Gilles STOLTZ

Professor (Education Track)

Economics and Decision Sciences

stoltz@hec.fr http://stoltz.perso.math.cnrs.fr/

Biography

Gilles Stoltz is an alumnus of the Ecole Normale Supérieure of Cachan and holds a Ph.D.from the University Paris-Sud Orsay since 2005.

His research interests focus on the sequential prediction of arbitrary sequences, both from an industrial viewpoint (prediction of electricity consumption or air-quality forecasting) and from a game-theoretic viewpoint (when players aim at forecasting each other's actions).

He is a researcher for CNRS at the GREGHEC laboratory. In addition, he is an affiliate professor at HEC, where he teaches the foundations of statistics in the bachelor programme.

He was awarded in 2008 the Marie-Jeanne Laurent-Duhamel prize of the young statistician by the French statistical society.

Personal web page: http://stoltz.perso.math.cnrs.fr/

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Scientific articles

Small Total-Cost Constraints in Contextual Bandits with Knapsacks, with Application to Fairness

Advances in Neural Information Processing Systems, 2023, vol. 36, pp 46737-46772, (in coll. with E. CHZHEN, C. GIRAUD, Z. LI)

Contextual Bandits with Knapsacks for a Conversion Model

Advances in Neural Information Processing Systems, 2022, vol. 35, (in coll. with Z. LI)

Explore first, exploite next: the true shape of regret in bandit problems

Mathematics of Operations Research, december, 2 2019, vol. 44, n° 2, pp 377-399, (in coll. with A. GARIVIER, P. MENARD)

Fundamentals and exchange rate forecastability with simple machine learning methods

Journal of International Money and Finance, November 2018, vol. 88, pp 1-24, (in coll. with C. AMAT, T. K. MICHALSKI)

Set-Valued Approachability and Online Learning with Partial Monitoring

Journal of Machine Learning Research, October 2014, vol. 15, pp 3247-3295, (in coll. with S. MANNOR, V. PERCHET)

A primal condition for approachability with partial monitoring

Journal of Dynamics and Games, July 2014, vol. 1, n° 3, pp 447-469, (in coll. with S. MANNOR, V. PERCHET)

Kullback-Leibler upper confidence bounds for optimal sequential allocation

Annals of Statistics, June 2013, vol. 41, n° 3, pp 1516-1541, (in coll. with O. CAPPE, A. GARIVIER, O.-A. MAILLARD, R. MUNOS)

Forecasting electricity consumption by aggregating specialized experts

Machine Learning, February 2013, vol. 90, n° 2, pp 231-260, (in coll. with M. DEVAINE, P. GAILLARD, Y. GOUDE)

Mirror descent meets fixed share (and feels no regret)

Advances in Neural Information Processing Systems, 2012, vol. 25, pp 980-988, (in coll. with N. CESA-BIANCHI, P. GAILLARD, G. LUGOSI)

Lipschitz Bandits without the Lipschitz Constant

Lecture Notes in Computer Science, 2011, vol. 6925, pp 144-158, (in coll. with S. Bubeck, J. Yuan Yu)

Books

Exercices d'oral de mathématiques BL - ECE - ECS corrigés et commentés par leurs auteurs

Ellipses 2015 (in coll. with S. ARLOT, A. GARIVIER )

Statistique mathématique en action

Vuibert 2012 (in coll. with V. Rivoirard )

Statistique mathématique en action

Vuibert 2009 (in coll. with V. Rivoirard )

Proceedings

A second-order bound with excess losses

Proceedings of The 27th Conference on Learning Theory , 2014 , 35 (P. GAILLARD, T. VAN ERVEN)

Approachability in unknown games: Online learning meets multi-objective optimization

Proceedings of The 27th Conference on Learning Theory , 2014 , 35 (S. MANNOR, V. PERCHET)

A Finite-Time Analysis of Multi-armed Bandits Problems with Kullback-Leibler Divergences

24th Annual Conference on Learning Theory : COLT11 , 2011 , Budapest (O.-A. Maillard R. Munos)

Lipschitz Bandits without the Lipschitz Constant

ALT 2011 - Proceedings of the 22nd International Conference on Algorithmic Learning Theory , 2011 (S. Bubeck, J. Yu)

Working papers

Forecasting Exchange Rates Better than the Random Walk Thanks to Machine Learning Techniques

