Online Linear Programming with Batching

TL;DR

This paper investigates online linear programming with batching, establishing regret bounds and proposing algorithms that optimize decision delays under continuous reward-resource distributions.

Contribution

It provides the first analysis of regret bounds in continuous distribution settings and proposes algorithms with optimal regret scaling for various batching scenarios.

Findings

Proposes an $O(\log K)$ regret algorithm for single-resource case.

Establishes a $\Omega(\log K)$ regret lower bound, matching the upper bound.

Develops algorithms with $O(\log K)$ regret for multiple resources and Poisson arrivals.

Abstract

We study Online Linear Programming (OLP) with batching. The planning horizon is cut into $K$ batches, and the decisions on customers arriving within a batch can be delayed to the end of their associated batch. Compared with OLP without batching, the ability to delay decisions brings better operational performance, as measured by regret. Two research questions of interest are: (1) What is a lower bound of the regret as a function of $K$? (2) What algorithms can achieve the regret lower bound? These questions have been analyzed in the literature when the distribution of the reward and the resource consumption of the customers have finite support. By contrast, this paper analyzes these questions when the conditional distribution of the reward given the resource consumption is continuous, and we show the answers are different under this setting. When there is only a single type of resource and the decision maker knows the total number of customers, we propose an algorithm with a $O(\log K)$ regret upper bound and provide a $\Omega(\log K)$ regret lower bound. We also propose algorithms with $O(\log K)$ regret upper bound for the setting in which there are multiple types of resource and the setting in which customers arrive following a Poisson process. All these regret upper and lower bounds are independent of the length of the planning horizon, and all the proposed algorithms delay decisions on customers arriving in only the first and the last batch. We also take customer impatience into consideration and establish a way of selecting an appropriate batch size.