2021

On Escape Time, Lyapunov Function, Poincaré Inequality, and the KLS Conjecture Beyond Convexity

15 minute read

Published:

Nobody has time to read an 80 page paper [LE20]. Therefore I doubt most readers realized the manifold Langevin algorithm paper actually contains a novel technique for establishing functional inequalities. And I really doubt anyone had time to interpret the intuitive consequences of such results on perturbed gradient descent, and definitely not extending the Kannan-Lovász-Simonovits (KLS) conjecture [LV18] - which brings me to write this blog post.

2019

The Auffinger-Chen Representation

14 minute read

Published:

Equivalent representation results contribute not only a connection between different concepts, but also a new set of proof techniques. Indeed, stochastic analysis has offered a number of alternative proofs to many problems. Occasionally the proof can simplify drastically. In this post, we will discuss a particularly elegant application by Auffinger and Chen (2015), for an otherwise very difficult problem in spin glass.

2018

Stone-Weierstrass and an Alternative Proof of Itô’s Lemma

15 minute read

Published:

In a similar sense to line integrals, stochastic calculus extends the classical tools to working with stochastic processes. One of the most elegant and useful result is the change of variable formula for stochastic integrals, commonly known as Itô’s Lemma (see end of this post for a discussion on Doeblin’s contribution). While this lemma is quite easy to use, the proof usually relies heavily on technical lemmas, hence difficult to develop intuition, especially for the first time reader.

2017

Connected by Poincaré Inequality

11 minute read

Published:

While studying two seemingly irrelevant subjects, probability theory and partial differential equations (PDEs), I ran into a somewhat surprising overlap: the Poincaré inequality. On one hand, it is not out of the ordinary for analysis based subjects to share inequalities such as Cauchy-Schwarz and Hölder; on the other hand, the two forms of Poincaré inequality have quite different applications.