Cahier de Recherche du Groupe HEC , 2014

A finite-time analysis of multiarmed bandits problems with Kullback-Leibler divergences

Mimeo , 2011

Robust approachability and regret minimization in games with partial monitoring

Mimeo , 2011

Do countries falsify economic date strategically? Some evidence that they do

Cahier de Recherche du Groupe HEC , 2010

Forecasting the electricity consumption by aggregation of specialized experts ; application to Slovakian and French country-wide hourly predictions

Mimeo , 2010

Scientific articles

Small Total-Cost Constraints in Contextual Bandits with Knapsacks, with Application to Fairness

Advances in Neural Information Processing Systems, 2023, vol. 36, pp 46737-46772, (in coll. with E. CHZHEN, C. GIRAUD, Z. LI)

Contextual Bandits with Knapsacks for a Conversion Model

Advances in Neural Information Processing Systems, 2022, vol. 35, (in coll. with Z. LI)

Explore first, exploite next: the true shape of regret in bandit problems

Mathematics of Operations Research, december, 2 2019, vol. 44, n° 2, pp 377-399, (in coll. with A. GARIVIER, P. MENARD)

Fundamentals and exchange rate forecastability with simple machine learning methods

Journal of International Money and Finance, November 2018, vol. 88, pp 1-24, (in coll. with C. AMAT, T. K. MICHALSKI)

Books

Exercices d'oral de mathématiques BL - ECE - ECS corrigés et commentés par leurs auteurs

Ellipses 2015 (in coll. with S. ARLOT, A. GARIVIER )

Statistique mathématique en action

Vuibert 2012 (in coll. with V. Rivoirard )

Statistique mathématique en action

Vuibert 2009 (in coll. with V. Rivoirard )

Proceedings

A second-order bound with excess losses

Proceedings of The 27th Conference on Learning Theory , 2014 , 35 (P. GAILLARD, T. VAN ERVEN)

Approachability in unknown games: Online learning meets multi-objective optimization

Proceedings of The 27th Conference on Learning Theory , 2014 , 35 (S. MANNOR, V. PERCHET)

A Finite-Time Analysis of Multi-armed Bandits Problems with Kullback-Leibler Divergences

24th Annual Conference on Learning Theory : COLT11 , 2011 , Budapest (O.-A. Maillard R. Munos)

Lipschitz Bandits without the Lipschitz Constant

ALT 2011 - Proceedings of the 22nd International Conference on Algorithmic Learning Theory , 2011 (S. Bubeck, J. Yu)

Working papers

Forecasting Exchange Rates Better than the Random Walk Thanks to Machine Learning Techniques

Cahier de Recherche du Groupe HEC , 2014

A finite-time analysis of multiarmed bandits problems with Kullback-Leibler divergences

Mimeo , 2011

Robust approachability and regret minimization in games with partial monitoring

Mimeo , 2011

Do countries falsify economic date strategically? Some evidence that they do

Cahier de Recherche du Groupe HEC , 2010

Education

2011
Habilitation a diriger des recherches en Mathematiques (Qualified Research Supervisor), Université Paris-Sud - France
2005
Doctorat en mathematiques (Ph.D. in Mathematics), Université Paris-Sud - France
2002
Competitive examination in Mathematics (rank: 30th), _ - France

Academic appointments

Academic Responsibilities at HEC

2024- Professor (Education Track), Economics and Decision Science HEC Paris
2017-2023 Affiliate Professor, Economics - Decision Science HEC Paris
2007-2017 Member of GREGHEC (CNRS) HEC Paris
2007-2017 CNRS Research Professor, Economics - Decision Science HEC Paris
2013- CNRS researcher at GREGHEC [HEC Paris] HEC Paris

External Academic Responsibilities

2005-2013 CNRS researcher ENS Paris
2009-2009 [April 2009] Invited professor Libera Università Internazionale degli Studi Sociali
2004-2005 Assistant professor Ecole Normale Supérieure
2003-2004 RA/TA Université Paris-Sud

Scientific Activities

Conference organisation

Co-organizer of the summer school "Stats in the Château", HEC Paris, 2009

Co-organizer of "Mathematical Foundations of Learning Theory - II", Ecole normale supérieure, Paris, 2006

Awards & honors

2010 Best reviewer award among COLT'10 PC members
2010 CNRS Excellency in research bonus 2010-13
2008 Young statistician award (Marie-Jeanne Laurent-Duhamel Prize)