Single-Sample Prophet Inequalities via Greedy-Ordered Selection

We study single-sample prophet inequalities (SSPIs), i.e., prophet inequalities where only a single sample from each prior distribution is available. Besides a direct, and optimal, SSPI for the basic single choice problem [Rubinstein et al., 2020], most existing SSPI results were obtained via an elegant, but inherently lossy reduction to order-oblivious secretary (OOS) policies [Azar et al., 2014]. Motivated by this discrepancy, we develop an intuitive and versatile greedy-based technique that yields SSPIs directly rather than through the reduction to OOSs. Our results can be seen as generalizing and unifying a number of existing results in the area of prophet and secretary problems. Our algorithms significantly improve on the competitive guarantees for a number of interesting scenarios (including general matching with edge arrivals, bipartite matching with vertex arrivals, and certain matroids), and capture new settings (such as budget additive combinatorial auctions). Complementing our algorithmic results, we also consider mechanism design variants. Finally, we analyze the power and limitations of different SSPI approaches by providing a partial converse to the reduction from SSPI to OOS given by Azar et al.

[1]  Paul Dütting,et al.  Polymatroid Prophet Inequalities , 2013, ESA.

[2]  José A. Soto,et al.  Strong Algorithms for the Ordinal Matroid Secretary Problem , 2018, SODA.

[3]  Oded Lachish,et al.  O(log log Rank) Competitive Ratio for the Matroid Secretary Problem , 2014, 2014 IEEE 55th Annual Symposium on Foundations of Computer Science.

[4]  Mohammad Taghi Hajiaghayi,et al.  Automated Online Mechanism Design and Prophet Inequalities , 2007, AAAI.

[5]  Mohammad Taghi Hajiaghayi,et al.  Prophet Secretary for Combinatorial Auctions and Matroids , 2017, SODA.

[6]  Ola Svensson,et al.  A Simple O(log log(rank))-Competitive Algorithm for the Matroid Secretary Problem , 2015, SODA.

[7]  Haim Kaplan,et al.  Online Weighted Bipartite Matching with a Sample , 2021, ArXiv.

[8]  Shuchi Chawla,et al.  Multi-parameter mechanism design and sequential posted pricing , 2010, BQGT.

[9]  Nick Gravin,et al.  Prophet Inequality for Bipartite Matching: Merits of Being Simple and Non Adaptive , 2019, EC.

[10]  Michal Feldman,et al.  Combinatorial Auctions via Posted Prices , 2014, SODA.

[11]  Paul Dütting,et al.  An O(log log m) Prophet Inequality for Subadditive Combinatorial Auctions , 2020, 2020 IEEE 61st Annual Symposium on Foundations of Computer Science (FOCS).

[12]  José R. Correa,et al.  Prophet Inequalities for I.I.D. Random Variables from an Unknown Distribution , 2019, EC.

[13]  Sahil Singla,et al.  Combinatorial Prophet Inequalities , 2016, SODA.

[14]  U. Krengel,et al.  Semiamarts and finite values , 1977 .

[15]  J. Correa,et al.  Sample-driven optimal stopping: From the secretary problem to the i.i.d. prophet inequality , 2020, Mathematics of Operations Research.

[16]  José A. Soto,et al.  Matroid secretary problem in the random assignment model , 2010, SODA '11.

[17]  Paul Dütting,et al.  Prophet Inequalities Made Easy: Stochastic Optimization by Pricing Nonstochastic Inputs , 2020, SIAM J. Comput..

[18]  S. Matthew Weinberg,et al.  Optimal Single-Choice Prophet Inequalities from Samples , 2019, ITCS.

[19]  Roger B. Myerson,et al.  Optimal Auction Design , 1981, Math. Oper. Res..

[20]  Mohammad Taghi Hajiaghayi,et al.  Online prophet-inequality matching with applications to ad allocation , 2012, EC '12.

[21]  S. Matthew Weinberg,et al.  Optimal and Efficient Parametric Auctions , 2013, SODA.

[22]  José R. Correa,et al.  Unknown I.I.D. Prophets: Better Bounds, Streaming Algorithms, and a New Impossibility (Extended Abstract) , 2020, ITCS.

[23]  Michal Feldman,et al.  Online Stochastic Max-Weight Matching: Prophet Inequality for Vertex and Edge Arrival Models , 2020, EC.

[24]  E. Samuel-Cahn Comparison of Threshold Stop Rules and Maximum for Independent Nonnegative Random Variables , 1984 .

[25]  Aviad Rubinstein,et al.  Beyond matroids: secretary problem and prophet inequality with general constraints , 2016, STOC.

[26]  Nicole Immorlica,et al.  Matroids, secretary problems, and online mechanisms , 2007, SODA '07.

[27]  William Vickrey,et al.  Counterspeculation, Auctions, And Competitive Sealed Tenders , 1961 .

[28]  José R. Correa,et al.  The Two-Sided Game of Googol and Sample-Based Prophet Inequalities , 2020, SODA.

[29]  Michael Dinitz,et al.  Secretary problems: weights and discounts , 2009, SODA.

[30]  Haim Kaplan,et al.  Competitive Analysis with a Sample and the Secretary Problem , 2019, SODA.

[31]  Theodore Groves,et al.  Incentives in Teams , 1973 .

[32]  S. Matthew Weinberg,et al.  Prophet Inequalities with Limited Information , 2013, SODA.

[33]  Tengyu Ma,et al.  The Simulated Greedy Algorithm for Several Submodular Matroid Secretary Problems , 2011, Theory of Computing Systems.

[34]  Martin Pál,et al.  Algorithms for Secretary Problems on Graphs and Hypergraphs , 2008, ICALP.

[35]  Paul Dütting,et al.  Efficient Two-Sided Markets with Limited Information , 2020, ArXiv.

[36]  E. H. Clarke Multipart pricing of public goods , 1971 .

[37]  Ola Svensson,et al.  Online Contention Resolution Schemes , 2015, SODA.

[38]  Tim Roughgarden,et al.  Revenue maximization with a single sample , 2010, EC '10.

[39]  C. Greg Plaxton,et al.  Competitive Weighted Matching in Transversal Matroids , 2008, Algorithmica.

[40]  S. Matthew Weinberg,et al.  Matroid prophet inequalities , 2012, STOC '12.

[41]  Ola Svensson,et al.  A Simple O(log log(rank))-Competitive Algorithm for the Matroid Secretary Problem , 2018, Math. Oper. Res..

[42]  Saeed Alaei,et al.  Bayesian Combinatorial Auctions: Expanding Single Buyer Mechanisms to Many Buyers , 2011, 2011 IEEE 52nd Annual Symposium on Foundations of Computer Science.