Prophet Inequalities with Limited Information
Abstract
In the classical prophet inequality, a gambler observes a sequence of stochastic rewards and must decide, for each reward , whether to keep it and stop the game or to forfeit the reward forever and reveal the next value . 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 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 are drawn. The assumption that the gambler knows the distribution from which 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 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}
}