兼任研究員 |   黃啟瑞
聯絡資訊
  • crhwang$\color{red}{@}$sinica.edu.tw
  • +886 2 2368-5999 ext. 738
  • +886 2 2368-9771
研究專長
  • 機率論
學歷
  • Ph.D. in Applied Mathematics 美國布朗大學 (1974-1978)
  • B.S. in Mathematics 台灣大學 (1968-1972)
相關連結

經歷
  • Advisory Committee on Mathematics, NSC, Taiwan, 1993-1995 2011-2013
  • Member Advisory Committee on Mathematics, NSC, Taiwan 2011-2013
  • Council Member The Mathematical Society of Taiwan 2008 -
  • Editor Board Sankhya 2006 -
  • Committee Member Assessment and Evaluation of Universities, Ministry of Education, Taiwan 2005/3 - 2005-9
  • Director Mathematics Research Promotion Center, NSC, Taiwan 2002 - 2004
  • Council Member Bernoulli Society 2001 -2005
  • Associate Editor Statistica Sinica 1999-2002
  • President The Probability and Mathematical Statistics Society,Taiwan 1998 - 2001
  • Chairman EAPRC, Bernoulli Society 1997 - 2001
  • Member Committee for the Revival of the East Asian and Pacific Regional Committee, Bernoulli Society 1995 - 1997
  • Director Institute of Mathematics, Academia Sinica 1993-1996
  • Member Advisory Committee on Mathematics, NSC, Taiwan 1993 - 1995
  • Council Member The Probability and Mathematical Statistics Society,Taiwan 1992 -2010
  • Council Member The Mathematical Society of Taiwan 1991 - 1999
  • Deputy Director Institute of Mathematics, Academia Sinica 1987-1993
  • Editor Board Soochow Journal of Mathematics 1986-2007
  • Editor Board Bulletin of the Institute of Mathematics, Academia Sinica 1985-2005
  • Research Fellow Institute of Mathematics, Academia Sinica 1982-
  • Associate Research Fellow Institute of Mathematics, Academia Sinica 1979-1982
  • Research Associate Division of Applied Mathematics, Brown University 1978-1979
  • Committee Member Various International Conferences
  • Committee Member Various Committees in Academia Sinica

研究簡介

Dr. Hwang's research interest is Probability theory. He investigates stochastic system with Markovian structure or arisen from real life applications. Accelerating convergence of Markov processes by anti-symmetric perturbations to a common underlying equilibrium, variance reduction in calculation of expectations, optimal updating schemes are among the main topics. The analysis of the spectral gap of anti-symmetric perturbations of Laplacian and a probabilistic approach for
the convergence rate of non-reversible processes are some of the related problems. The empirical invariances from the stock market as well as the corresponding stochastic structures are also his interests.  


部分著作目錄
  1. (with Lu-Jing Huang, Yin-Ting Liao, Lo-Bin Chang) "The smallest eigenvalues of random kernel matrices: asymptotic results on the min kernel" , Statistics and Probability Letters , 148, 23-29, 2019-5.
  2. (with Lu-Jing Huang, Yin-Ting Liao, Ting-Li Chen) "Optimal Variance Reduction for Markov Chain Monte Carlo" , SIAM Journal on Control and Optimization , 56 (4), 2977-2996, 2018.
  3. (with Hui-Hsiung Kuo, Kimiaki Saito, Jiayu Zhai) "Near-martingale property of anticipating stochastic integration" , Communications on Stochastic Analysis , 11 (4), 490-504, 2017-12.
  4. (with Hui-Hsiung Kuo, Kimiaki Saito, Jiayu Zhai) "A General Ito formula for adapted and instantly independent stochastic processes" , Communications on Stochastic Analysis , 10 (3), 341-362, 2016-09.
