Gilles STOLTZ

Professor (Education Track)

Economics and Decision Sciences

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

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, March 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, 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)

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- Professor (Education Track), Economics and Decision Science 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)