EPFL-UMLV 09

The third EPFL-UMLV Workshop on Random Matrices, Information Theory and Applications

Program

Thursday, December 3

Morning session (8:30 AM - 12:20 PM): Random matrices and financial markets

8:30-9:20: Jean-Philippe Bouchaud (Capital Fund Management - CEA Gif sur Yvette): Applications of random matrix theory in finance (slides)
9:20-10:10: Gilles Zumbach (RiskMetrics): Empirical properties of large matrices in finance (slides)
10:10-10:40: Coffee break
10:40-11:30: David Morton (Swissquote - EPFL): Weighted covariance and correlation matrices: old friends and power-estimators (slides)
11:30-12:20: Sandrine Peche (Institut Fourier, Grenoble): Non white sample covariance matrices (slides)

Afternoon session (2:10 PM - 6:00 PM): Information theory

2:10 - 3:00: Alfred Hero (University of Michigan): Correlation screening in high dimension (slides)
3:00 - 3:50: Paolo Gibilisco (Tor Vergata, Rome): Covariance, means and Fisher information: a quantum journey at the light of uncertainty relations (slides)
3:50 - 4:20: Coffee break
4:20 - 5:10: Emre Telatar (EPFL): Polarization codes and the rate of polarization (slides)
5:10 - 6:00: Fleming Topsoe (University of Copenhagen): Philosophy of information (slides)

Friday, December 4

Morning session (8:30 AM - 12:20 PM): Random matrices and communications

8:30 - 9:20: Philippe Loubaton (Universite de Marne-la-Vallee): Almost sure location of the singular values of Gaussian large random matrices: the information plus noise model case (slides)
9:20 - 10:10: Xavier Mestre (CTTC, Barcelona): Using random matrix theory in array processing applications: the small sample size regime (slides)
10:10 - 10:40: Coffee break
10:40 - 11:30: Sheng Yang (Supelec): Diversity of MIMO multihop channels with linear relaying (slides)
11:30 - 12:20: Nicolas Macris (EPFL): The capacity of the binary-input random code division multiple-access channel (slides)

Afternoon session (1:40 PM - 5:30 PM): Information theory

1:40 - 2:30: Oliver Johnson (University of Bristol): Monotonicity, thinning and discrete versions of the Entropy Power Inequality (slides)
2:30 - 3:20: Yaming Yu (UC Irvine): A faster Arimoto-Blahut algorithm via squeezing (slides)
3:20 - 3:50: Coffee break
3:50 - 4:40: Emmmanuel Abbe (EPFL): Relations between mutual information and matroids, with applications to MAC polar codes (slides)
4:40 - 5:30: Max Hongler (EPFL): How multi-agent interactions can beat a central controller - A solvable model based on Kullback-Leibler relative entropy (slides)