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Experimenting in equilibrium
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Abstract :
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
MSC Codes : Keywords : experimental design; interference; mean-field model; stochastic system
Additional resources :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/exp_in_equilibrium_luminy.pdf
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Information on the Video
Language : EnglishAvailable date : 15/06/2020 Conference Date : 09/06/2020 Subseries : Research talks arXiv category : Statistics Theory ; Machine Learning Mathematical Area(s) : Mathematics in Science & Technology Format : MP4 (.mp4) - HD Video Time : 00:54:34 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-06-09_Wager.mp4 
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Information on the Event
Event Title : Mathematical Methods of Modern Statistics 2 / Méthodes mathématiques en statistiques modernes 2Dates : 15/06/2020 - 19/06/2020 Event Year : 2020 Event URL : https://www.cirm-math.com/cirm-virtual-e...
Citation Data
DOI : 10.24350/CIRM.V.19646303Cite this video as: (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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Bibliography
- WAGER, Stefan et XU, Kuang. Experimenting in equilibrium. arXiv preprint arXiv:1903.02124, 2019. - https://arxiv.org/abs/1903.02124
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