DESCRIPTION: This is a learning/reading seminar on stochastic systems. Faculty, postdocs, visiting scholars and graduate students will take turns presenting topics and research papers on stochastic systems arising in applications. We will also have some guest speakers from other institutions. Potential areas of application include biology, telecommunications, operations management, neuroscience and finance.
This seminar will run in Fall, Winter and Spring 2021-2022. It will meet at 3-3.50pm on Thursdays (initially via zoom). Please email the instructor for further information.
The seminar will meet once a week for an hour. PhD students can sign up for one unit of Math 288, Section C. (Suitable background is having taken the equivalent of Math 280ABC.)
Title: Incorporating age and delay into models for biophysical systems
Abstract: In many biological systems, chemical reactions or changes in a physical state are assumed to occur instantaneously. For describing the dynamics of those systems, Markov models that require exponentially distributed inter-event times have been used widely. However, some biophysical processes such as gene transcription and translation are known to have a significant gap between the initiation and the completion of the processes, which renders the usual assumption of exponential distribution untenable. In this talk, we consider relaxing this assumption by incorporating age-dependent random time delays (distributed according to a given probability distribution) into the system dynamics. We do so by constructing a measure-valued Markov process on a more abstract state space, which allows us to keep track of the 'ages' of molecules participating in a chemical reaction. We study the large-volume limit of such age-structured systems. We show that, when appropriately scaled, the stochastic system can be approximated by a system of partial differential equations (PDEs) in the large-volume limit, as opposed to ordinary differential equations (ODEs) in the classical theory. We show how the limiting PDE system can be used for the purpose of further model reductions and for devising efficient simulation algorithms. To describe the ideas, we will use a simple transcription process as a running example.
Thursday, January 13, 2022, 3 p.m. PST.
Ankit Gupta, ETH,
DeepCME: A deep learning framework for computing solution statistics of the Chemical Master Equation.
Abstract: Stochastic reaction network models are a popular tool for studying the effects of dynamical randomness in biological systems. Such models are typically analysed by estimating the solution of Kolmogorov's forward equation, called the chemical master equation (CME), which describes the evolution of the probability distribution of the random state-vector representing molecular counts of the reacting species. The size of the CME system is typically very large or even infinite, and due to this high-dimensional nature, accurate numerical solutions of the CME are very difficult to obtain. In this talk we will present a novel deep learning approach for computing solution statistics of high-dimensional CMEs by reformulating the stochastic dynamics using Kolmogorov's backward equation. The proposed method leverages superior approximation properties of Deep Neural Networks (DNNs) to reliably estimate expectations under the CME solution for several user-defined functions of the state-vector. Our method only requires a handful of stochastic simulations and it allows not just the numerical approximation of various expectations for the CME solution but also of its sensitivities with respect to all the reaction network parameters (e.g. rate constants). We illustrate the method with a number of examples and discuss possible extensions and improvements.
This is joint work with Prof. Christoph Schwab (Seminar for Applied Mathematics, ETH Zurich) and Prof. Mustafa Khammash (Department of Biosystems Science and Engineering, ETH Zurich)
Reference: Gupta A, Schwab C, Khammash M (2021) DeepCME: A deep learning framework for computing solution statistics of the chemical master equation. PLoS Comput Biol 17(12): e1009623. For a copy of the paper, click here.
Thursday, January 20, 2022, 1pm PST (NOTE UNUSUAL TIME)
Corentin Briat, ETH.
Optimal Continuous and Sampled-Data Control of Stochastic Reaction Networks
Abstract. Reactions networks are very flexible modeling tools that can be used to model biochemical, epidemiological, ecological and population networks. In certain situations, stochastic reaction networks need to be considered in place of their deterministic counterparts. This is notably the case in biology where some molecular counts can be typically small, meaning that the randomness in the interactions cannot be neglected anymore. After few words on reaction networks theory, biology and (optimal) control theory as introductory comments, I will address the problem of the in-silico optimal control of stochastic reaction networks. The theory extensively relies on the use of Dynamic Programming, which allows to formulate a solution to the optimal control problem in terms of the solution of a differential-difference equation. In the unimolecular case, this reduces to solving a Riccati differential equation. The sampled-data control of reaction networks will be addressed next using a hybrid formulation of the system. In this case, the solution is formulated in terms of a Lyapunov differential equations and a Riccati difference equation which can be numerically solved in order to find the optimal control input.
Thursday, February 3, 2022, 3 pm.
Amber Puha, CSUSM.
Large-time limit of nonlinearly coupled measure-valued equations that model many-server queues with reneging, following Rami Atar, Weining Kang, Haya Kaspi, Kavita Ramanan.
For a copy of the paper, click here.
Thursday, March 3, 2022, 3pm
Hye-Won Kang, University of Maryland, Baltimore County.
Learning and Information in Stochastic Networks
Optimal transport, Wasserstein distance and relative entropy
Mean Field Games
Biochemical Reaction Networks
Control and Adaptation in Biological Networks
Stochastic Models in Gene Networks
Bandwidth Sharing Networks
Inference for Stochastic Processes
Resource Sharing in Stochastic Networks
STOCHASTIC MODELS IN NEUROBIOLOGY
KPZ and REFLECTING BROWNIAN MOTION
Road Traffic Modeling
SOME SAMPLE PAPERS (from the 2005-06 seminar series)
Please address all enquiries concerning this seminar to Professor Williams at rjwilliams at ucsd dot edu
Thursday, January 30, 2020
Eva Loeser, On the equivalence between processor sharing and service in random order following Borst et al.
