Solenne Gaucher

Solenne Gaucher, Nicolas Schreuder, Evgenii Chzhen

This work provides several fundamental characterizations of the optimal classification function under the demographic parity constraint. In the awareness framework, akin to the classical unconstrained classification case, we show that maximizing accuracy under this fairness constraint is equivalent to solving a corresponding regression problem followed by thresholding at level $1/2$. We extend this result to linear-fractional classification measures (e.g., ${\rm F}$-score, AM measure, balanced accuracy, etc.), highlighting the fundamental role played by the regression problem in this framework. Our results leverage recently developed connection between the demographic parity constraint and the multi-marginal optimal transport formulation. Informally, our result shows that the transition between the unconstrained problems and the fair one is achieved by replacing the conditional expectation of the label by the solution of the fair regression problem. Finally, leveraging our analysis, we demonstrate an equivalence between the awareness and the unawareness setups in the case of two sensitive groups.

Vincent Divol, Solenne Gaucher

This paper explores the theoretical foundations of fair regression under the constraint of demographic parity within the unawareness framework, where disparate treatment is prohibited, extending existing results where such treatment is permitted. Specifically, we aim to characterize the optimal fair regression function when minimizing the quadratic loss. Our results reveal that this function is given by the solution to a barycenter problem with optimal transport costs. Additionally, we study the connection between optimal fair cost-sensitive classification, and optimal fair regression. We demonstrate that nestedness of the decision sets of the classifiers is both necessary and sufficient to establish a form of equivalence between classification and regression. Under this nestedness assumption, the optimal classifiers can be derived by applying thresholds to the optimal fair regression function; conversely, the optimal fair regression function is characterized by the family of cost-sensitive classifiers.

Nicolas Nguyen, Solenne Gaucher, Claire Vernade

We study the problem of non-stationary Lipschitz bandits, where the number of actions is infinite and the reward function, satisfying a Lipschitz assumption, can change arbitrarily over time. We design an algorithm that adaptively tracks the recently introduced notion of significant shifts, defined by large deviations of the cumulative reward function. To detect such reward changes, our algorithm leverages a hierarchical discretization of the action space. Without requiring any prior knowledge of the non-stationarity, our algorithm achieves a minimax-optimal dynamic regret bound of $\mathcal{\widetilde{O}}(\tilde{L}^{1/3}T^{2/3})$, where $\tilde{L}$ is the number of significant shifts and $T$ the horizon. This result provides the first optimal guarantee in this setting.

Matilde Tullii, Solenne Gaucher, Nadav Merlis et al.

In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that collects as much revenue as possible. We focus on two different valuation models. The first assumes that valuations linearly depend on the context and are further distorted by noise. Under minor regularity assumptions, our algorithm achieves an optimal regret bound of $\tilde{\mathcal{O}}(T^{2/3})$, improving the existing results. The second model removes the linearity assumption, requiring only that the expected buyer valuation is $β$-Hölder in the context. For this model, our algorithm obtains a regret $\tilde{\mathcal{O}}(T^{d+2β/d+3β})$, where $d$ is the dimension of the context space.

Anestis Antoniadis, Solenne Gaucher, Yannig Goude

The recent abundance of data on electricity consumption at different scales opens new challenges and highlights the need for new techniques to leverage information present at finer scales in order to improve forecasts at wider scales. In this work, we take advantage of the similarity between this hierarchical prediction problem and multi-scale transfer learning. We develop two methods for hierarchical transfer learning, based respectively on the stacking of generalized additive models and random forests, and on the use of aggregation of experts. We apply these methods to two problems of electricity load forecasting at national scale, using smart meter data in the first case, and regional data in the second case. For these two usecases, we compare the performances of our methods to that of benchmark algorithms, and we investigate their behaviour using variable importance analysis. Our results demonstrate the interest of both methods, which lead to a significant improvement of the predictions.

Solenne Gaucher

We consider a situation where an agent has $T$ ressources to be allocated to a larger number $N$ of actions. Each action can be completed at most once and results in a stochastic reward with unknown mean. The goal of the agent is to maximize her cumulative reward. Non trivial strategies are possible when side information on the actions is available, for example in the form of covariates. Focusing on a nonparametric setting, where the mean reward is an unknown function of a one-dimensional covariate, we propose an optimal strategy for this problem. Under natural assumptions on the reward function, we prove that the optimal regret scales as $O(T^{1/3})$ up to poly-logarithmic factors when the budget $T$ is proportional to the number of actions $N$. When $T$ becomes small compared to $N$, a smooth transition occurs. When the ratio $T/N$ decreases from a constant to $N^{-1/3}$, the regret increases progressively up to the $O(T^{1/2})$ rate encountered in continuum-armed bandits.

Solenne Gaucher, Olga Klopp, Geneviève Robin

Outliers arise in networks due to different reasons such as fraudulent behavior of malicious users or default in measurement instruments and can significantly impair network analyses. In addition, real-life networks are likely to be incompletely observed, with missing links due to individual non-response or machine failures. Identifying outliers in the presence of missing links is therefore a crucial problem in network analysis. In this work, we introduce a new algorithm to detect outliers in a network that simultaneously predicts the missing links. The proposed method is statistically sound: we prove that, under fairly general assumptions, our algorithm exactly detects the outliers, and achieves the best known error for the prediction of missing links with polynomial computation cost. It is also computationally efficient: we prove sub-linear convergence of our algorithm. We provide a simulation study which demonstrates the good behavior of the algorithm in terms of outliers detection and prediction of the missing links. We also illustrate the method with an application in epidemiology, and with the analysis of a political Twitter network. The method is freely available as an R package on the Comprehensive R Archive Network.