Gilles STOLTZ

Affiliate Professor

Economics & 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

Fundamentals and exchange rate forecastability with simple machine learning methods

Journal of International Money and Finance, November 2018, vol. 88, pp 1-24

Do Countries Falsify Economic Data Strategically? Some Evidence That They Might

Review of Economics and Statistics, May 2013, vol. 95, n° 2, pp 591-616

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

Mathematics of Operations Research, Forthcoming,

A primal condition for approachability with partial monitoring

Journal of Dynamics and Games, July 2014, vol. 1, n° 3, pp 447-469

Set-Valued Approachability and Online Learning with Partial Monitoring

Journal of Machine Learning Research, October 2014, vol. 15, pp 3247-3295

Forecasting electricity consumption by aggregating specialized experts

Machine Learning, February 2013, vol. 90, n° 2, pp 231-260

Kullback-Leibler upper confidence bounds for optimal sequential allocation

Annals of Statistics, June 2013, vol. 41, n° 3, pp 1516-1541

Mirror descent meets fixed share (and feels no regret)

Advances in Neural Information Processing Systems, 2012, vol. 25, pp 980-988

Lipschitz Bandits without the Lipschitz Constant

Lecture Notes in Computer Science, 2011, vol. 6925, pp 144-158

Pure exploration in finitely-armed and continuous-armed bandits

Theoretical Computer Science, April 2011, vol. 412, n° 19, pp 1832-1852

Books

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

Ellipses 2015

Statistique mathématique en action

Vuibert 2012

Statistique mathématique en action

Vuibert 2009

Proceedings

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)

Online multi-task learning with hard constraints

Proceedings of COLT09. Omnipress , 2009 (O. Papaspiliopoulos, G. Lugosi)

Hierarchical optimistic optimization

Proceedings of NIPS'08, Curran Associates, Inc. , 2008 (S. Bubeck, C. Szepesvári, R. Munos)

Working papers

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

Cahier de Recherche du Groupe HEC , 2014

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

Cahier de Recherche du Groupe HEC , 2010

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

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

Mimeo , 2010

Scientific articles

Fundamentals and exchange rate forecastability with simple machine learning methods

Journal of International Money and Finance, November 2018, vol. 88, pp 1-24

Do Countries Falsify Economic Data Strategically? Some Evidence That They Might

Review of Economics and Statistics, May 2013, vol. 95, n° 2, pp 591-616

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

Mathematics of Operations Research, Forthcoming,

A primal condition for approachability with partial monitoring

Journal of Dynamics and Games, July 2014, vol. 1, n° 3, pp 447-469

Books

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

Ellipses 2015

Statistique mathématique en action

Vuibert 2012

Statistique mathématique en action

Vuibert 2009

Proceedings

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)

Online multi-task learning with hard constraints

Proceedings of COLT09. Omnipress , 2009 (O. Papaspiliopoulos, G. Lugosi)

Hierarchical optimistic optimization

Proceedings of NIPS'08, Curran Associates, Inc. , 2008 (S. Bubeck, C. Szepesvári, R. Munos)

Working papers

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

Cahier de Recherche du Groupe HEC , 2014

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

Cahier de Recherche du Groupe HEC , 2010

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

Education

2002
Competitive examination in Mathematics (rank: 30th), __ - France

Academic appointments

Academic responsabilities at HEC

2017 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 Responsabilities

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

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

Awards & honors

Membership in Academic or Professional Organisation

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)