minicourses TU/e code: 2E941 1 ECTS

5-day minicourse on Gibbs Sampling, Alternating Projections, and Orthogonal Polynomials Prof. Persi Diaconis Stanford University, USA March 12 - 16, 2007

Persi Diaconis obtained his Ph.D. from Harvard in 1974. After various positions he became a Professor of Statistics and Mathematics at Stanford University in 1998. Diaconis has received many honours and awards; for instance, he was Gibbs lecturer in 1997.

Diaconis is well known for his work on Markov Chains and the Cut-Off Phenomenon, best illustrated by his theorem with David Bayer that 7 shuffles are necessary and sufficient to make the order of a deck of 52 cards completely random. Other topics to which Diaconis made important contributions include Bayesian statistics, and random matrices and permutations. Diaconis combines ideas from physics and from discrete mathematics (for instance, representation theory of finite groups) with probability theory to prove deep results on practical problems.

Contents
The Gibbs sampler, also known as Glauber dynamics or the heat bath algorithm, is a mainstay of scientific computing. It is used in image analysis, routine statistical analysis, statistical physics, and elsewhere. I will explain the algorithm and its extension (hit and run, auxiliary variables, data augmentation).

Analysis of these algorithms (How long do they have to run to be reasonably sure that it has done its job?) is cutting-edge research. For a class of statistical and biology applications, sharp analysis is possible. These problems involve exponential families (Gaussian, multinomial, Poisson,...) and associated orthogonal polynomials (Hermite, Hahn, LaGrange). There is also a nice lie theory.

Finally, the algorithms above are special cases of von Neuman's alternating projection algorithm. The mathematical developments around alternating projections can be applied to the Gibbs sampler, but the applications need new tools as well.

Time and Place
Technische Universiteit Eindhoven, The Netherlands
March 12 - 16, 2007.

Admission fee
The admission fee for a minicourse is EUR 300 for university staff members and PhD students, and EUR 500 for people from industry. EIDMA and DIAMANT members receive a reduction of EUR 100 on these amounts. Registered Dutch EIDMA PhD students may attend free of charge. DIAMANT offers limited extra support for its members. Young mathematicians get priority, but otherwise the "first come, first serve" principle applies. To apply for this additional DIAMANT support please follow the instructions on the registration form. For undergraduate students special conditions apply.

Registration
You can register by sending a completed registration form to mrs. Rianne van Lieshout / mrs. Anita Klooster at eidma@tue.nl.
Deadline for registration is February 23, 2007.
Please note that your registration is only official after our written confirmation of its receipt.