Intuitive Martingales

Speaker:  Shuoyan Li, Professor of University of Electronic Science and Technology of China

Time:       15:00, June. 12^th

Location: SIST 1A-200

Host:        Prof. Ziyu Shao

Abstract:

Martingales are a class of stochastic processes related to AI, financial engineering, Brownian motions and random walks. The plain interpretation of a martingale is “fair gamble.” The Martingale Stopping Theorem says that when you are engaged in serial games of fair gamble, the expected net winning will be zero regardless when and how you choose to stop the games. Many problems pertaining to probability can be modeled by Markov chains. This widely applicable approach though is sometimes too loose in grasping the essence of the problem and thereby incurs unnecessary computational complexity, which erodes the intuition. When the problem can be modeled by a martingale instead, the solution often pops up without much calculation. Classic examples to be presented include gambler’s ruin, graduation cap tossing, martingale of patterns, and the ballot problem. This presentation in rigorous but friendly mathematical language stresses on intuition rather than abstraction or calculation.

Bio:

Professor Shuo-Yen Robert Li invents network coding theory, algebraic switching theory, and martingales of patterns. He specializes in bridging between Math and S&T. Having received PhD (math) from UC Berkeley in 1974, he taught at MIT, UI Chicago, and CUHK during 1974~2014. Currently he serves as the Distinguished University Professor as well as Director of Li Institute of Math Tech at University of Electronic Science and Technology of China.

Dr. Li is a lifetime Honorary Professor at Xidian University, Harbin Engineering University, University of Electronic Science and Technology of China, Southwest Jiaotong University, and Xiamen University. He is a member of US National Academy of Artificial Intelligence (NAAI), an academician of World Academy of Artificial Consciousness, Foreign member of Serbian National Academy of Science, and an IEEE life fellow. He has served as the Great Master of Science for a base in China’s “111 Project” and a professor of assorted honorary types at Peking University, National Taiwan University, National Tsinghua University, and Beijing University of Posts and Telecom. He received IEEE Information Theory Society 2005 Paper Award, Outstanding Patent Award of ITRI (Taiwan) for 4 times during 2006~2011, IEEE 2016 Sumner Award, The Chinese Institute of Electronics 2017 Outstanding Overseas Chinese Scientist Award, ACM SIGMOBILE 2018 Test-of-time Paper Award, and NAAI 2025 Outstanding AI Scientist Award. He holds 35 US patents.