Thursday, February 6, 2020
Felipe Campos, On Wasserstein distance
Thursday, February 13, 2020
Professor Angela Yu, Cognitive Science, UCSD
Three wrongs make a right: reward underestimation mitigates idiosyncrasies in human bandit behavior
Thursday, February 20, 2020
Yingjia Fu, on relative entropy.
Thursday, February 27, 2020
Jiaqi Liu, on minmax option pricing meets Black-Scholes in the limit.
Thursday, October 1, 2020, 3pm.
Thursday, October 8, 2020, 3pm.
Professor Amber Puha, California State University, San Marcos and visiting UCSD,
on "Workload-Dependent Dynamic Priority for the Multiclass Queue with Reneging" following Rami Atar, Anat Lev-Ari.
Thursday, October 15, 2020, 3pm.
Toni Gui, UCSD, on Mean Field Games and Mathematical Finance
Thursday, October 22, 2020, 3pm.
Varun Khurana, UCSD, on "Mean Field Games, Mean Field Control Problems and Machine Learning".
Thursday, October 29, 2020, 3pm.
Yingjia Fu, UCSD,
On "Asymptotic Behavior of a Critical Fluid Model for Bandwidth Sharing with General File Size Distributions"
Thursday, November 5, 2020, 3pm.
Andrea Agazzi, Duke University. Large deviations and chemical reaction networks.
Thursday, November 12, 2020, 3pm.
Eva Loeser, UCSD, on A stochastic epidemic model of COVID-19 disease
Thursday, November 19, 2020, 3pm.
Yiren Wang, UCSD, on "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data"
Thursday, December 3, 2020, 3pm.
Felipe Campos, UCSD, "On Separation of time-scales and model reduction for stochastic reaction networks". Click here for a copy of the paper by Kang and Kurtz on which this talk is based.
Thursday, January 7, 2021
No meeting, so as not to conflict with the Joint Math Meetings.
Thursday, January 14, 2021
Sam Babichenko, UCSD undergraduate student, on "Mean Field Games and Interacting Particle Systems" following David Lacker. For a preprint of the relevant paper, click here.
Thursday, January 21, 2021. ( AWM talk at 4pm. Note special time. Zoom information can be found by clicking on the AWM talk link.)
Professor Amber Puha, California State University San Marcos.
From Queueing Theory to Modern Stochastic Networks: A Mathematical Perspective.
Thursday, February 4, 2021.
Professor Cristina Costantini, Universite di Chieti-Pescara, Italy.
Obliquely reflecting diffusions in non-smooth domains: some new existence and uniqueness results.
Click here for first paper related to this talk.
Click here for a second paper related to this talk.
Draft of a third paper related to the talk.
Thursday, February 25, 2021
Eva Loeser, UCSD graduate student, On Heavy Traffic Limit for a Processor Sharing Queue with Soft Deadlines, following Gromoll and Kruk (2007).
Thursday, March 4, 2021
Varun Khurana, UCSD graduate student, on "Deep hedging" following Hans Buehler, Lukas Gonon, Josef Teichmann, and Ben Wood. For the relevant paper, click here.
Thursday April 29, 2021
Yueyang Zhong (PhD student, University of Chicago), Behavior-Aware Queueing: The Finite-Buffer Setting with Many Strategic Servers.
This talk is based on joint work with Amy R. Ward (Chicago Booth) and Raga Gopalakrishnan (Smith School of Business, Queens University).
For the paper, click here.
Thursday May 6, 2021
Angelos Aveklouris, University of Chicago.
Matching demand and supply in service platforms.
For the related paper, please click here.
Abstract: Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. We show how to balance the trade-off between making a less good match quickly and waiting for a better match, at the risk of losing impatient customers and/or workers. When the objective is to maximize the cumulative value of matches over a finite-time horizon, we propose discrete-review matching policies, both for the case in which the platform has access to arrival rate parameter information and the case in which the platform does not. We show that both the blind and nonblind policies are asymptotically optimal in a high-volume setting. However, the blind policy requires frequent re-solving of a linear program. For that reason, we also investigate a blind policy that makes decisions in a greedy manner, and we are able to establish an asymptotic lower bound for the greedy, blind policy that depends on the matching values and is always higher than half of the value of an optimal policy. Next, we develop a fluid model that approximates the evolution of the stochastic model and captures explicitly the nonlinear dependence between the amount of demand and supply waiting and the distribution of their patience times. We establish a fluid limit theorem and show that the fluid limit converges to its equilibrium. Based on the fluid analysis, we propose a policy for a more general objective that additionally penalizes queue build-up.
Thursday May 13, 2021
Justin Mulvany, PhD student, USC.
Fair Scheduling of Heterogeneous Customer Populations. (Joint work with Ramandeep Randhawa.)
For a copy of a related preprint, click here.
Thursday May 20, 2021
Felipe Campos, UCSD graduate student.
Comparison Methods for Markov Processes.
(The talk will be a combination of Comparison Methods for Stochastic Models and Risks by Muller and Stoyan, and Stochastic Orderings for Markov Processes on Partially Ordered Sets, by William Massey).
Thursday June 3, 2021
Pooja Agarwal, UCSD, Infinite-Dimensional Scaling Limits of Many-Server Stochastic Networks.P>