Blog Notes

2019

Deriving the Fokker-Planck equation

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In the theory of dynamic systems, Fokker-Planck equation is used to describe the time evolution of the probability density function. It is a partial differential equation that describes how the density of a stochastic process changes as a function of time under the influence of a potential field. Some common application of it are in the study of Brownian motion, Ornstein–Uhlenbeck process, and in statistical physics. The motivation behind understanding the derivation is to study Levy flight processes that has caught my recent attention. Read more

2018

Nesterov’s Acceleration

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This post contains a summary and survey of the Nesterov’s accelerated gradient descent method and some insightful implications that can be derived from it. We analyze the simple convex quadratic case and have a close look at the dynamics of the error vectors. Read more

2017

A survey on Large Scale Optimization

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This post contains a summary and survey of the theoretical understandings of Large Scale Optimization by referring some talks, papers, and lectures that I have come across in the recent. Read more