Winter 2013

Instructor: Professor Steve Lalley

Office: 118 Eckhart Hall

Office Hours: Wednesday 2:00 - 3:00

Phone: 702-9890

E-mail:
`lalley "atsign" galton.uchicago.edu`

This course will cover a number of topics in probability and stochastic processes related to "high-dimensional" data. These will include

- Concentration inequalities
- Entropy and relative entropy
- Dimension reduction and projections
- Large random matrices (Wigner and Marchenko-Pastur theorems)
- An introduction to compressed sensing

Bookmark this page! I will post lecture notes and other material here. Exercises (optional) are embedded in the lecture notes.

- Concentration inequalities Current version: January 26 2013
- Gaussian Processes Current version: February 27 2013
- Random Matrices: Wigner and Marchenko-Pastur Theorems Current version:March 6 2013
- Gaussian and Wishart Ensembles: Eigenvalue Densities
- Non-Colliding Brownian Paths and the GOE Eigenvalue Density