Splitting Guarantees for Prophet Inequalities via Nonlinear Systems

TL;DR

This paper develops a nonlinear differential system to analyze prophet inequalities in sequential decision problems, extending previous results for the case of selecting up to k items, and provides tight bounds for the approximation ratios.

Contribution

It introduces a generalized nonlinear differential system for the k-selection prophet inequality, extending prior work for k=1, and links it with an infinite-dimensional linear programming formulation.

Findings

Derived a nonlinear system of differential equations for k-selection prophet inequalities.

Established a lower bound on the asymptotic approximation ratio using the nonlinear system.

Provided tight approximation ratios for the stochastic sequential assignment problem.

Abstract

The prophet inequality is one of the cornerstone problems in optimal stopping theory and has become a crucial tool for designing sequential algorithms in Bayesian settings. In the i.i.d. $k$-selection prophet inequality problem, we sequentially observe $n$ non-negative random values sampled from a known distribution. Each time, a decision is made to accept or reject the value, and under the constraint of accepting at most $k$. For $k=1$, Hill and Kertz [Ann. Probab. 1982] provided an upper bound on the worst-case approximation ratio that was later matched by an algorithm of Correa et al. [Math. Oper. Res. 2021]. The worst-case tight approximation ratio for $k=1$ is computed by studying a differential equation that naturally appears when analyzing the optimal dynamic programming policy. A similar result for $k>1$ has remained elusive. In this work, we introduce a nonlinear system of differential equations for the i.i.d. $k$-selection prophet inequality that generalizes Hill and Kertz's equation when $k=1$. Our nonlinear system is defined by $k$ constants that determine its functional structure, and their summation provides a lower bound on the optimal policy's asymptotic approximation ratio for the i.i.d. $k$-selection prophet inequality. To obtain this result, we introduce for every $k$ an infinite-dimensional linear programming formulation that fully characterizes the worst-case tight approximation ratio of the $k$-selection prophet inequality problem for every $n$, and then we follow a dual-fitting approach to link with our nonlinear system for sufficiently large values of $n$. As a corollary, we use our provable lower bounds to establish a tight approximation ratio for the stochastic sequential assignment problem in the i.i.d. non-negative regime.