In this talk, we discuss the fluctuation of f(X) as a matrix, where  X is a large square random matrix with  centered, independent, identically distributed entries and f is an analytic function. In particular, we show that for a generic deterministic matrix A of the same size as X, the trace of f(X)A is approximately Gaussian which decomposes into two independent modes corresponding to tracial and traceless parts of A. We also briefly discuss the proof that mainly relies on Hermitization of X and its resolvents. 

We consider an optimal transport problem where the cost depends on the stopping time of Brownian motion from a given distribution to another. When the target measure is fixed, it is often called the optimal Skorokhod embedding problem in the literature, a popular topic in math finance. Under a monotonicity assumption on the cost, the optimal stopping time is given by the hitting time to a space-time barrier set. When the target measure is optimized under an upper bound constraint, we will show that the optimal barrier set leads us to the Stefan problem, a free boundary problem for the heat equation describing phase transition between water and ice. This is joint work with Young-Heon Kim at UBC.

In this talk, we consider the Ising and Potts model defined on large lattices of dimension two or three at very low temperature regime. Under this regime, each monochromatic spin configuration is metastable in that exit from the energetic valley around that configuration is exponentially difficult. It is well-known that, under the presence of external magnetic fields, the metastable transition from a monochromatic configuration to another one is characterized solely by the appearance of a critical droplet. On the other hand, for the model without external field, the saddle structure is no longer characterized by a sharp droplet but has a huge and complex plateau structure. In this talk, we explain our recent research on the analysis of this energy landscape and its application to the demonstration of Eyring-Kramers formula for models on fixed two or three dimensional lattice (cf. https://arxiv.org/abs/2102.05565) or models on growing two-dimensional lattice (cf. https://arxiv.org/abs/2109.13583).

In this talk, I will describe the large deviation asymptotic of the sum of power-weighted edge lengths $\sum_{e \in E}|e|^\alpha$ in the Poisson $k$-nearest neighbor graph in $\mathbb R^d$. While the case $\alpha < d$ can be treated through classical methods from large deviations theory, an interesting dichotomy occurs if $\alpha > d$. Rare events in the lower tail can still be explained by subtle changes in the Poisson process throughout the sampling window. However, the most likely cause for rare events in the upper tail is a condensation phenomenon: the excess edge weight is caused by a negligible portion of Poisson points whose configuration can be described through a concrete geometric optimization problem. After presenting the general proof strategy, I will also elucidate on the prospects and limits of generalizing our approach to other spatial networks.

Offline reinforcement learning (RL) refers to the problem setting where the agent aims to optimize the policy solely from the pre-collected data without further environment interactions. In offline RL, the distributional shift becomes the primary source of difficulty, which arises from the deviation of the target policy being optimized from the behavior policy used for data collection. This typically causes overestimation of action values, which poses severe problems for model-free algorithms that use bootstrapping. To mitigate the problem, prior offline RL algorithms often used sophisticated techniques that encourage underestimation of action values, which introduces an additional set of hyperparameters that need to be tuned properly. In this talk, I present OptiDICE, an offline RL algorithm that prevents overestimation in a more principled way. OptiDICE directly estimates the stationary distribution corrections of the optimal policy and does not rely on policy-gradients, unlike previous offline RL algorithms. Using an extensive set of benchmark datasets for offline RL, OptiDICE is shown to perform competitively with the state-of-the-art methods. This is a joint work with Jongmin Lee (UC Berkeley), Wonseok Jeon (Qualcomm), Byung-Jun Lee (Korea U.), and Joelle Pineau (MILA)

The boundary of melting ice forms a random interface. So does the frontier of slowing burning pieces of paper. As time changes, the interface evolves in a random fashion. In probability theory, a collection of models often exhibits universal behaviors when the system size or time becomes large. The KPZ universality class comprises 1+1 dimensional probability models that mimic the random growth behavior mentioned above and display particular universal fluctuations.We will overview some of the development in this class that started about two decades ago.