We study revenue maximization through sequential posted price mechanisms (SPMs) in single-dimensional settings with n buyers, and independent but not necessarily identical value distributions. We construct our SPMs by considering two simple pricing schemes: one that imitates Myerson's mechanism via taxation principle, and the other that posts a uniform price. We design a factor revealing LP that crisply captures the approximation factor of this SPM. In the H-units setting, our SPM yields the first improvement in approximation over the correlation-gap-based approximation factor from over eight years ago (Yan 2011). In the position auction setting, our SPM yields the first higher-than 1-1 e approximation factor. In the 1-unit setting, our SPM yields better than the current best known approximation factor for small values of the number of buyers n. Our results on SPMs immediately imply improved performance guarantees for the equivalent free-order prophet inequality problem. In the recent surge of results that show an improvement over 1-1 e for SPMs, ours is the only technique that generalizes beyond the 1-unit setting, and yields the first improvement over long established approximation factors in several settings.
In another variation of prophet inequalities, the gambler can pick the random variables in her desired order. This variation is known as . We first note, as recently shown by @cite_21 , that any approximation for SPMs implies the same approximation for free-order prophets. The bound on the best possible approximation by also holds for this setting. give a @math approximation for the SPM problem. Recall that under SPMs, the seller approaches the buyers in decreasing order of their prices. This bound of @math was recently surpassed by @cite_6 to @math , and their bound also extends to , in which the random variables arrive in a uniformly random order. Our bound of @math for SPMs, which implies the same bound for free-order prophets by the result of , is the best known bound for free-order prophets so far. More precisely, just like for SPMs and ESP auctions, ours is the first paper to go beyond the @math bound for every @math in the free-order prophets setting.
@cite_21 @cite_6
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In the Prophet Secretary problem, samples from a known set of probability distributions arrive one by one in a uniformly random order, and an algorithm must irrevocably pick one of the samples as soon as it arrives. The goal is to maximize the expected value of the sample picked relative to the expected maximum of the distributions. This is one of the most simple and fundamental problems in online decision making that models the process selling one item to a sequence of costumers. For a closely related problem called the Prophet Inequality where the order of the random variables is adversarial, it is known that one can achieve in expectation 1 2 of the expected maximum, and no better ratio is possible. For the Prophet Secretary problem, that is, when the variables arrive in a random order, (2015) showed that one can actually get 1-1 e of the maximum. The 1-1 e bound was recently extended to more general settings by (2018). Given these results, one might be tempted to believe that 1-1 e is the correct bound. We show that this is not the case by providing an algorithm for the Prophet Secretary problem that beats the 1-1 e bound and achieves 1-1 e+1 400 times the expected maximum. We also prove a hardness result on the performance of algorithms under a natural restriction which we call deterministic distribution-insensitivity. In the classical prophet inequality, a gambler observes a sequence of stochastic rewards V1, ..., Vn and must decide, for each reward Vi, whether to keep it and stop the game or to forfeit the reward forever and reveal the next value Vi. The gambler's goal is to obtain a constant fraction of the expected reward that the optimal offline algorithm would get. Recently, prophet inequalities have been generalized to settings where the gambler can choose k items, and, more generally, where he can choose any independent set in a matroid. However, all the existing algorithms require the gambler to know the distribution from which the rewards V1, ..., Vn are drawn. The assumption that the gambler knows the distribution from which V1, ..., Vn are drawn is very strong. Instead, we work with the much simpler assumption that the gambler only knows a few samples from this distribution. We construct the first single-sample prophet inequalities for many settings of interest, whose guarantees all match the best possible asymptotically, even with full knowledge of the distribution. Specifically, we provide a novel single-sample algorithm when the gambler can choose any k elements whose analysis is based on random walks with limited correlation. In addition, we provide a black-box method for converting specific types of solutions to the related secretary problem to single-sample prophet inequalities, and apply it to several existing algorithms. Finally, we provide a constant-sample prophet inequality for constant-degree bipartite matchings. In addition, we apply these results to design the first posted-price and multi-dimensional auction mechanisms with limited information in settings with asymmetric bidders. Connections between prophet inequalities and posted-price mechanisms are already known, but applying the existing framework requires knowledge of the underlying distributions, as well as the so-called "virtual values" even when the underlying prophet inequalities do not. We therefore provide an extension of this framework that bypasses virtual values altogether, allowing our mechanisms to take full advantage of the limited information required by our new prophet inequalities.