EPFL Statistics Seminar

  • Prof. Po-Ling Loh

    University of Wisconsin
    Friday, February 24, 2017
    Time 15:15 - Room MA10

    Title: From information to estimation in stochastic differential equations

    Abstract

    We study the relationship between information- and estimation-theoretic quantities in time-evolving systems. Our starting point is a stochastic differential equation and its associated partial differential equation, known as the Fokker-Planck equation. We show that the time derivatives of entropy, KL divergence, and mutual information are characterized by estimation-theoretic quantities involving an appropriate generalization of the Fisher information. Our results vastly extend relationships known as De Bruijn's identity and the I-MMSE relation, which have generated recent interest in the information theory community for the special case of Brownian motion. We also develop connections to a generalized version of the Bayesian Cramer-Rao bound. This is joint work with Andre Wibisono and Varun Jog

  • Prof. Jonas Peters

    University of Copenhagen
    Friday, March 31, 2017
    Time 15:15 - Room MA10

    Title: TBA

    Abstract

    TBA

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