdoctoral researcher at ETH Zurich, and from 2017 to 2018, he held the position of Byrne Postdoctoral Research Assistant Professor in the Department of Mathematics at the University of Michigan. He served as an Assistant Professor at Florida State University from 2018 to 2023.