Speaker: Samir M. Perlaza, INRIA, France
Title: Empirical Risk Minimization and Zero-Sum Games with Noisy Observations
Day, Date and time: Friday, 9th November, 4-5 pm
Venue: Seminar Room, IE 211 (2nd floor, IEOR Building)
Abstract: This talk introduces a new formulation of zero-sum games (ZSG), which is particularly suited for studying the Empirical Risk Minimization (ERM) problem and ERM-based machine learning algorithms. More specifically, ZSG are studied under the following assumptions: (1) One of the players (the leader) publicly and irrevocably commits to choose its actions by sampling a given probability measure (strategy); (2) The leader announces its action, which is observed by its opponent (the follower) subject to noise; and (3) the follower chooses its strategy based on the knowledge of the leader's strategy and the noisy observation of the leader's action. Under these conditions, the equilibrium is shown to always exist and be often different from the Nash and Stackelberg equilibria in mixed strategies and pure strategies. Even subject to noise, observing the actions of the leader is either beneficial or immaterial to the follower for all possible commitments. When the commitment is observed subject to a distortion, the equilibrium does not necessarily exist. Nonetheless, the leader might still obtain some benefit in some specific cases subject to equilibrium refinements. For instance, epsilon-equilibria might exist in which the leader commits to suboptimal strategies that allow unequivocally predicting the best response of its opponent. The optimal strategies for the leader at epsilon-equilibria are shown to be solutions to an ERM with relative entropy regularization (ERM-RER) problem.
Bio: Samir M. Perlaza is a permanent member of the scientific staff at INRIA, the French Institute for Research in Computer Science and Applied Mathematics; a visiting research collaborator in the Department of Electrical and Computer Engineering at Princeton University; and an associate researcher in the Mathematics Laboratory GAATI at the University of French Polynesia. He received the M.Sc. and Ph.D. degree from École Nationale Supérieure des Télécommunications (Telecom ParisTech) in 2008 and 2011, respectively. From 2008 to 2011, he was also a research engineer at France Télécom - Orange Labs (Paris, France). He was a postdoctoral researcher in the Alcatel-Lucent Chair in Flexible Radio at Supélec in 2011 and at Princeton University in 2012 - 2013.
Dr. Perlaza's research interests are in the areas of information theory, game theory, data sciences, and their applications in wireless networks, power systems, and artificial intelligence. Among his publications in these areas is the recent book ''Advanced Data Analytics for Power Systems'' (Cambridge University Press, 2021).
Dr. Perlaza has served as an Editor of the IEEE Transactions in Communications and the IET Smart Grid Journal. Recognition of his work includes the Alban Fellowship and the Marie Sklodowska-Curie Fellowship, both from the European Commission