Français
Bandits in auctions (& more)
Multi angle
Authors : Perchet, Vianney (Author of the conference)
CIRM (Publisher )
62L05 - Sequential statistical designs
68T05 - Learning and adaptive systems
91A80 - Applications of game theory
91B26 - Market models (auctions, bargaining, bidding, selling, etc.)
91A26 - Rationality, learning (game theory)
Additional resources :
http://smai.emath.fr/cemracs/cemracs17/Slides/perchet.pdf
CIRM (Publisher )
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Abstract :
In this talk, I will introduce the classical theory of multi-armed bandits, a field at the junction of statistics, optimization, game theory and machine learning, discuss the possible applications, and highlights the new perspectives and open questions that they propose We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically fluctuating costs and interact through aggregate supply. Capacity expansion is irreversible and modeled in terms of timing strategies characterized through threshold rules. Because the impact of changing costs on the producers is asymmetric, we are led to a nonzero-sum timing game describing the transitions among the discrete investment stages. Working in a continuous-time diffusion framework, we characterize and analyze the resulting Nash equilibrium and game values. Our analysis quantifies the dynamic competition effects and yields insight into dynamic preemption and over-investment in a general asymmetric setting. A case-study considering the impact of fluctuating emission costs on power producers investing in nuclear and coal-fired plants is also presented.
MSC Codes : 62L05 - Sequential statistical designs
68T05 - Learning and adaptive systems
91A80 - Applications of game theory
91B26 - Market models (auctions, bargaining, bidding, selling, etc.)
91A26 - Rationality, learning (game theory)
Additional resources :
http://smai.emath.fr/cemracs/cemracs17/Slides/perchet.pdf
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 01/08/17 Conference Date : 20/07/17 Subseries : Research School arXiv category : Computer Science and Game Theory Mathematical Area(s) : Computer Science ; Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 01:03:25 Targeted Audience : Researchers ; Graduate Students Download : https://videos.cirm-math.fr/2017-07-20_Perchet.mp4 
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Information on the Event
Event Title : CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyenEvent Organizers : Bouchard, Bruno ; Chassagneux, Jean-François ; Delarue, François ; Gobet, Emmanuel ; Lelong, Jérôme Dates : 17/07/17 - 25/08/17 Event Year : 2017 Event URL : http://conferences.cirm-math.fr/1556.html
Citation Data
DOI : 10.24350/CIRM.V.19200503Cite this video as: Perchet, Vianney (2017). Bandits in auctions (& more). CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19200503 URI : http://dx.doi.org/10.24350/CIRM.V.19200503 |
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Bibliography