  5. (with Ting-Li Chen,Hironori Fujisawa ,Su-Yun Huang) "On the weak convergence and Central Limit Theorem of blurring and nonblurring processes with application to robust location estimation" , JOURNAL OF MULTIVARIATE ANALYSIS , 143, 165-184, 2016-01. (http://dx.doi.org/10.1016/j.jmva.2015.09.009)
  6. (with Raoul Normand, Sheng-Jhih Wu) "Variance reduction for diffusions" , Stochastic Processes and their Applications , 125 (9), 3522-3540, 2015-09. (doi:10.1016/j.spa.2015.03.006)
  7. (with Wei-Kuo Chen, Hsi-Wei Hsieh, Yuan-Chun Sheu) "Disorder chaos in the spherical mean-field model" , Journal of Statistical Physics , 160 (2), 417-429, 2015-07. (DOI 10.1007/s10955-015-1264-3)
  8. (with Sheng-Jhih Wu, Moody T. Chu) "Attaining the optimal Gaussian diffusion acceleration" , Journal of Statistical Physics , 155 (3), 571-590, 2014-03. (DOI 10.1007/s10955-014-0963-5)
  9. (with Fushing Hsieh, Shu-Chun Chen) "Single stock dynamics on high-frequency data: from a compressed coding perspective" , PLoS ONE , 9 (2), 2014-02. (e85018.DOI: 10.1371/journal.pone.0085018, Feb. 21 2014.)
  10. (with F. Hsieh,S.-C. Chen) "Discovering focal regions of slightly-aggregated sparse signals" , Computational Statistics , 28 (5), 2295-2308, 2013-10. (http://link.springer.com/article/10.1007%2Fs00180-013-0407-8# DOI 10.1007/s00180-013-0407-8)
  11. (with Ting-Li Chen) "Accelerating Reversible Markov Chains" , Statistics and Probability Letters , 83 (9), 1956-1962, 2013-09. (online May 11, 2013, http://dx.doi.org/10.1016/j.spl.2013.05.002)
  12. (with Lo-Bin Chang, Stuart Geman, Fushing Hsieh) "Invariance in the recurrence of large returns and the validation of models of price dynamics" , PHYSICAL REVIEW E , 88 (2), 0221166-1-0221166-15, 2013-08. (DOI: 10.1103/PhysRevE.88.022116)
  13. (with Hui-Ming Pai) "Accelerating Brownian motion on N-torus" , Statistics and Probability Letters , 83 (5), 1443-1447, 2013-05. (http://www.sciencedirect.com/science/article/pii/S0167715213000527)
  14. (with Lo-Bin Chang, Zhidong Bai, Su-Yun Huang) "Asymptotic Error Bounds for Kernel-based Nyström low-rank approximation matrices" , Journal of Multivariate Analysis , 120, 102-119, 2013-05.
  15. (with Lo-Bin Chang,Alok Goswami,Fushing Hsieh) "An Invariance for the Large-Sample Empirical Distribution of Waiting Time between Successive Extremes" , Bulletin of the Institute of Mathematics Academia Sinica, New Series , 8 (1), 31-48, 2013.
  16. (with Ting-Li Chen, Wei-Kuo Chen, Hui-Ming Pai) "On the Optimal Transition Matrix for MCMC Sampling" , SIAM Journal on Control and Optimization , 50 (5), 2743-2762, 2012-10.
  17. (with Fushing Hsieh ,Shu-Chun Chen) "Discovering stock dynamics through its multidimensional volatility-phases" , Quantitative Finance , 12 (2), 213-230, 2012-02.
  18. (with K. B. Athreya) "Gibbs measures asymptotics" , Sankhya , 72-A, 191-207, 2010. (http://sankhya.isical.ac.in/search/72a1/final11.pdf)
  19. (with F. Hsieh,S.-C. Chen) "Non-parametric decoding on discrete time series and its applications in bioinformatics" , Statistics in Biosciences , 2, 18-40, 2010. (http://www.springerlink.com/content/h0057rl132h7th71/)
  20. (with Brice Franke,Hui-Ming Pai,Shuenn-Jyi Sheu) "The behavior of the spectral gap under growing drift" , Transactions of AMS , 362 (3), 1325-1350, 2010. (http://www.ams.org/journals/tran/2010-362-03/S0002-9947-09-04939-3/S0002-9947-09-04939-3.pdf)
  21. "Empirical invariance in stock market and related problems" , RIMS Kokyuroku , 1620, 18-22, 2009-01.
  22. (with Hsieh Fushing, Y.-C. Lan, S.-B Horng, T.-K. Lee) "Exploring and reassembling patterns in female bean weevil's cognitive processing networks, 3rd revisions" , Animal Cognition , 2009.
  23. (with Yu-Min Yeh, Hsieh Fushing) "Information on the spatial structure of aggregative marine populations via a metric correlation curve," , 2008.
  24. (with Lu-Jing Huang, Yin-Ting Liao, Ting-Li Chen) "Optimal Variance Reduction for Markov Chain Monte Carlo" , SIAM Journal on Control and Optimization , 2007.
