Inference, Computation, and Games

Applied and Computational Mathematics Seminar
Monday, September 20, 2021 - 2:00pm for 1 hour (actually 50 minutes)
Skiles 005 and
Florian Schaefer – GT CSE
Molei Tao

Please Note: Note the hybrid mode. The speaker will be in person in Skiles 005.

In this talk, we develop algorithms for numerical computation, based on ideas from competitive games and statistical inference. 


In the first part, we propose competitive gradient descent (CGD) as a natural generalization of gradient descent to saddle point problems and general sum games. Whereas gradient descent minimizes a local linear approximation at each step, CGD uses the Nash equilibrium of a local bilinear approximation. Explicitly accounting for agent-interaction significantly improves the convergence properties, as demonstrated in applications to GANs, reinforcement learning, and computer graphics.


In the second part, we show that the conditional near-independence properties of smooth Gaussian processes imply the near-sparsity of Cholesky factors of their dense covariance matrices. We use this insight to derive simple, fast solvers with state-of-the-art complexity vs. accuracy guarantees for general elliptic differential- and integral equations. Our methods come with rigorous error estimates, are easy to parallelize, and show good performance in practice.