FDS Colloquium: Philippe Rigollet (MIT) “Statistical applications of Wasserstein gradient flows”


17 Hillhouse Ave, 3rd floor, 17 Hillhouse Avenue, 3rd floor, New Haven, CT 06519

Speaker: Philippe Rigollet, PhD
Professor of Mathematics
Massachusetts Institute of Technology

Hosted by Yihong Wu

In-person event with remote access option via Panopto

Statistical applications of Wasserstein gradient flows

Abstract: Otto calculus is a fundamental toolbox in mathematical optimal transport, imparting the Wasserstein space of probability measures with a Riemmanian structure. In particular, one can compute the Riemannian gradient of a functional over this space and, in turn, optimize it using Wasserstein gradient flows. The necessary background to define and compute Wasserstein gradient flows will be presented in the first part of the talk before moving to several statistical applications ranging from variational inference to maximum likelihood estimation in Gaussian mixture models. Emphasis will be placed on conceptual ideas in order for the talk to be accessible to a broad audience.

Bio: Philippe Rigollet works at the intersection of statistics, machine learning, and optimization, focusing primarily on the design and analysis of statistical methods for high-dimensional problems. His recent research focuses on statistical optimal transport and its applications to geometric data analysis and sampling. Website: www-math.mit.edu/~rigollet

Thursday, April 20, 2023

3:30pm – Pre-talk meet and greet teatime – Dana House, 24 Hillhouse Avenue

4:00 – 5:00pm – Talk – This in-person seminar will be held at 17 Hillhouse, 3rd Floor Common Area with virtual participation https://yale.hosted.panopto.com/Panopto/Pages/Viewer.aspx?id=7219ac1f-3d1b-458c-86d7-afe9010e4e65