Prophet inequalities with limited information

Pablo D. Azar, Robert Kleinberg, S. Matthew Weinberg

Research output: Chapter in Book/Report/Conference proceedingConference contribution

28 Scopus citations

Abstract

In the classical prophet inequality, a gambler observes a sequence of stochastic rewards V1..... Vn and must decide, for each reward Vi, whether to keep it and stop the game or to forfeit the reward forever and reveal the next value Vi. The gambler's goal is to obtain a constant fraction of the expected reward that the optimal offline algorithm would get. Recently, prophet inequalities have been generalized to settings where the gambler can choose k items, and, more generally, where he can choose any independent set in a matroid. However, all the existing algorithms require the gambler to know the distribution from which the rewards V 1 ...,Vn are drawn. The assumption that the gambler knows the distribution from which V1..., Vn are drawn is very strong. Instead, we work with the much simpler assumption that the gambler only knows a few samples from this distribution. We construct the first single-sample prophet inequalities for many settings of interest, whose guarantees all match the best possible asymptotically, even with full knowledge of the distribution. Specifically, we provide a novel single- sample algorithm when the gambler can choose any k elements whose analysis is based on random walks with limited correlation. In addition, we provide a black-box method for converting specific types of solutions to the related secretary problem to single- sample prophet inequalities, and apply it to several existing algorithms. Finally, we provide a constant- sample prophet inequality for constant-degree bipartite matchings. In addition, we apply these results to design the first posted-price and multi-dimensional auction mechanisms with limited information in settings with asymmetric bidders. Connections between prophet inequalities and posted-price mechanisms are already known, but applying the existing framework requires knowledge of the underlying distributions, as well as the so-called "virtual values" even when the underlying prophet inequalities do not. We therefore provide an extension of this framework that bypasses virtual values altogether, allowing our mechanisms to take full advantage of the limited information required by our new prophet inequalities.

Original languageEnglish (US)
Title of host publicationProceedings of the 25th Annual ACM-SIAM Symposium on Discrete Algorithms, SODA 2014
PublisherAssociation for Computing Machinery
Pages1358-1377
Number of pages20
ISBN (Print)9781611973389
DOIs
StatePublished - 2014
Externally publishedYes
Event25th Annual ACM-SIAM Symposium on Discrete Algorithms, SODA 2014 - Portland, OR, United States
Duration: Jan 5 2014Jan 7 2014

Publication series

NameProceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms

Other

Other25th Annual ACM-SIAM Symposium on Discrete Algorithms, SODA 2014
CountryUnited States
CityPortland, OR
Period1/5/141/7/14

All Science Journal Classification (ASJC) codes

  • Software
  • Mathematics(all)

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  • Cite this

    Azar, P. D., Kleinberg, R., & Weinberg, S. M. (2014). Prophet inequalities with limited information. In Proceedings of the 25th Annual ACM-SIAM Symposium on Discrete Algorithms, SODA 2014 (pp. 1358-1377). (Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms). Association for Computing Machinery. https://doi.org/10.1137/1.9781611973402.100