László Gerencsér

doctor of HAS
research advisor
Address
1111 Budapest, Kende u. 13-17.
Room number
K 420
Email
gerencser.laszlo@sztaki.hu
Phone
+36 1 279 6138

Introduction

László Gerencsér received his MSc and doctorate degree in mathematics at the Eötvös Loránd University (ELTE), Budapest, Hungary. After a brief period at the Mathematical Institute of the Hungarian Academy of Sciences, he moved to what is today called the Institute for Computer Science and Control (MTA SZTAKI). He was the founder and head of the Stochastic Systems Research Group (1998-2011).

From 1998 to 1991, he held a visiting professorship at the Department of Electrical Engineering, McGill University Montreal, Quebec, Canada. From 1997 to 2001 he had held a Széchenyi Professorship with the Eötvös Loránd University, Budapest.   

In the period from 1998 to 2004, he was an Associate Editor for the SIAM Journal of Control and Optimization. From 2001 to 2004, he was an Associate Editor for the IEEE Transactions on Automatic Control. In recognition of his research achievements, the title DSc has been awarded to him in 2000. He was the IPC Chair of the 19th International Symposium on Mathematical Theory of Networks and Systems, Budapest, 2010.

He has been the chairman of the János Bolyai János Mathenatical Society (BJMT) in the period of 2009-2021, the deputy editor in chief of the journal Alkalmazott Matematikai Lapok (Journal of Applied Mathematics, 2016-), and a member of the Doctoral Committee of the Department of Mathematics of the Hungarian Academy of Sciences (2016-). He has been a member of the HU-MATHS-IN SZTAKI group since 2016.

On-line course in 2020/2021:


Stochastic Signals and Systems
László Gerencsér, Zsuzsanna Vágó
Péter Pázmány Catholic University
Faculty of Information Technology and Bionics

 

Selected recent publications

Hawkes processes: some key ideas, links to neuroscience and system identification
László Gerencsér, György Perczel, Loránd Erőss, Dániel Fabó, Zsuzsanna Vágó
Special Issue in Communications in Information and Systems, dedicated to Tyrone Duncan's 80th birthday
Co-Guest Editors: Alain Bensoussan, Sanjoy Mitter, Bozenna Pasik-Duncan, Shing Toung Yau
Year: 2021, to appear

 

Általánosított relatív konszenzus – éles konvergenciatételek
Balázs Gerencsér, László Gerencsér
Alkalmazott Matematikai Lapok
Year: 2020 , Volume: 37 , Issue: 2, Pages: 265 - 275
DOI:10.37070/AML.2020.37.2.10 Open Access

 

Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework
Algo Carè, Balázs Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi
IEEE Conference on Decision and Control (CDC)
Year: 2019
Pages: 2259 - 2264
DOI: 10.1109/CDC40024.2019.9029383

 

Tight bounds on the convergence rate of generalized ratio consensus algorithms
Balázs Gerencsér, László Gerencsér
arXiv:1901.11374 [math.PR]
IEEE Trans. Automatic Control, accepted for publication
Year: 2019, 2021
DOI: 10.1109/CDC40024.2019.9029383

Asymptotic Analysis of the LMS Algorithm with Momentum
László Gerencsér, Balázs Csanád Csáji, Sotirios Sabanis
IEEE Conference on Decision and Control (CDC)
Year: 2018
Page s: 3062 - 3067
DOI: 10.1109/CDC.2018.8619576

Adaptive Input Design for LTI Systems
László Gerencsér ; Håkan Hjalmarsson ; Lirong Huang
IEEE Transactions on Automatic Control
Year: 2017 , Volume: 62 , Issue: 5 Page s: 2390 - 2405
792 Full Text Views
DOI: 10.1109/TAC.2016.2612946 Open Access


Degrees

  • MSc in Mathematics, Eötvös Loránd University (ELTE), Budapest
  • Doctorate in Mathematics, ELTE, Budapest
  • CSc of Mathematical Sciences, Hungarian Academy of Sciences (MTA)
  • DSc of the Hungarian Acedamy of Sciences, 2000
     

Research areas

  • Graph Theory
  • Nonlinear Programming
  • Inventory Models
  • Stochastic Systems
  • Recursive Identification
  • Stochastic Adaptive Control
  • Simultaneous Perturbation Stochastic Approximation (SPSA)
  • Hidden Markov Models
  • Change-Detection
  • Continuous-Time Linear Stochastic Systems
  • Financial Time Series (GARCH)
  • Market Microstructure
  • Adaptive Input Design
  • Linear Stochastic Lévy Systems
  • Estimation of Point Processes
  • Applications in Epileptology
  • Machine Learning
  • Distributed Computing

 

Positions held

Visiting Professor (1988-1991), McGill University, Department of Electrical Engineering
Montreal, Quebec, Canada

Founding Member of the MTA SZTAKI, Head of Stochastic Systems Research Group of the Institute, (1998-2011)


