Entropic regularization of optimal transport
Image credit Marco Cuturi.
Welcome.
I am a probabilist at the University of Washington.
I love probability. Over the years my research covered such diverse topics such as interacting Brownian particle systems, random graphs and random matrices, stochastic portfolio theory, information geometry, and evolving random trees. I am currently excited about Monge-Kantorovich optimal transport problem and its applications. My research is currently supported partially by National Science Foundation grant (DMS-2052239) among others.
I am a current assciate editor for Stochastic Models, Electronic Journal of Probability, and the Electronic Communications in Probability. In the past, I have been an associate editor for The Annals of Probability (2012--2017) and The Annals of Applied Probability (2010--2015).
I am a founding member of the Kantorovich Initiative dedicated to the research and dissemination of modern mathematics of optimal transport towards a wide audience of researchers, students, industry, policy makers and the general public. The Initiative is currently being funded by a PIMS Research Network grant and an NSF Infrastructure grant. There are a lot of activities organized by KI. If you are interested in them, please sign up for the mailing list on that website.
Seattle is a wonderful place to learn and do probability and its many applications. If you're thinking about joining our group, send me a message and I will tell you all about it. Alternatively you can ask one of my wonderful ex-Ph.D. students: Tobias Johnson, Andrey Sarantsev, Ting-Kam Leonard Wong, David Clancy, and Lang Liu, or one of my current Ph.D. students Raghavendra Tripathi and Garrett Mulcahy. If you'd rather talk to one of my past or current postdocs, feel free to contact any of the following wonderful people: Noah Forman, Moumanti Poddar, Andrea Ottolini, and Nabarun Deb.
In Fall 2023 I am teaching a PIMS online graduate class on OT+ grad flow (Optimal Transport + gradient flow). See here for more details. This is a part of a series of online courses offered by the Kantorovich Initiative. For UW students: if you are enrolled in one of my classes, you can find the course material in Canvas.
I am the current director for the Applied and Computational Mathematical Sciences (ACMS) major at UW. ACMS is one of the most sought-after undergraduate majors in campus. Shoot me an e-mail if you are interested in talking about it.
Slides from recent work
Geometry of rebalancing portfolios
Image credit T.-K. Leonard Wong.
Aldous diffusion on continuum trees
Image credit Wikipedia.
