YMSC-BIMSA Applied and Computational Mathematics Seminar

报告人 Speaker:Zhangyi Hu (胡张翼) & Zhouchi Lin (林舟驰)
组织者 Organizer:朱毅
时间 Time:每周四 10:00—11:30am
地点 Venue:腾讯会议 836 6547 4971

Upcoming Talks:

Time: Thursday 10:00—11:30am, June 9,2022

Venue:Tencent Meeting ID: 836 6547 4971 

Title: Black Scholes model in trading practice

Speaker: Zhangyi Hu (胡张翼) & Zhouchi Lin (林舟驰) International Digital Economy Academy

Abstract: Black Scholes is by-far the most famous model in option pricing theory. This model has elegant mathematical representation, accompanied with many unrealistic assumptions. In this talk, we will try to build connections between trading activities and model assumptions as an approach to better understand this unrealistic yet popular model.


胡张翼,2009年毕业于北京大学,2014年毕业于密歇根大学后在彭博被破格聘用,担任Senior Quantitative Developer负责为开发衍生品定价模型,2017年加入纽约一家对冲基金负责股指期权相关的业务。2021年5月加入IDEA FinAI组,担任高级研究员。 

林舟驰,2012年毕业于中山大学,2018年于香港大学博士毕业后加入香港一家负责大中华地区场内期权做市的对冲基金,负责期权定价与策略研发相关业务,2021年3月加入IDEA FinAI组,担任金融系统研究工程师

Past Talks:


Time: Thursday 10:00—11:30am, May 19,2022

Venue:Tencent Meeting ID: 836 6547 4971

Title:Mathematical framework of heterogeneous stem cell regeneration

Speaker: Jinzhi Lei (Tiangong University, School of Mathematical Sciences, Center for Applied Mathematics)

Abstract:Stem cell regeneration is a basic biological process in multicellular organisms. This talk will introduce a novel mathematical framework to model the dynamics of stem cell regeneration with cell heterogeneity and cell plasticity. The framework generalizes the classical G0 cell cycle model and incorporates the epigenetic states of individual cells represented by a continuous multidimensional variable. Based on the model, we introduce a concept of kinetotype that represents the kinetic rates of cell behaviors, including proliferation, differentiation, and apoptosis, which are dependent on the epigenetic state of each cell. The concept of kinetotype provides a connection between single cell sequencing information and macroscopic population dynamics. The proposed mathematical framework provides a generalized formula that helps us to understand various dynamic processes of stem cell regeneration, including tissue development, degeneration, and abnormal growth.




Time: Thursday 10:00—11:30am, May 12,2022

Venue:Tencent Meeting  836 6547 4971

Title: Fokker-Planck equations of neuron networks: numerical simulation and exploring time-periodic solutions

Speaker: Zhennan Zhou (周珍楠),  Peking University

Abstract:  In this talk, we are concerned with the Fokker-Planck equations associated with the Nonlinear Noisy Leaky Integrate-and-Fire model for neuron networks. Due to the jump mechanism at the microscopic level, such Fokker-Planck equations are endowed with an unconventional structure: transporting the boundary flux to a specific interior point. In the first part of the talk, we present a conservative and positivity preserving scheme for these Fokker-Planck equations, and we show that in the linear case, the semi-discrete scheme satisfies the discrete relative entropy estimate, which essentially matches the only known long time asymptotic solution property. We also provide extensive numerical tests to verify the scheme properties, and carry out several sets of numerical experiments, including finite-time blowup, convergence to equilibrium and capturing time-period solutions of the variant models. Secondly, we are concerned with a kinetic model for neuron networks. Individual neurons are characterized by their voltage and conductance, the dynamics of the voltage is influenced by the conductance and when the voltage is reaching a threshold, it is immediately reset to a lower value. By exploring a series of toy models, we aim to identify the cause of the emergence of time-periodic solutions in such Fokker-Planck equations.

报告人简介:周珍楠,北京大学北京国际数学研究中心研究员、博士生导师。2014 年在美国威斯康辛大学麦迪逊分校获得博士学位,2014-2017 年在美国杜克大学担任助理研究教授,2017 年加入北京大学北京国际数学研究中心,任研究员、博士生导师。主要研究领域为微分方程的应用分析,微分方程数值解,应用随机分析,随机模拟等,特别是关注来源于自然科学的应用数学问题。入选中组部第十四批“千人计划”青年人才项目(2018),入选北京市科协(2020-2022 年)青年人才托举工程项目。

2022年4月28日10:00-11:30 AM

Title: Machine Learning and Seismic Tomography

Speaker: Xu Yang (杨旭) University of California-Santa Barbara

Abstract: The stochastic gradient descent (SGD) method and deep neural networks (DNN) are two main workhorses in machine learning. In this talk, we present some preliminary results on connecting SGD and DNN to the applications in seismic tomography. On the one hand, motivated by SGD, we propose to use random batch methods to construct the gradient for iterations in seismic tomography. On the other hand, we use deep neural networks to create a reliable PmP database from massive seismic data and study the case in Southern California. The major difficulty lies in that the identifiable PmP waves are rare, making the problem of identifying the PmP waves from a massive seismic database inherently unbalanced.

