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[theory-seminar] Elad Hazan talk today @3pm
gvaliant at cs.stanford.edu
Tue Oct 16 12:58:42 PDT 2018
Elad Hazan will be visiting from Princeton, and will be giving a talk 3-4pm
in Gates 463a. Hope to see you there,
Time/Location: Tues Oct 16, 3-4pm Gates 463a.
Speaker: Elad Hazan (Princeton University)
Title: Taking Control by Convex Optimization
Linear dynamical systems, a.k.a. Kalman filtering, are a class of
time-series models widely used in robotics, finance, engineering, and
meteorology. In it's general form (unknown system), learning LDS is a
classic non-convex problem, typically tackled with heuristics like gradient
descent ("backpropagation through time") or the EM algorithm.
I will present our new "spectral filtering" approach to the identification
and control of discrete-time general linear dynamical systems with
multi-dimensional inputs, outputs, and a latent state. This approach yields
a simple & efficient algorithms for low-regret prediction (i.e.
asymptotically vanishing MSE) as well as finite-time control.
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