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Gilles STOLTZ

Affiliate Professor

Economics and Decision Sciences

 Profile picture

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/

Scientific articles

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)

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)

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)

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)

X-armed bandits

Journal of Machine Learning Research, 2011, vol. 12, pp 1655-1695, (in coll. with C. Szepesvári, S. Bubeck, R. Munos)

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)

Pure exploration in finitely-armed and continuous-armed bandits

Theoretical Computer Science, April 2011, vol. 412, n° 19, pp 1832-1852, (in coll. with S. Bubeck, R. Munos)

Books

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

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

Statistique mathématique en action

Vuibert (in coll. with V. Rivoirard)

Statistique mathématique en action

Vuibert (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

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

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)

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)

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)

Books

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

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

Statistique mathématique en action

Vuibert (in coll. with V. Rivoirard)

Statistique mathématique en action

Vuibert (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

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

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

Academic appointments

Academic Responsibilities 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 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)