Georgia Institute of Technology College of Sciences

We define and motivate the Poisson point process, which is, informally, a “maximally random” scattering of points in some locally compact, second countable space. We introduce the ideal Poisson--Voronoi tessellation (IPVT), a new random object with intriguing geometric properties when considered on a semisimple symmetric space (the hyperbolic plane, for example). In joint work with Mikolaj Fraczyk and Sam Mellick, we use the IPVT to prove the minimal number of generators of a torsion-free lattice in a higher rank, semisimple Lie group is sublinear in the co-volume of the lattice. We give some intuition for the proof. No prior knowledge on Poisson point processes or symmetric spaces will be assumed.

How complicated can successive manifolds get in a tower of covering
spaces? Specifically, how large can the dimension of the first
cohomology get? We will begin with a tour of possible behaviors for
low-dimensional spaces, and then focus on arithmetic manifolds.
Specifically, for towers of complex-hyperbolic manifolds, I will
describe how to bound the rates of growth using known instances of
Langlands functoriality.

In his seminal 1991 paper, Thomas M. Cover introduced a simple and elegant mathematical model for trading on the stock market. This model, which later on came to be known as  online portfolio selection (OPS), is specified with only two integer parameters: the number of assets $d$ and time horizon $T$. In each round $t \in \{1, ..., T\}$, the trader selects a  portfolio--distribution $p_t \in R^d_+$ of the current capital over the set of $d$ assets; after this, the adversary generates a nonnegative vector $r_t \in R^d_+$ of returns (relative prices of assets), and the trader's capital is multiplied by the "aggregated return'' $\langle p_{t}, r_{t} \rangle$. Despite its apparent simplicity, this model captures the two key properties of the stock market: (i) it "plays against'' the trader; (ii) money accumulates multiplicatively. In the 30 years that followed, the OPS model has received a great deal of attention from the learning theory, information theory, and quantitative finance communities.

In the same paper, Cover also proposed an algorithm, termed Universal Portfolios, that admitted a strong performance guarantee: the regret of $O(d \log (T))$ against the best portfolio in hindsight, and without any restrictions of returns or portfolios. This guarantee was later on shown to be worst-case optimal, and no other algorithm attaining it has been found to date. Unfortunately, exact computation of a universal portfolio amounts to averaging over a log-concave distribution, which is a challenging task. Addressing this, Kalai and Vempala (2002) achieved the running time of $O(d^4 T^{14})$ per round via log-concave sampling techniques. However, with such a running time essentially prohibiting all but "toy'' problems--yet remaining state-of-the-art--the problem of finding an optimal and practical OPS algorithm was left open.

In this talk, after discussing some of the arising challenges, I shall present a fast and optimal OPS algorithm proposed in a recent work with R. Jezequel and P. Gaillard (arXiv:2209.13932). Our algorithm combines regret optimality with the runtime of $O(d^2 T)$, thus dramatically improving state of the art. As we shall see, the motivation and analysis of the proposed algorithm are closely related to establishing a sharp bound on the accuracy of the Laplace approximation for a log-concave distribution with a polyhedral support, which is a result of independent interest.

Zoom link to the talk: https://gatech.zoom.us/j/98280978183