A Multi-Sequence Prophet Inequality under Observation Constraints

Aristomenis Tsopelakos, Olgica Milenkovic

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In our problem, we are given access to a number of sequences of nonnegative i.i.d. random variables, whose realizations are observed sequentially. All sequences are of the same finite length. The goal is to pick one element from each sequence in order to maximize a reward equal to the expected value of the sum of the selections from all sequences. The decision on which element to pick is irrevocable, i.e., rejected observations cannot be revisited. Furthermore, the procedure terminates upon having a single selection from each sequence. Our observation constraint is that we cannot observe the current realization of all sequences at each time instant. Instead, we can observe only a smaller, yet arbitrary, subset of them. Thus, together with a stopping rule that determines whether we choose or reject the sample, the solution requires a sampling rule that determines which sequence to observe at each instant. The problem can be solved via dynamic programming, but with an exponential complexity in the length of the sequences. In order to make the solution computationally tractable, we introduce a decoupling approach and determine each stopping time using either a single-sequence dynamic programming, or a Prophet Inequality inspired threshold method, with polynomial complexity in the length of the sequences. We prove that the decoupling approach guarantees at least 0.745 of the optimal expected reward of the joint problem. In addition, we describe how to efficiently compute the optimal number of samples for each sequence, and its' dependence on the variances.

Original languageEnglish (US)
Title of host publication2024 IEEE International Symposium on Information Theory, ISIT 2024 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages85-90
Number of pages6
ISBN (Electronic)9798350382846
DOIs
StatePublished - 2024
Event2024 IEEE International Symposium on Information Theory, ISIT 2024 - Athens, Greece
Duration: Jul 7 2024Jul 12 2024

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095

Conference

Conference2024 IEEE International Symposium on Information Theory, ISIT 2024
Country/TerritoryGreece
CityAthens
Period7/7/247/12/24

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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