László Gerencsér, doctor of HAS
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, Eötvös Loránd Research Network (ELKH 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 Alkalmazott Matematikai Lapok (the Journal of Applied Mathematics, 2016-), and a member of the Doctoral Committee of the Department of Mathematics of the Hungarian Academy of Sciences (2016-2021). He has been a member of the HU-MATHS-IN SZTAKI group since 2016.
He received the highest award of the Institute, the Rudolf E. Kalman Award in 2021, see https://www.sztaki.hu/en/node/100362. The 56-th general assembly of the Saint Stephen Academy of Sciences elected him into the ranks of its members on December 5-th, 2022. He has received the Egerváry Prize 2023 of the Hungarian Operations Research Society.
Honorary Chair of the Bolyai János Mathematical Society Applied Mathematics Conference, (2024, Szeged, University of Szeged, Bolyai Institute, https://www.math.u-szeged.hu/amk2024/)
On-line course 2020/2021-:
Stochastic Signals and Systems
László Gerencsér, Zsuzsanna Vágó and Balázs Gerencsér
Péter Pázmány Catholic University
Faculty of Information Technology and Bionics
Selected recent publications
Notes on Input Design: From Multi-Sine Design to Data-Driven Procedures
László Gerencsér, György Michaletzky, József Bokor and Péter Polcz
IEEE Control Systems Letters
Year: 2024, Volume: 8, Pages: 1943 - 1948
DOI: 10.1109/LCSYS.2024.3416072
Tight bounds on the convergence rate of generalized ratio consensus algorithms
Balázs Gerencsér, László Gerencsér
IEEE Trans. Automatic Control
Year: 2022, Volume: 67, Issue 4, Pages 1669-1684.
DOI: 10.1109/TAC.2021.3067629
Real-time analysis of neuronal firing patterns via Hawkes processes
László Gerencsér and György Perczel
Proc. of the 55th Asilomar Conference on Signals, Systems, and Computers
October 31 - November 3, 2021, Pacific Grove, California, USA
Ed: Michael B. Matthews
Added to IEEE Xplore: 04 March 2022, pp. 256-260.
https://ieeexplore.ieee.org/document/9723129
DOI:10.1109/IEEECONF53345.2021.9723129
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, Volume 21, Number 3, pp. 385–413.
DOI: 10.4310/CIS.2021.v21.n3.a4
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
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
Asymptotic Analysis of the LMS Algorithm with Momentum
László Gerencsér, Balázs Csanád Csáji, Sotirios Sabanis
IEEE Conference on Decision and Control (CDC)
Year: 2018
Pages: 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 Pages: 2390 - 2405
DOI: 10.1109/TAC.2016.2612946
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