Virtualconference
H Experimenting in equilibrium
Auteurs : Wager, Stefan (Auteur de la Conférence)
CIRM (Editeur )
CIRM (Editeur )
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- WAGER, Stefan et XU, Kuang. Experimenting in equilibrium. arXiv preprint arXiv:1903.02124, 2019. - https://arxiv.org/abs/1903.02124
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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
Codes MSC :
Ressources complémentaires :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/exp_in_equilibrium_luminy.pdf
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 15/06/2020 Date de captation : 09/06/2020 Collection : Research talks ; Mathematics in Science and Technology Durée : 00:54:34 Domaine : Mathematics in Science & Technology Audience : Chercheurs ; Doctorants , Post - Doctorants Download : https://videos.cirm-math.fr/2020-06-09_Wager.mp4 
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Informations sur la Rencontre Virtuelle
Nom de la rencontre : Mathematical Methods of Modern Statistics 2 / Méthodes mathématiques en statistiques modernes 2Organisateurs 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...
Citation Data
DOI : 10.24350/CIRM.V.19646303Cite this video as: 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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