Bio:  Xu Yang got his Ph.D. at the University of Wisconsin-Madison in 2008, and spent two years at Princeton and two years at Courant Institute of NYU as a postdoc. He joined the University of California, Santa Barbara as an assistant professor in 2012, and became a full professor in 2020. His current research focuses on seismic imaging using realistic earthquake data. He has also been working on the applied analysis and numerical computation of scientific problems, including photonic graphene, ferromagnetic materials, and biological modeling.


2022年4月21日10:00-11:30 AM

Title: Quasiperiodic systems: algorithms, analysis and applications

Speaker:Kai Jiang (蒋凯) 湘潭大学

Abstract: In this talk, we will introduce recent advances in computing quasiperiodic systems. Quasiperiodic systems, related to irrational numbers, are important and widely existing systems, including quasicrystals, incommensurate systems, and interfacial problems. This talk will be split into three parts. The first part will introduce some basic concepts about quasiperiodic systems. The second part will give two methods to address the quasiperiodic systems, including the periodic approximation method (PAM) and the projection method (PM). We will give the approximation theory for these methods. Results demonstrate that the Diophantine approximation error dominates the computational precision of the PAM, which is independent of numerical computation. In contrast, the PM has spectral accuracy. The third part will present some applications, including the thermodynamic stability of quasicrystals, phase transition, quasiperiodic quantum systems, and quasiperiodic interfaces.




报告题目: Data Driven Modeling of Dynamics using a Generalized Onsager Principle and Deep Neural Networks with Rectified Power Units

报告人:于海军 研究员 中科院数学与系统科学研究院

报告摘要:  With recent advancements in machine learning and growing availability of data, there is an increasing focus on developing machine-learning-based methods for building dynamical models from observations of natural processes.  However, existing machine learning methods usually lead to black-box models, the learned mathematical models may lack a theoretical guarantee of long time stability.  We propose a systematic method (OnsagerNet) for learning stable and interpretable low-dimensional dynamical models based on a generalized Onsager principle.  The learned dynamics are autonomous ordinary differential equations parameterized by neural networks that retain clear physical structure information. The deep neural networks with rectified power units(RePU) are used to ensure the smoothness of learned dynamics and good approximation capability.  For high dimensional problems with a low dimensional slow manifold, an autoencoder with isometric regularization is proposed to find generalized coordinates on which we learn the generalized Onsager dynamics.  The method exhibits clear advantages in several benchmark problems for learning ordinary differential equations. We also applied this method as a model reduction tool to learn Lorenz-like low-dimensional models for the Rayleigh-Benard convection problem and derive moment-closure models for the Fokker-Planck equation of liquid crystal polymer dynamics. In those applications, both qualitative and quantitative properties of the underlying dynamics are captured.

个人简介:于海军,中国科学院数学与系统科学研究院 研究员。分别于2002年,2007年获得北京大学学士学位和博士学位。2007-2010年曾先后在美国普林斯顿大学和普渡大学从事博士后研究。主要研究方向为高精度数值方法. 在复杂流体的数学建模和计算, 高维偏微分方程稀疏网格谱方法,非梯度系统的相变路径高精度计算等方面取得多项重要成果。先后获得过中科院陈景润之星人才项目, 基金委重大研究计划和国际合作项目等资助。现任北京市计算数学学会理事, 中国工业与应用数学学会大数据与人工智能专委会委员.


2022年4月7日 10:00-11:30am

报告题目: Convergence of the Planewave Approximations for Quantum Incommensurate Systems

报告人: 陈华杰  北京师范大学

摘要:We study the numerical approximations of the spectrum distribution of Schrodinger operators for incommensurate systems. We provide rigorous analysis to characterize the quantitative of interests, i.e. the density of states, and develop numerical methods to approximate them based on planewave discretizations. In particular, we (i) justify the thermodynamic limit of the density of states in the real space formulation; (ii) propose a planewave approximation for the problem with some novel energy cutoffs specified for incommensurate systems, and provide a convergence analysis and error estimates with respect to the cutoffs; (iii) design an efficient algorithm to evaluate the density of states by sampling the reciprocal space. We present numerical simulations of some typical incommensurate systems to support the reliability and efficiency of our numerical algorithms.