CIRM - Videos & books Library - Bandits in auctions (& more)

Multi angle

Auteurs : Perchet, Vianney (Auteur de la Conférence)
CIRM (Editeur )

Loading the player...

Résumé : 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.

Codes MSC :
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)

Ressources complémentaires :
http://smai.emath.fr/cemracs/cemracs17/Slides/perchet.pdf

Informations sur la Vidéo

Réalisateur :

Hennenfent, Guillaume

Langue :

Date de publication :

Date de captation :

Sous collection :

arXiv category :

Domaine :

Format :

Durée :

Audience :

Download :

https://videos.cirm-math.fr/2017-07-20_Perchet.mp4

Informations sur la Rencontre

Nom de la rencontre : 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 moyen
Organisateurs de la rencontre : Bouchard, Bruno ; Chassagneux, Jean-François ; Delarue, François ; Gobet, Emmanuel ; Lelong, Jérôme
Dates : 17/07/17 - 25/08/17
Année de la rencontre : 2017
URL Congrès : http://conferences.cirm-math.fr/1556.html

Données de citation

DOI : 10.24350/CIRM.V.19200503
Citer cette vidéo: 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

Voir aussi

[Multi angle] Forward and backward simulation of Euler scheme / Auteur de la Conférence Gobet, Emmanuel.
[Multi angle] Stochastic variational inequalities for random mechanics / Auteur de la Conférence Mertz, Laurent.
[Multi angle] Mean field type control with congestion / Auteur de la Conférence Laurière, Mathieu.
[Multi angle] On the discretization of some nonlinear Fokker-Planck-Kolmogorov equations and applications / Auteur de la Conférence Silva Álvarez, Francisco José.
[Multi angle] Project evaluation under uncertainty / Auteur de la Conférence Zubelli, Jorge P..
[Multi angle] Some asymptotic results about American options and volativity / Auteur de la Conférence De Marco, Stefano.
[Multi angle] Projected particle methods for solving McKean Vlasov SDEs / Auteur de la Conférence Belomestny, Denis.
[Multi angle] Splitting algorithm for nested events / Auteur de la Conférence Goudenège, Ludovic.
[Multi angle] Lecture 2: Introduction to HPC - MPI: design of parallel program and MPI / Auteur de la Conférence Lelong, Jérôme.
[Multi angle] Lecture 1: Introduction to HPC, random generation, and OpenMP / Auteur de la Conférence Lelong, Jérôme.
[ Post-edited] Numerical methods for mean field games - Lecture 2: Monotone finite difference schemes / Auteur de la Conférence Achdou, Yves.
[Multi angle] Numerical methods for mean field games - Lecture 3: Variational MFG and related algorithms for solving the discrete system of nonlinear equations / Auteur de la Conférence Achdou, Yves.
[Multi angle] Numerical methods for mean field games - Lecture 1: Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions / Auteur de la Conférence Achdou, Yves.
[Multi angle] Metamodels for uncertainty quantification and reliability analysis / Auteur de la Conférence Marelli, Stefano.
[Multi angle] Global sensitivity analysis in stochastic systems / Auteur de la Conférence Le Maître, Olivier.
[Multi angle] Subsurface flow with uncertainty : applications and numerical analysis issues / Auteur de la Conférence Charrier, Julia.
[Multi angle] Dynamic formulations of optimal transportation and variational MFGs / Auteur de la Conférence Benamou, Jean-David.
[Multi angle] Least squares regression Monte Carlo for approximating BSDES and semilinear PDES / Auteur de la Conférence Turkedjiev, Plamen.
[Multi angle] Multilevel and multi-index sampling methods with applications - Lecture 2: Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation / Auteur de la Conférence Tempone, Raul.
[Multi angle] Multilevel and multi-index sampling methods with applications - Lecture 1: Adaptive strategies for Multilevel Monte Carlo / Auteur de la Conférence Tempone, Raul.
[Multi angle] Model-free control and deep learning / Auteur de la Conférence Bellemare, Marc.
[Multi angle] Optimal vector quantization: from signal processing to clustering and numerical probability / Auteur de la Conférence Pagès, Gilles.
[Multi angle] The Metropolis Hastings algorithm: introduction and optimal scaling of the transient phase / Auteur de la Conférence Jourdain, Benjamin.
[Multi angle] Branching for PDEs / Auteur de la Conférence Warin, Xavier.
[Multi angle] On the interplay between kinetic theory and game theory / Auteur de la Conférence Degond, Pierre.
[Multi angle] Particle algorithm for McKean SDE: a short review on numerical analysis / Auteur de la Conférence Bossy, Mireille.
[Multi angle] Cubature methods and applications / Auteur de la Conférence Crisan, Dan.
[Multi angle] Capacity expansion games with application to competition in power generation investments / Auteur de la Conférence Aïd, René.
[Multi angle] An introduction to BSDE / Auteur de la Conférence Imkeller, Peter.
[Multi angle] Mean field games with major and minor players / Auteur de la Conférence Carmona, René.

Bibliographie

Vianney.jpg

Sélection Signaler une erreur

TUTELLES

PARTENAIRES

Destination de la recherche

Raccourcis

Voir aussi