  25. (with Fushing Hsieh, Lo-Bin Chang, Ritu Sen) "Exploring stock dynamic via hierarchical segmentation: An empirical invariance on volatile duration distribution and an on-line trading strategy, first draft" , 2007.
  26. "Nonreversible perturbations accelerate convergence" , RIMS Kokyuruku , 1462, 26-34, 2006.
  27. (with Su-Yun Huang) "Kernel Fisher's Discriminant Analysis in Gaussian Reproducing Kernel Hilbert Space, manuscript" , 2006.
  28. (with Fushing Hsieh! Hou-Cheng Lee! Yen-Chiu Lan! Shwu-Bin Horng) "Testing and mapping non-stationarity in animal behavioral processes:A case study on an individual female beam weevil" , Journal of Theoretical Biology , 238 (4), 805-816, 2006.
  29. (with Shu-Yin Hwang-Ma, Shuenn-Jyi Sheu) "Accelerating diffusions" , Annals of Applied Probability , 15, 1433-1444, 2005.
  30. "Accelerating Monte Carlo Markov processes" , COSMOS , 1, 87-94, 2005.
  31. (with Hsieh Fushing!C.-T. Wu) "Least-square and cross-entropy alternating minimization algorithm for ill-posed positive linear inverse problem with degraded noise I:Introduction and applications, manuscript" , 2005.
  32. "Accelerating diffusions and related problems" , RIMS Kokyuruku , 1240, 58-63, 2001.
  33. "Hwang, C.-R., Hsieh Fushing and Wu, C.-T.," , 2001.
  34. (with Sheu, S.-J.) "On some quadratic perturbation of Ornstein-Uhlenbeck processes" , Soochow J. of Math. , 26, 205-244, 2000.
  35. (with Date, A. and Sheu, S.-J..) "On the number of equilibrium states in weakly coupled random networks" , Statistics and Probability Letters , 49, 291-297, 2000.
  36. (with Chen, C.N., Chou, C.I., Kang, J., Lee, T.K. and Li, S.P.) "Monte Carlo dynamics in global optimization." , Physical Review E , 60, 2388-2393, 1999.
  37. (with Chang, D.-C.) ""Laguerre calculus and its applications to probability measures on Heisenberg groups. " Proceedings of SAP '98, Trends in Probability and Related Analysis, 1999, 83-102, World Scientific." , 83-102, 1999.
  38. (with Chang, H.-C.) ""On the average-case analysis of dynamic Monte Carlo schemes." presented in the 3rd International Conference on Monte Carlo and Quasi-Monte Carlo Method, June 22-26(1998), Claremont, California, U.S.A." , 1998.
  39. (with Sheu, S.-J.) "On the geometrical convergence of Gibbs sampler in $R^d$." , J. Multivariate Analysis , 66, 23-37, 1998.
  40. "Discussion paper on Markov fields, Invited paper meeting, Topic IP14 organized by A. Frigessi, Proceedings of the 50th ISI session, Beijing, Book 4, 1995." , 1995.
  41. (with S.-Y. Hwang-Ma Shuenn-Jyi Sheu) "Accelerating Gaussian diffusions" , Ann. Applied Probab. , 3, 897-913, 1993.
  42. (with A.Frigessi, Shuenn-Jyi Sheu, P. di Stefano) "Convergence rate of the Gibbs sampler, the Metropolis algorithm, and other single-site updating dynamics" , J. R. Statist. Soc., B , 55, 205-219, 1993.
  43. (with Shuenn-Jyi Sheu) "Speed up the convergence of diffusions: the Gaussian case, Thech. Report" , Institute of Math., Academia Sinica , 1992.
  44. (with Shuenn-Jyi Sheu) "A remark on the ergodicity of systematic sweep in stochastic relaxation" , Lecture Notes in Statistics (Springer) , 74, 199-202, 1992.
  45. (with A. Frigessi, and L. Younes) "Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields" , Ann. Applied Probab. , 2, 610-628, 1992.
  46. (with Shuenn-Jyi Sheu) "Singular perturbed Markov chains and the exact behaviors of simulated annealing processes" , J. Theoretical Probab. , 5, 223-249, 1992.
  47. (with Shuenn-Jyi Sheu) "On the behavior of a stochastic algorithm with annealing Tech. Report" , Institute of Math. Academia Sinica , 1990.
  48. (with Shuenn-Jyi Sheu) "Large-time behavior of perturbed diffusion Markov processes with applications to the second eigenvalue problem for Fokker-Planck operators and simulated annealing" , Acta Applicandae Mathematicae , 19, 253-295, 1990.
