Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards

September 06, 2018 Β· Declared Dead Β· πŸ› Stochastic Systems

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Authors Alessandro Arlotto, Xinchang Xie arXiv ID 1809.02016 Category math.PR Cross-listed cs.DM, cs.DS, math.OC Citations 20 Venue Stochastic Systems Last Checked 4 months ago
Abstract
We study a dynamic and stochastic knapsack problem in which a decision maker is sequentially presented with items arriving according to a Bernoulli process over $n$ discrete time periods. Items have equal rewards and independent weights that are drawn from a known non-negative continuous distribution $F$. The decision maker seeks to maximize the expected total reward of the items that she includes in the knapsack while satisfying a capacity constraint and while making terminal decisions as soon as each item weight is revealed. Under mild regularity conditions on the weight distribution $F$, we prove that the regret---the expected difference between the performance of the best sequential algorithm and that of a prophet who sees all of the weights before making any decision---is, at most, logarithmic in $n$. Our proof is constructive. We devise a reoptimized heuristic that achieves this regret bound.
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