CIRM - Videos & books Library - Experimenting in equilibrium

Virtualconference

Auteurs : Wager, Stefan (Auteur de la Conférence)
CIRM (Editeur )

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Résumé : Classical approaches to experimental design assume that intervening on one unit does not affect other units. There are many important settings, however, where this non-interference assumption does not hold, e.g., when running experiments on supply-side incentives on a ride-sharing platform or subsidies in an energy marketplace. In this paper, we introduce a new approach to experimental design in large-scale stochastic systems with considerable cross-unit interference, under an assumption that the interference is structured enough that it can be captured using mean-field asymptotics. Our approach enables us to accurately estimate the effect of small changes to system parameters by combining unobstrusive randomization with light-weight modeling, all while remaining in equilibrium. We can then use these estimates to optimize the system by gradient descent. Concretely, we focus on the problem of a platform that seeks to optimize supply-side payments p in a centralized marketplace where different suppliers interact via their effects on the overall supply-demand equilibrium, and show that our approach enables the platform to optimize p based on perturbations whose magnitude can get vanishingly small in large systems.

Keywords : experimental design; interference; mean-field model; stochastic system

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https://www.cirm-math.com/uploads/2/6/6/0/26605521/exp_in_equilibrium_luminy.pdf

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Hennenfent, Guillaume

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https://videos.cirm-math.fr/2020-06-09_Wager.mp4

Informations sur la Rencontre

Nom de la rencontre : Mathematical Methods of Modern Statistics 2 / Méthodes mathématiques en statistiques modernes 2
Organisateurs de la rencontre : Bogdan, Malgorzata ; Graczyk, Piotr ; Panloup, Fabien ; Proïa, Frédéric ; Roquain, Etienne
Dates : 15/06/2020 - 19/06/2020
Année de la rencontre : 2020
URL Congrès : https://www.cirm-math.com/cirm-virtual-e...

Données de citation

DOI : 10.24350/CIRM.V.19646303
Citer cette vidéo: Wager, Stefan (2020). Experimenting in equilibrium. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19646303
URI : http://dx.doi.org/10.24350/CIRM.V.19646303

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Bibliographie

WAGER, Stefan et XU, Kuang. Experimenting in equilibrium. arXiv preprint arXiv:1903.02124, 2019. - https://arxiv.org/abs/1903.02124

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