  49. "Random perturbation and its application to simulated annealing" , Springer Verlag Lecture Notes in Physics , 355, 165-174, 1990.
  50. (with Shuenn-Jyi Sheu) "On the weak reversibility condition in simulated annealing" , Soochow J. Math. , 15, 159-170, 1989.
  51. (with Shuenn-Jyi Sheu) "Remarks on Gibbs sampler and Metropolis sampler" , TR Institute of Math. Academia Sinica , 1989.
  52. "Book Review "Simulated Annealing: Theory and Applications" by P. J. M. van Laarhoven and E. H. L. AArts (1987, Reidel, Dordrecht)" , Acta Applicandae Mathematicae , 12, 108-111, 1988.
  53. (with Tzuu-Shuh Chiang and Shuenn-Jyi Sheu) "Diffusion for global optimization in $R^{n}$" , SIAM J. Control Optim. , 25, 737-753, 1987.
  54. (with Shuenn-Jyi Sheu) "A generalization of Chernoff inequality via stochastic analysis75(1987), 149-157." , Probability Theory and Related Fields , 75, 149-157, 1987.
  55. (with Shuenn-Jyi Sheu) "Application to simulated annealing, 1986." , 1986.
  56. (with Shuenn-Jyi Sheu) "The asymptotic behavior of the second eigenvalues of perturbed Fokker-Planck operators, 1986." , 1986.
  57. "Large time behaviors for perturbed diffusion Markov processes with applications I: Large time behaviors and the convergence rate to the invariant measures, TR Institute of Math. Academia Sinica, 1986." , Shuenn-Jyi Sheu , 1986.
  58. (with Shuenn-Jyi Sheu) "Cramer's theorem for certain ergodic processes in Banach space" , Stochastics , 18, 83-94, 1986.
  59. "A brief survey on the spectral radius and the spectral distribution of large random matrices with i.i.d. entries" , Contemporary Mathematics , 50, 145-152, 1986.
  60. (with S. Geman) "Diffusions for global optimization" , SIAM Journal of Control and Optimization , 24, 1031-1043, 1986.
  61. (with S. Geman) "Working paper no. 1 on diffusion with annealing, Tech. Report, Institute of Math. Academic Sinica, 1984." , 1984.
  62. (with Tzuu-Shuh Chiang) "On the non-uniqueness of the limit points of diffusions with a small parameter" , Stochastics , 10, 149-153, 1983.
  63. (with Tzuu-Shuh Chiang!T.-F. Lin) "Asymptotic porbabilities of open sets of weakly convergent Gaussian measures" , 1982.
  64. (with Tzuu-Shuh Chiang!T.-F. Lin) "Limits of eigenvalues and eigenspaces of covariance operators of weakly convergent Gaussian measures, Tech. Report, Institute of Math. Academia Sinica 1982." , 1982.
  65. "Conditioning by < EQUAL, LINEAR >" , Transactions of the American Mathematical Society , 274, 69-83, 1982.
  66. (with Stuart Geman) "A chaos hypothesis for some large systems of random equations" , Z. Wahrsch. Verw. Gebiete , 60, 291-314, 1982.
  67. (with Stuart Geman) "Nonparametric maximum liklihood estimation by the method of sieves" , Annals of Statistics , 10, 340-356, 1982.
  68. "A note on an invariant property of linear global constraint, Tech. Report, Institute of Math. Academia Sinica 1981." , 1981.
  69. "Limit problem for some linear global constraint, Tech. Report, Institute of Math. Academic Sinica 1981." , 1981.
  70. "A generalization of Laplace's method" , Proceedings of the American Mathematical Society , 82, 446-451, 1981.
  71. "Working paper on Gaussian random splines, Tech. Report, Institute of Math. Academia Sinica 1980." , 1980.
  72. "Laplace's method revisited: Weak convergence of probability measures" , Annals of Probability , 8, 1177-1182, 1980.
  73. "Gaussian measure of large balls in a Hilbert space" , Proceedings of the American Mathematical Society , 78, 107-110, 1980.
  74. "On the 2nd limit problem in metric pattern theory II, Tech. Report, Institute of Math. Academia Sinica 1980." , 1980.
  75. "On the 2nd limit problem in metric pattern theory I, Tech. Report, Institute of Math. Academic Sinica 1979." , 1979.
  76. "A short note on Gaussian measure of small balls in a Hilbert space, Technical report, Institute of Math. Academia Sinica 1979." , 1979.