Gilles STOLTZ

Associate Professor (Education Track)

Economics and Decision Sciences

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

Biography

Gilles Stoltz is an associate professeur ETF at HEC Paris, where he has been teaching since 2007 (he is also a senior research scientist at CNRS). He is an alumnus of the Ecole Normale Supérieure of Cachan and holds a Ph.D. and an habilitation diploma from the University Paris-Sud, Orsay, since 2005 and 2011, respectively. 

His research features sequential prediction and sequential decision-making, in the vein of sequential machine learning: adversarial learning (robust aggregation of experts), stochastic bandits, reinforcement learning. 

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

Scientific articles

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)

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)

Agrégation séquentielle de prédicteursméthodologie générale et applications à la prévision de la qualité de lair et à celle de la consommation électrique

Journal de la Société Française de Statistique, 2010, vol. 151, n° 2, pp 66-106,

A Geometric Proof of Calibration

Mathematics of Operations Research, November 2010, vol. 35, n° 4, pp 721-727, (in coll. with S. Mannor)

Pure Exploration for Multi-Armed Bandit Problems

Lecture Notes in Computer Science, 2009, pp 23-37, (in coll. with R. Munos, S. Bubeck)

Ozone Ensemble Forecast with Machine Learning Algorithms

Journal of Geophysical Research : Atmospheres, July 2009, vol. 114, n° D5, (in coll. with Vivien MALLET, Boris MAURICETTE)

Strategies for prediction under imperfect monitoring

Mathematics of Operations Research, August 2008, vol. 33, n° 3, pp 513-528, (in coll. with G. Lugosi, S. Mannor)

Books

Proceedings

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

Scientific articles

KL-UCB-Switch: Optimal Regret Bounds for Stochastic Bandits from Both a Distribution-Dependent and a Distribution-Free Viewpoints

Journal of Machine Learning Research, 2022, vol. 23, n° 179, pp 1-66, (in coll. with A. GARIVIER, H. HADIJI, P. MENARD)

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

Mathematics of Operations Research, December 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)

Books

Proceedings

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

Mimeo , 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

  • 2024- Associate Professor (Education Track), Economics and Decision Sciences HEC Paris

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)