Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards
Abstract
We study a dynamic and stochastic knapsack problem in which a decision maker is sequentially presented with items arriving according to a Bernoulli process over discrete time periods. Items have equal rewards and independent weights that are drawn from a known non-negative continuous distribution . The decision maker seeks to maximize the expected total reward of the items that she includes in the knapsack while satisfying a capacity constraint and while making terminal decisions as soon as each item weight is revealed. Under mild regularity conditions on the weight distribution , we prove that the regret---the expected difference between the performance of the best sequential algorithm and that of a prophet who sees all of the weights before making any decision---is, at most, logarithmic in . Our proof is constructive. We devise a reoptimized heuristic that achieves this regret bound.
Keywords
Cite
@article{arxiv.1809.02016,
title = {Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards},
author = {Alessandro Arlotto and Xinchang Xie},
journal= {arXiv preprint arXiv:1809.02016},
year = {2019}
}
Comments
33 pages, 2 figures