Memberships and assignments

  • IEEE
  • SIAM
  • János Bolyai Mathematical Society
  • Hungarian Operations Research Society
  • ERCIM Workshop on Systems and Control, Budapest, Hungary, November 6-8, 1995, Program chairman
  • Széchenyi Professorship, Eötvös Loránd University, Faculty of Natural Sciences, Department of Probability Theory and Statistics (1997-2001)
  • IEEE Control Systems Society Conference Editorial Board (voting member, 1998-2001)
  • SIAM J. Control and Optimization, Associate Editor (1998 – 2004)
  • IFAC Techical Committe  on Stochastic Systems, TC 1. 4, (1998-2001)
  • IFAC Techical Committe on Modeling, Identification and Signal Processing, TC 1. 1,  (1998-2001)
  • IEEE Control Systems Society, Committee for International Affairs (1998-2004)
  • Founding Member and Head of the MTA SZTAKI, Stochastic Systems Research Group, (1998-2011)
  • National Science Foundation of Hungary (OTKA), Reviewing Committee for Mathematics, (voting member 2000-2003)
  • IEEE Transactions on Automatic Control, Associate Editor (2001-2004)
  • IFAC Techical Committe on Stochastic Systems, TC 1. 4, Vice Chair (2002-2005)
  • ERNSI (European Research Network on System Identification) Workshop on System Identification, Dobogókő, Hungary, October 4-6, 2004, Hungarian chairman
  • CDC-ECC’05, the 44th IEEE Conference on Decision and Control and European Control Conference ECC 2005, Seville, (Spain). 12-15 December 2005,  Associate Editor
  • Doctoral Council, Doctoral School of Mathematics and Computer Sciences, Budapest University of Technology and Economics, Faculty of Natural Sciences, (core member 2007-)
  • Scientific Committee for Operations Research, Department of Mathematics, Hungarian Academy of Sciences (voting member, 2008-)
  • Committee for Ethics in Science of the Hungarian Academy of Sciences,  (voting member, 2008-2014)
  • János Bolyai Mathematical Society, Section for Applied Mathematics, Chairman (2009-)
  • IPC Chair of MTNS’2010, The 19th International Symposium on Mathematical Theory of Networks and Systems, Budapest, July 5-9, 2010
  • János Bolyai Mathematical Society Conference on Applied Mathematics, Győr, Hungary, June 21-23, 2012, Co-Chair
  • Doctoral Committee, Department of Mathematics, Hungarian Academy of Sciences (voting member, 2013-)
  • János Bolyai Mathematical Society Conference on Applied Mathematics, Győr, Hungary, June 1-3, 2016, Co-Chair
  • Delegate of the Assemby of the Hungarian Academy of Sciences (voting member, 2016-)
  • Journal of Applied Mathematics (Alkalmazott Matematikai Lapok, in Hungarian), Deputy Editor-in-Chief, 2016-)
  • The 20th European Conference on Mathematics for Industry, 18-22 June 2018, Budapest, Hungary, member and advisor of the Organizing Committee
  • MTA SZTAKI, Rudolf E. Kálmán Distinguished Lecturer Program, founding organizer (2018-)

 

Educational activity (MSc and PhD courses)

Eötvös Loránd University, Faculty of Science, Department of Probability Theory and Statsitics

  • Stability of Markov Chains
  • Hidden Markov-processes, I-II
  • Statistical Theory of Linear Stochastic Systems
  • Introduction to Option Pricing
  • Interest Rate Theory
  • Linear Stochastic Systems

 

Pázmány Péter Catholic University, Faculty of Information Technology and Bionics

  • Information Theory
  • Fundamentals of Financial Mathematics and Risk Analysis (together with M. Rásonyi and J. Száz)


Central European University, Department of Mathematics and its Applications 

  • Stochastic Processes


McGill University, Department of Electrical Engineering, Montreal, Quebec, Canada

  • Linear Stochastic Systems I-II
  • Signals and Systems


Supervision of Ph.D. students

Perczel, György (2015-)
Pázmány Péter Catholic University, Faculty of Information Technology and Bionics, Roska Tamás Doctoral School of Sciences and Technology,
Co-supervisors: Loránd Erőss and Zsuzsanna Vágó,
PhD Thesis Draft: Biomarkers of Extratemporal Epilepsy

Mánfay, Máté (2010-2014)
Central European Univeristy (CEU), Budapest, Doctoral Program in Mathematics,
PhD Thesis: Identification of Lévy Systems

Prosdocimi, Cecilia (2006-2010)
University of Padua, Padova, Italy, Computational Mathematics Doctoral Program,
Co-supervisors:  Lorenzo Finesso; and Wolfgang Runggaldier 
PhD Thesis: Partial Exchangeability and Change Detection for Hidden Markov Models

Torma, Balázs (2006-2010)
Eötvös Loránd University, Faculty of Informatics, Budapest, Informatics Doctoral School,
PhD Thesis: Fundamental and technical analysis of financial markets.

Orlovits, Zsanett (2003-2012)
Eötvös Loránd University, Faculty of Science, Budapest, Doctoral School of  Mathematics, PhD Thesis: Statistical Analysis of Stochastic Volatility Models

Molnár-Sáska, Gábor (1999-2006)
Budapest University of Technology and Economics, Faculty of Natural Sciences, Budapest, Doctoral School of Mathematics and Computer Science,
PhD Thesis: Statistical Analysis of Hidden Markov Models

Rásonyi, Miklós (1998-2002)
Eötvös Loránd University, Faculty of Science, Budapest, Doctoral School of  Mathematics in co-tutelle with, The University of Besancon, France
Primary Co-supervisor: Youri Kabanov,
PhD Thesis: On Certain Problems of Arbitrage Theory in Discrete-time Financial Market Models

Vágó, Zsuzsanna  (1992-1995)
Eötvös Loránd University, Faculty of Science, Budapest,
PhD Thesis: Statistical Theory of Continuous-Time Linear Stochastic System

Baikovicius, Jimmy (1988-1992)
McGill University, Department of Electrical Engineering
Montreal, Quebec, Canada, PhD thesis: Change Point Detection of Linear Stochastic Systems

 

Publication databases

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