Predict and Match: Prophet Inequalities with Uncertain Supply


We consider a general class of finite-horizon online decision-making problems, where in each period a controller is presented a stochastic arrival and must choose an action from a set of permissible actions, and the final objective depends only on the aggregate type-action counts. Such a framework encapsulates many online stochastic variants of common optimization problems including bin packing, generalized assignment, and network revenue management. In such settings, we study a natural model-predictive control algorithm that in each period, acts greedily based on an updated certainty-equivalent optimization problem. We introduce a simple, yet general, condition under which this algorithm obtains uniform additive loss (independent of the horizon) compared to an optimal solution with full knowledge of arrivals. Our condition is fulfilled by the above-mentioned problems, as well as more general settings involving piece-wise linear objectives and offline index policies, including an airline overbooking problem.

Proceedings of the ACM on Measurement and Analysis of Computing Systems

Journal version of Alijani et al. (2020)

Siddhartha Banerjee
Siddhartha Banerjee
Associate Professor

Sid Banerjee is an associate professor in the School of Operations Research at Cornell, working on topics at the intersection of data-driven decision-making and stochastic control, economics and computation, and large-scale network algorithms.