English

Prophet Inequalities with Limited Information

Data Structures and Algorithms 2013-07-16 v1 Computer Science and Game Theory

Abstract

In the classical prophet inequality, a gambler observes a sequence of stochastic rewards V1,...,VnV_1,...,V_n and must decide, for each reward ViV_i, whether to keep it and stop the game or to forfeit the reward forever and reveal the next value ViV_i. 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 kk 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 V1,...,VnV_1,...,V_n are drawn. The assumption that the gambler knows the distribution from which V1,...,VnV_1,...,V_n 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, \emph{even with full knowledge of the distribution}. Specifically, we provide a novel single-sample algorithm when the gambler can choose any kk 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 \emph{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. We apply these results to design the first posted-price and multi-dimensional auction mechanisms with limited information in settings with asymmetric bidders.

Keywords

Cite

@article{arxiv.1307.3736,
  title  = {Prophet Inequalities with Limited Information},
  author = {Pablo D. Azar and Robert Kleinberg and S. Matthew Weinberg},
  journal= {arXiv preprint arXiv:1307.3736},
  year   = {2013}
}
R2 v1 2026-06-22T00:51:07.183Z