Welcome to the course Computational methods for stochastic differential equations and machine learning (joint SF2525 master level and SF3581 graduate level) 2020

$OMX Stockholm 30 index$
OMX Stockholm 30 index för en dag, en måndag och tre år, från Avanza.

Stochastic molecular dynamics of liquid-solid phase transition

$The classical Spacewar game$
The classical Spacewar game, emulated at http://www.masswerk.at/spacewar/

The course focuses on the following application areas and mathematical and numerical methods to solve them. In each application we study relevant mathematical and numerical methods to solve the problem. This includes methods and theory for ordinary, partial and stochastic differential equations, and optimal control, treating e.g. weak and strong approximation, Monte Carlo methods, variance reduction, large deviations for rare events, game theory, neural networks.

Applications included are e.g. finance, where stock prices are modelled using SDEs, molecular dynamics, where SDEs are used to model systems with constant temperature, and machine learning where the basic stochastic gradient descent algorithm is a numerical scheme for perturbed gradient flow. Optimal control theory is used e.g. in optimal hedging, finding reaction rates in molecular dynamics and analyzing machine learning convergence rates. The course includes computer projects using the machine learning software TensorFlow.

Week	 Application                        Subject

3,4,5    stocks with noise                  stochastic differential equations,  
         molecular dynamics                 weak and strong convergence, Ito-calculus
         AI                                 Euler's method

6,7,8,9 option price                        The Feynman-Kac formula, 
        American options                    Monte-Carlo Methods, variance reduction 
                                            finite difference methods

12,13,15 optimal hedging                     calculus of variations, optimal control 
         reaction rates                      dynamical programming, 
                                             Hamilton-Jacobi equations, 
                                             large deviations and rare events 

16,17,19 machine learning                    game theory, differential games, 
         AI                                  neural networks, 
                                             stochastic gradient descent 

20       presentations e.g:
         multi-level Monte Carlo,             variance reduction,
         ground water flow                    Convection-diffusion equations, 
         neural networks, AI

Course material and evaluation

- New version of the lecture notes
- Chapter 6 in 
"An Introduction to Mathematical Optimal Control Theory" by L.C. Evans

- papers for the presentations are here
- course syllabus
- course evaluation, use the code: random

Teachers

Anders Szepessy, department of mathematics, szepessy@kth.se, office hour Mondays 12-13.

Aku Kammonen, department of mathematics, kammo@kth.se, office hour Tuesdays 12-13.

Schedule

Starting Friday January 17th, 13.15-15.00 in room E33. 
Schedule for lectures 

Preliminary plan, in addition guest a guest lecture, a tensor flow tutorial and a review
Lecture 1: chapter 1-2 Introduction and stochastic integral
Lecture 2: chapter 2, 3.1-3 Stochastic differential equations
Lecture 3: chapter 3.1, 3.4 Ito's formula and Stratonovich integrals
Lecture 4: chapter 4.2 Kolmogorov equations and Black-Scholes equation
Lecture 5: chapter 4.1-2 Black-Scholes equation and Feyman-Kac formula
Lecture 6: chapter 5.1 Option modelling and statistical error
Lecture 7: chapter 5.1-2 Statistical and time discretization errors
Lecture 8: chapter 6.1-2 American options and Lax equivalence theorem

Lecture 9: chapter 10 Machine learning (notes and video in Media Gallery)
Lecture 10 (24/3): chapter 10 Tensor flow and video Introduction to HW 4&5
Lecture 11: chapter 8.1-2 Optimal control
Lecture 12: chapter 9 Rare events
Lecture 13: chapter differential games
Lecture 14: Guest lecture by Jonas Kiessling, slides 
Lecture 15: chapter 8.3 Hamilton-Jacobi PDE and Stochastic optimal control

Homework, Computer Lab's , Presentations and Examination

New setup due to the online restriction:

The examination consists of three parts: Homework problems, oral presentations and a written report based on the chosen project. The homework problems are available here on the course www-page and each student hand in their own solution. The presentations are carried out by groups of two students. The written report, one per project, is supposed to describe the results related to the poster presentation and in addition relate to some of the theory learned related to the course. For instance stating and deriving a proof and commenting the relevance and assumptions. In case someone seems to not pass the course due to the report, there will be a possibility to revise the report or the homework. The written report is due June 1st.

The homework and the presentation gives maximal 35 credits together, with maximal 5 credits for each homework 1,2,3,5 and maximal 10 credits for the final presentation and homework 4. The maximal score for the written report is 60, and to pass the course you must obtain a total score, homework included, of approximately 60.

Previous setup:

The Examination consists of three parts: Homework problems, oral presentations and a written exam. The homework problems will be available here on the course www-page and each student hand in their own solution. The presentations are carried out by groups of two students. A substantial part of the written exam will be based on a list of questions given here .

The maximal score for the written exam is 60, and to pass the course you must obtain a total score, homework included, of approximately 60. The homework and the presentation gives maximal 35 credits together, with maximal 5 credits for each homework 1,2,3,5 and maximal 10 credits for the final presentation and homework 4.

Homework and dates

Homework 1 on Ito integrals, due February 7th.
Homework 2 on Euler approximations of Ito differential equations, due February 21.

Homework 3 on stochastic volatility, delta and stability, due April 7th.

Homework 4 on machine learning and Tensor Flow, due April 24th and Python code
Homework 5 on classifying figures, due May 13th, the codes are in the Canvas "Files".

In Homework 4 and 5 you need to use TensorFlow 1.x. Using TensorFlow 2.x might generate an error from the provided codes. You can use pip to install TensorFlow 1.x by following the instructions here.

SDE-poster project: Choose a paper from the list before April 9th and hand in a poster-pdf-file in the link "Uppgifter", due May 9th, to be presented May 12th. Detailed information is in Section "Presentations" below.

Presentations

The list of Files includes papers to be used for the presentations. The idea is that each group of two choose a paper following the instructions in the thread "how to choose a project" in "Discussions". Here is a list of papers taken: at most two groups per paper. The groups present the results in a Zoom meeting May 12th at 8-12 and submits a poster. Probably we have time for ten minutes for each presentation this year. You may suggest another paper. Read the literature and study the formulation and motivation of the problem. Use your knowledge and fantasy to formulate the mathematical modell, the problem you want to solve and an SDE simulation. Try to use the literature to formulate interesting problems. You are welcome to discuss with the teachers.

Concerning presentations: Projects are presented by lab groups of two.

Make a poster and prepare a ten minutes presentation. Slides for the presentations can be uploaded in "Uppgifter". A good poster includes at least formulation of the problem and some results and conclusion. The posters will be posted in this Canvas page. In the KTH-library you can find online the book "Handbook of Writing for the Mathematical Sciences" by Nicholas Higham which include in chapter 12 "Preparing a Poster". If you have not made a poster before, here is a link to Latex poster templates (and a non fancy version).

Posters and schedule

Stochastic molecular dynamics of liquid solid phase transition
Sample paths of solutions to stochastic differential equation and its probabability density

SF2525 VT20-1 Computational Methods for Stochastic Differential Equations and Machine Learning